A Note on Piecewise Affine Decision Rules for Robust, Stochastic, and Data-Driven Optimization

Sharper Approximation for Multistage Decisions Under Uncertainty In “A Note on Piecewise Affine Decision Rules for Robust, Stochastic, and Data-Driven Optimization,” Thomä, Schiffer, and Wiesemann revisit piecewise affine decision rules, a widely used approximation for multistage stochastic programs. Building on the framework of Georghiou et al. (2015), the authors propose an algorithmic refinement that yields strictly better policies in stochastic settings while retaining tractability. Beyond stochastic programming, the framework naturally extends to multistage robust optimization and to modern data-driven models based on Wasserstein ambiguity sets. The paper shows how the resulting policies can be computed efficiently and provides numerical evidence demonstrating consistent performance improvements.