Related papers: A Study of Distributionally Robust Multistage Stoc…

We introduce a novel data-driven method to mitigate the risk of cascading failures in delayed discrete-time Linear Time-Invariant (LTI) systems. Our approach involves formulating a distributionally robust finite-horizon optimal control…

Online planning in Markov Decision Processes (MDPs) enables agents to make sequential decisions by simulating future trajectories from the current state, making it well-suited for large-scale or dynamic environments. Sample-based methods…

This article introduces a novel distributionally robust model predictive control (DRMPC) algorithm for a specific class of controlled dynamical systems where the disturbance multiplies the state and control variables. These classes of…

We study multistage distributionally robust mixed-integer programs under endogenous uncertainty, where the probability distribution of stage-wise uncertainty depends on the decisions made in previous stages. We first consider two ambiguity…

In dynamic programming (DP) and reinforcement learning (RL), an agent learns to act optimally in terms of expected long-term return by sequentially interacting with its environment modeled by a Markov decision process (MDP). More generally…

In this paper, we study multistage stochastic mixed-integer nonlinear programs (MS-MINLP). This general class of problems encompasses, as important special cases, multistage stochastic convex optimization with non-Lipschitzian value…

In this paper we introduce a novel approach to distributionally robust optimal control that supports online learning of the ambiguity set, while guaranteeing recursive feasibility. We introduce conic representable risk, which is useful to…

In this paper, we extend the adaptive partition-based approach for solving two-stage stochastic programs with fixed recourse to the multistage stochastic programming setting. The proposed algorithms integrate the adaptive partition-based…

Significant outages from weather and climate extremes have highlighted the critical need for resilience-centered risk management of the grid. This paper proposes a multi-stage stochastic robust optimization (SRO) model that advances the…

In this paper we discuss distributional robustness in the context of stochastic model predictive control (SMPC) for linear time-invariant systems. We derive a simple approximation of the MPC problem under an additive zero-mean i.i.d. noise…

Prior work on safe Reinforcement Learning (RL) has studied risk-aversion to randomness in dynamics (aleatory) and to model uncertainty (epistemic) in isolation. We propose and analyze a new framework to jointly model the risk associated…

This paper proposes an iterative distributionally robust model predictive control (MPC) scheme to solve a risk-constrained infinite-horizon optimal control problem. In each iteration, the algorithm generates a trajectory from the starting…

In this paper, we consider an integrated MSP-MDP framework which captures features of Markov decision process (MDP) and multistage stochastic programming (MSP). The integrated framework allows one to study a dynamic decision-making process…

This paper focuses on solving a data-driven distributionally robust optimization problem over a network of agents. The agents aim to minimize the worst-case expected cost computed over a Wasserstein ambiguity set that is centered at the…

This paper presents a robust version of the stratified sampling method when multiple uncertain input models are considered for stochastic simulation. Various variance reduction techniques have demonstrated their superior performance in…

We study a stochastic program where the probability distribution of the uncertain problem parameters is unknown and only indirectly observed via finitely many correlated samples generated by an unknown Markov chain with $d$ states. We…

Stochastic Dual Dynamic Programming (SDDP) is a widely used and fundamental algorithm for solving multistage stochastic optimization problems. Although SDDP has been frequently applied to solve risk-averse models with the Conditional…

Distribution shifts are ubiquitous in real-world machine learning applications, posing a challenge to the generalization of models trained on one data distribution to another. We focus on scenarios where data distributions vary across…

In this paper, we consider a network capacity expansion problem in the context of telecommunication networks, where there is uncertainty associated with the expected traffic demand. We employ a distributionally robust stochastic…

We propose a data-based method to solve a multi-stage stochastic optimal power flow (OPF) problem based on limited information about forecast error distributions. The framework explicitly combines multi-stage feedback policies with any…