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Multi-stage stochastic optimization lies at the core of decision-making under uncertainty. As the analytical solution is available only in exceptional cases, dynamic optimization aims to efficiently find approximations but often neglects…
We consider partially observable Markov decision processes (POMDPs) with a set of target states and positive integer costs associated with every transition. The traditional optimization objective (stochastic shortest path) asks to minimize…
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…
We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the…
Under a Bayesian framework, we formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem, and derive the associated Bellman equation. Using value function…
In this paper we present efficient algorithmic solutions for several constrained resource allocation, management and discovery problems. We consider new types of resource allocation models and constraints, and we present new geometric…
One often encounters the curse of dimensionality in the application of dynamic programming to determine optimal policies for controlled Markov chains. In this paper, we provide a method to construct sub-optimal policies along with a bound…
We present new formulations of the stochastic electricity market clearing problem based on the principles of stochastic programming. Previous analyses have established that the canonical stochastic programming model effectively captures the…
We consider initial value problems of nonlinear dynamical systems, which include physical parameters. A quantity of interest depending on the solution is observed. A discretisation yields the trajectories of the quantity of interest in many…
In this work, we study the optimization problem of a renewable resource in finite time. The resource is assumed to evolve according to a logistic stochastic differential equation. The manager may harvest partially the resource at any time…
The Bayesian inversion method demonstrates significant potential for solving inverse problems, enabling both point estimation and uncertainty quantification (UQ). However, Bayesian maximum a posteriori (MAP) estimation may become unstable…
This paper presents an algorithm to apply nonlinear control design approaches in the case of stochastic systems with partial state observation. Deterministic nonlinear control approaches are formulated under the assumption of full state…
This article proposes an improved trajectory optimization approach for stochastic optimal control of dynamical systems affected by measurement noise by combining optimal control with maximum likelihood techniques to improve the reduction of…
The challenge of mastering computational tasks of enormous size tends to frequently override questioning the quality of the numerical outcome in terms of accuracy. By this we do not mean the accuracy within the discrete setting, which…
Valuing mineral assets is a challenging task that is highly dependent on the supply (geological) uncertainty surrounding resources and reserves, and the uncertainty of demand (commodity prices). In this work, a graph-based reasoning,…
Contextual stochastic optimization is an advanced methodology to model uncertainty in the presence of contextual information during decision planning processes. Although classical methodologies focus on minimizing the expectation of a…
We use the technique of information relaxation to develop a duality-driven iterative approach to obtaining and improving confidence interval estimates for the true value of finite-horizon stochastic dynamic programming problems. We show…
We consider the differentiation of the value function for parametric optimization problems. Such problems are ubiquitous in Machine Learning applications such as structured support vector machines, matrix factorization and min-min or…
With an ever growing number of heterogeneous applicational services running on equally heterogeneous computational systems, the problem of resource management becomes more essential. Although current solutions consider some network and time…
In this paper, we propose a class of penalty methods with stochastic approximation for solving stochastic nonlinear programming problems. We assume that only noisy gradients or function values of the objective function are available via…