Related papers: A Study of Distributionally Robust Multistage Stoc…

This paper investigates the joint optimization of condition-based maintenance and spare provisioning, incorporating insights obtained from sensor data. Prognostic models estimate components' remaining lifetime distributions (RLDs), which…

Multistage stochastic programming is a powerful tool allowing decision-makers to revise their decisions at each stage based on the realized uncertainty. However, in practice, organizations are not able to be fully flexible, as decisions…

Distributed model predictive control methods for uncertain systems often suffer from considerable conservatism and can tolerate only small uncertainties due to the use of robust formulations that are amenable to distributed design and…

Multistage risk-averse optimal control problems with nested conditional risk mappings are gaining popularity in various application domains. Risk-averse formulations interpolate between the classical expectation-based stochastic and minimax…

Sample average approximation--based stochastic dynamic programming (SDP) and model predictive control (MPC) are two different methods for approaching multistage stochastic optimization. In this paper we investigate the conditions under…

We consider a multi-period stochastic control problem where the multivariate driving stochastic factor of the system has known marginal distributions but uncertain dependence structure. To solve the problem, we propose to implement the…

Stochastic and soft optimal policies resulting from entropy-regularized Markov decision processes (ER-MDP) are desirable for exploration and imitation learning applications. Motivated by the fact that such policies are sensitive with…

This article introduces a decentralized robust optimization framework for safe multi-agent control under uncertainty. Although stochastic noise has been the primary form of modeling uncertainty in such systems, these formulations might fall…

We consider a multiperiod stochastic capacitated facility location problem under uncertain demand and budget in each period. Using a scenario tree representation of the uncertainties, we formulate a multistage stochastic integer program to…

In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…

Solving large-scale multistage stochastic programming (MSP) problems poses a significant challenge as commonly used stagewise decomposition algorithms, including stochastic dual dynamic programming (SDDP), face growing time complexity as…

This is the second part of a two-part paper on data-based distributionally robust stochastic optimal power flow (OPF). The general problem formulation and methodology have been presented in Part I [1]. Here, we present extensive numerical…

The Double Linear Policy (DLP) framework guarantees a Robust Positive Expectation (RPE) under optimized constant-weight designs or admissible prespecified time-varying policies. However, the sequential optimization of these time-varying…

This paper addresses a central challenge of jointly considering shorter-term (e.g. hourly) and longer-term (e.g. yearly) uncertainties in power system planning with increasing penetration of renewable and storage resources. In conventional…

In this paper we propose a data-driven distributionally robust Model Predictive Control framework for constrained stochastic systems with unbounded additive disturbances. Recursive feasibility is ensured by optimizing over an linearly…

We present a novel approach for the control of uncertain, linear time-invariant systems, which are perturbed by potentially unbounded, additive disturbances. We propose a \emph{doubly robust} data-driven state-feedback controller to ensure…

Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of…

This paper considers a risk-constrained infinite-horizon optimal control problem and proposes to solve it in an iterative manner. Each iteration of the algorithm generates a trajectory from the starting point to the target equilibrium state…

We address the problem of computing reliable policies in reinforcement learning problems with limited data. In particular, we compute policies that achieve good returns with high confidence when deployed. This objective, known as the…

Specifying a proper input distribution is often a challenging task in simulation modeling. In practice, there may be multiple plausible distributions that can fit the input data reasonably well, especially when the data volume is not large.…