Related papers: Distributionally robust inventory control when dem…
Control architectures and autonomy stacks for complex engineering systems are often divided into layers to decompose a complex problem and solution into distinct, manageable sub-problems. To simplify designs, uncertainties are often ignored…
Using only retrospective data, we study the problem of predicting treatment effects for the same treatment/policy implemented in a different location or time period. We propose a distributionally robust estimator that minimizes the…
We study the causal distributionally robust optimization (DRO) in both discrete- and continuous- time settings. The framework captures model uncertainty, with potential models penalized in function of their adapted Wasserstein distance to a…
This work provides a Deep Reinforcement Learning approach to solving a periodic review inventory control system with stochastic vendor lead times, lost sales, correlated demand, and price matching. While this dynamic program has…
Starting from the Avellaneda-Stoikov framework, we consider a market maker who wants to optimally set bid/ask quotes over a finite time horizon, to maximize her expected utility. The intensities of the orders she receives depend not only on…
Inventory management is a fundamental challenge in supply chain management. The challenge is compounded when the associated products have unpredictable demands. This study proposes an innovative optimization approach combining…
We consider a distribution logistics scenario where a shipping operator, managing a limited amount of resources, receives a stream of collection requests, issued by a set of customers along a booking time-horizon, that are referred to a…
Nonlinear optimization-based control policies, such as those those arising in nonlinear Model Predictive Control, have seen remarkable success in recent years. These policies require solving computationally demanding nonlinear optimization…
We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open case of static hedging with second-period maturity vanilla…
We present a novel distributionally robust framework for dynamic programming that uses kernel methods to design feedback control policies. Specifically, we leverage kernel mean embedding to map the transition probabilities governing the…
We propose a generic system model for a special category of interdependent networks, demand-supply networks, in which the demand and the supply nodes are associated with heterogeneous loads and resources, respectively. Our model sheds a…
Stochastic and (distributionally) robust optimization problems often become computationally challenging as the number of scenarios or data points increases. Scenario reduction is therefore a key technique for improving tractability. We…
In this paper, we solve the multiple product price optimization problem under interval uncertainties of the price sensitivity parameters in the demand function. The objective of the price optimization problem is to maximize the overall…
Model predictive control (MPC) has been shown to significantly improve the energy efficiency of buildings while maintaining thermal comfort. Data-driven approaches based on neural networks have been proposed to facilitate system modelling.…
The ability to deal with systems parametric uncertainties is an essential issue for heavy self-driving vehicles in unconfined environments. In this sense, robust controllers prove to be efficient for autonomous navigation. However,…
This article aims to introduce the paradigm of distributional robustness from the field of convex optimization to tackle optimal design problems under uncertainty. We consider realistic situations where the physical model, and thereby the…
Robust optimization safeguards decisions against uncertainty by optimizing against worst-case scenarios, yet their effectiveness hinges on a prespecified robustness level that is often chosen ad hoc, leading to either insufficient…
Distributed optimization for resource allocation problems is investigated and a sub-optimal continuous-time algorithm is proposed. Our algorithm has lower order dynamics than others to reduce burdens of computation and communication, and is…
Distributed decision making in multi-agent networks has recently attracted significant research attention thanks to its wide applicability, e.g. in the management and optimization of computer networks, power systems, robotic teams, sensor…
In this paper, we study a bivariate distributionally robust optimization problem with mean-covariance ambiguity set and half-space support. Under a conventional type of objective function widely adopted in inventory management, option…