Related papers: Approximation Algorithms for Distributionally Robu…
We investigate sample average approximation (SAA) for two-stage stochastic programs without relatively complete recourse, i.e., for problems in which there are first-stage feasible solutions that are not guaranteed to have a feasible…
This paper presents a stochastic model predictive control approach for nonlinear systems subject to time-invariant probabilistic uncertainties in model parameters and initial conditions. The stochastic optimal control problem entails a cost…
This paper considers the problem of minimizing an expectation function over a closed convex set, coupled with a {\color{black} functional or expectation} constraint on either decision variables or problem parameters. We first present a new…
High-probability guarantees in stochastic optimization are often obtained only under strong noise assumptions such as sub-Gaussian tails. We show that such guarantees can also be achieved under the weaker assumption of bounded variance by…
In this paper, we study the following robust optimization problem. Given an independence system and candidate objective functions, we choose an independent set, and then an adversary chooses one objective function, knowing our choice. Our…
We present a new algorithm to optimize distributions defined implicitly by parameterized stochastic diffusions. Doing so allows us to modify the outcome distribution of sampling processes by optimizing over their parameters. We introduce a…
We propose a flexible scenario-based regularized Sample Average Approximation (SBR-SAA) framework for stochastic optimization. This work is motivated by challenges in standard Wasserstein Distributionally Robust Optimization (WDRO), where…
In two-stage robust optimization the solution to a problem is built in two stages: In the first stage a partial, not necessarily feasible, solution is exhibited. Then the adversary chooses the "worst" scenario from a predefined set of…
We study statistical inference and distributionally robust solution methods for stochastic optimization problems, focusing on confidence intervals for optimal values and solutions that achieve exact coverage asymptotically. We develop a…
We consider stochastic optimization problems which use observed data to estimate essential characteristics of the random quantities involved. Sample average approximation (SAA) or empirical (plug-in) estimation are very popular ways to use…
We study three two-stage optimization problems with a similar structure and different objectives. In the first stage of each problem, the goal is to assign input jobs of positive sizes to unsplittable bags. After this assignment is decided,…
A widely used heuristic for solving stochastic optimization problems is to use a deterministic rolling horizon procedure, which has been modified to handle uncertainty (e.g. buffer stocks, schedule slack). This approach has been criticized…
The most common approaches for solving multistage stochastic programming problems in the research literature have been to either use value functions ("dynamic programming") or scenario trees ("stochastic programming") to approximate the…
We present a fully probabilistic approach for solving binary optimization problems with black-box objective functions and with budget constraints. In the probabilistic approach, the optimization variable is viewed as a random variable and…
In this paper, we develop a two-stage data-driven approach to address the adjustable robust optimization problem, where the uncertainty set is adjustable to manage infeasibility caused by significant or poorly quantified uncertainties. In…
We address the issue of control of a stochastic two-component granulation process in pharmaceutical applications through using Stochastic Model Predictive Control (SMPC) and model reduction to obtain the desired particle distribution. We…
Stochastic gradient descent is a canonical tool for addressing stochastic optimization problems, and forms the bedrock of modern machine learning and statistics. In this work, we seek to balance the fact that attenuating step-size is…
We present the Stochastic alternate Linearization Method (StochaLM), a token-based method for distributed optimization. This algorithm finds the solution of a consensus optimization problem by solving a sequence of subproblems where some…
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…
We analyze a stochastic approximation algorithm for decision-dependent problems, wherein the data distribution used by the algorithm evolves along the iterate sequence. The primary examples of such problems appear in performative prediction…