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We consider a residuals-based distributionally robust optimization (DRO) model, where the underlying uncertainty depends on both covariate information and our decisions. We adopt both parametric and nonparametric regression models to learn…
It is known that the set of perturbed data is key in robust optimization (RO) modelling. Distributionally robust optimization (DRO) is a methodology used for optimization problems affected by random parameters with uncertain probability…
In order to protect the environment and address fossil fuel scarcity, renewable energy is increasingly used for power generation. However, due to the uncertainties it brings to electricity production, deterministic optimization is no longer…
In this paper, we introduce a framework for contextual distributionally robust optimization (DRO) that considers the causal and continuous structure of the underlying distribution by developing interpretable and tractable decision rules…
We study two-stage distributionally robust optimization (DRO) problems with decision-dependent information discovery (DDID) wherein (a portion of) the uncertain parameters are revealed only if an (often costly) investment is made in the…
In stochastic optimal control (SOC), uncertainty may arise from incomplete knowledge of the true probability distribution of the underlying environment, which is known as Knightian or epistemic uncertainty. Distributionally robust optimal…
We consider optimal decision-making problems in an uncertain environment. In particular, we consider the case in which the distribution of the input is unknown, yet there is abundant historical data drawn from the distribution. In this…
This paper presents a distributionally robust planning method for hydrogen-electrical microgrids over islands, where the cross-island energy exchange is supported by a maritime hydrogen transport network. This planning problem is…
There are numerous industrial settings in which a decision maker must decide whether to enter into long-term contracts to guarantee price (and hence cash flow) stability or to participate in more volatile spot markets. In this paper, we…
Distributionally Robust Optimisation (DRO) protects risk-averse decision-makers by considering the worst-case risk within an ambiguity set of distributions based on the empirical distribution or a model. To further guard against finite,…
Distributionally Robust Optimization (DRO) is a worst-case approach to decision making when there is model uncertainty. It is also well known that for certain uncertainty sets, DRO is approximated by a regularized nominal problem. We show…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
Distributionally Robust Optimal Control (DROC) is a framework that enables robust control in a stochastic setting where the true disturbance distribution is unknown. Traditional DROC approaches require given ambiguity sets and KL divergence…
Distributionally robust optimization (DRO) has shown lot of promise in providing robustness in learning as well as sample based optimization problems. We endeavor to provide DRO solutions for a class of sum of fractionals, non-convex…
Distributionally Robust Optimization (DRO), which aims to find an optimal decision that minimizes the worst case cost over the ambiguity set of probability distribution, has been widely applied in diverse applications, e.g., network…
We consider data-driven approaches that integrate a machine learning prediction model within distributionally robust optimization (DRO) given limited joint observations of uncertain parameters and covariates. Our framework is flexible in…
We study multistage distributionally robust optimization (DRO) to hedge against ambiguity in quantifying the underlying uncertainty of a problem. Recognizing that not all the realizations and scenario paths might have an "effect" on the…
Electric vehicles (EVs) are being rapidly adopted due to their economic and societal benefits. Autonomous mobility-on-demand (AMoD) systems also embrace this trend. However, the long charging time and high recharging frequency of EVs pose…
A common goal in statistics and machine learning is to learn models that can perform well against distributional shifts, such as latent heterogeneous subpopulations, unknown covariate shifts, or unmodeled temporal effects. We develop and…
Utility preference robust optimization (PRO) has recently been proposed to deal with optimal decision making problems where the decision maker's (DM) preference over gains and losses is ambiguous. In this paper, we take a step further to…