Related papers: On Risk-Averse Stochastic Semidefinite Programs wi…
This paper develops a semidefinite-programming-based method for online feedback control of nonlinear systems using a state-dependent representation. We formulate sequences of time-varying SDPs whose optimal solutions jointly yield a…
Semidefinite programs (SDP) are one of the most versatile frameworks in numerical optimization, serving as generalizations of many conic programs and as relaxations of NP-hard combinatorial problems. Their main drawback is their…
This paper deals with uncertain dynamical systems in which predictions about the future state of a system are assessed by so called pseudomeasures. Two special cases are stochastic dynamical systems, where the pseudomeasure is the…
The aim of this paper is to investigate risk-averse and distributionally robust modeling of Stochastic Optimal Control (SOC) and Markov Decision Process (MDP). We discuss construction of conditional nested risk functionals, a particular…
In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…
We present an abstract concept for the error analysis of numerical schemes for semilinear stochastic partial differential equations (SPDEs) and demonstrate its usefulness by proving the strong convergence of a Milstein-Galerkin finite…
Wasserstein distributionally robust control (DRC) recently emerges as a principled paradigm for handling uncertainty in stochastic dynamical systems. However, it constructs data-driven ambiguity sets via uniform distribution shifts before…
This paper focuses on investigating an inexact stochastic model-based optimization algorithm that integrates preconditioning techniques for solving stochastic composite optimization problems. The proposed framework unifies and extends the…
In performative stochastic optimization, decisions can influence the distribution of random parameters, rendering the data-generating process itself decision-dependent. In practice, decision-makers rarely have access to the true…
We consider an SPDE description of a large portfolio limit model where the underlying asset prices evolve according to certain stochastic volatility models with default upon hitting a lower barrier. The asset prices and their volatilities…
Semicontinuous outcomes commonly arise in a wide variety of fields, such as insurance claims, healthcare expenditures, rainfall amounts, and alcohol consumption. Regression models, including Tobit, Tweedie, and two-part models, are widely…
Refined stability estimates are derived for classical mixed problems. The novel emphasis is on the importance of semi norms on data functionals, inspired by recent progress on pressure-robust discretizations for the incompressible…
This paper considers stochastic weakly convex optimization without the standard Lipschitz continuity assumption. Based on new adaptive regularization (stepsize) strategies, we show that a wide class of stochastic algorithms, including the…
This paper proposes an algorithm to calculate the maximal probability of unsafety with respect to trajectories of a stochastic process and a hazard set. The unsafe probability estimation problem is cast as a primal-dual pair of…
In this paper, we introduce the rich classes of conditional distortion (CoD) risk measures and distortion risk contribution ($\Delta$CoD) measures as measures of systemic risk and analyze their properties and representations. The classes…
The robust statistical description of dynamical systems under perturbations is a central problem in ergodic theory. In this paper, we investigate the statistical properties of skew-product maps driven by a subshift of finite type with…
We propose and analyse a new Milstein type scheme for simulating stochastic differential equations (SDEs) with highly nonlinear coefficients. Our work is motivated by the need to justify multi-level Monte Carlo simulations for…
We analyze the tail behavior of solutions to sample average approximations (SAAs) of stochastic programs posed in Hilbert spaces. We require that the integrand be strongly convex with the same convexity parameter for each realization.…
We present a stochastic model predictive control (MPC) method for linear discrete-time systems subject to possibly unbounded and correlated additive stochastic disturbance sequences. Chance constraints are treated in analogy to robust MPC…
Disjunctive finitary programs are a class of logic programs admitting function symbols and hence infinite domains. They have very good computational properties, for example ground queries are decidable while in the general case the stable…