Related papers: Min-Max Regret Problems with Ellipsoidal Uncertain…
Gamma uncertainty sets have been introduced for adjusting the degree of conservatism of robust counterparts of (discrete) linear programs. The contribution of this paper is a generalization of this approach to (mixed integer) nonlinear…
The area of computing with uncertainty considers problems where some information about the input elements is uncertain, but can be obtained using queries. For example, instead of the weight of an element, we may be given an interval that is…
We consider adaptive control of the Linear Quadratic Regulator (LQR), where an unknown linear system is controlled subject to quadratic costs. Leveraging recent developments in the estimation of linear systems and in robust controller…
Classically, a mainstream approach for solving a convex-concave min-max problem is to instead solve the variational inequality problem arising from its first-order optimality conditions. Is it possible to solve min-max problems faster by…
This paper studies online solutions for regret-optimal control in partially observable systems over an infinite-horizon. Regret-optimal control aims to minimize the difference in LQR cost between causal and non-causal controllers while…
We consider robust discrete minimization problems where uncertainty is defined by a convex set in the objective. We show how an integrality gap verifier for the linear programming relaxation of the non-robust version of the problem can be…
Given subsets of uncertain values, we study the problem of identifying the subset of minimum total value (sum of the uncertain values) by querying as few values as possible. This set selection problem falls into the field of explorable…
Machine learning can significantly improve performance for decision-making under uncertainty across a wide range of domains. However, ensuring robustness guarantees requires well-calibrated uncertainty estimates, which can be difficult to…
Robust optimization is a widely studied area in operations research, where the algorithm takes as input a range of values and outputs a single solution that performs well for the entire range. Specifically, a robust algorithm aims to…
We study the Stochastic Shortest Path (SSP) problem with a linear mixture transition kernel, where an agent repeatedly interacts with a stochastic environment and seeks to reach certain goal state while minimizing the cumulative cost.…
Optimizing a building's energy supply design is a task with multiple competing criteria, where not only monetary but also, for example, an environmental objective shall be taken into account. Moreover, when deciding which storages and…
This work uniquely combines an affine linear decision rule known from adjustable robustness with min-max-regret robustness. By doing so, the advantages of both concepts can be obtained with an adjustable solution that is not…
We study a class of adversarial bandit optimization problems in which the loss functions may be non-convex and non-smooth. In each round, the learner observes a loss that consists of an underlying linear component together with an…
We derive a novel asymptotic problem-dependent lower-bound for regret minimization in finite-horizon tabular Markov Decision Processes (MDPs). While, similar to prior work (e.g., for ergodic MDPs), the lower-bound is the solution to an…
A common problem in the optimization of structures is the handling of uncertainties in the parameters. If the parameters appear in the constraints, the uncertainties can lead to an infinite number of constraints. Usually the constraints…
We consider regret minimization in repeated games with non-convex loss functions. Minimizing the standard notion of regret is computationally intractable. Thus, we define a natural notion of regret which permits efficient optimization and…
In this paper a class of robust two-stage combinatorial optimization problems is discussed. It is assumed that the uncertain second stage costs are specified in the form of a convex uncertainty set, in particular polyhedral or ellipsoidal…
In practical applications, data is used to make decisions in two steps: estimation and optimization. First, a machine learning model estimates parameters for a structural model relating decisions to outcomes. Second, a decision is chosen to…
We consider the problem of online learning where the sequence of actions played by the learner must adhere to an unknown safety constraint at every round. The goal is to minimize regret with respect to the best safe action in hindsight…
We consider the class of single machine scheduling problems with the objective to minimize the weighted number of late jobs, under the assumption that completion due-dates are not known precisely at the time when decision-maker must provide…