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Distributionally Favorable Optimization (DFO) is an important framework for decision-making under uncertainty, with applications across fields such as reinforcement learning, online learning, robust statistics, chance-constrained…
We study two-stage adjustable robust linear programming in which the right-hand sides are uncertain and belong to a convex, compact uncertainty set. This problem is NP-hard, and the affine policy is a popular, tractable approximation. We…
We consider a two-stage stochastic decision problem where the decision-maker has the opportunity to obtain information about the distribution of the random variables $\xi$ that appear in the problem through a set of discrete actions that we…
Dynamic Treatment Regimes (DTRs) provide a systematic framework for optimizing sequential decision-making in chronic disease management, where therapies must adapt to patients' evolving clinical profiles. Inverse probability weighting (IPW)…
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…
Dynamic treatment regimes (DTRs) consist of a sequence of decision rules, one per stage of intervention, that finds effective treatments for individual patients according to patient information history. DTRs can be estimated from models…
We consider multistage stochastic linear optimization problems combining joint dynamic probabilistic constraints with hard constraints. We develop a method for projecting decision rules onto hard constraints of wait-and-see type. We…
Integrative analysis of multiple datasets for estimating optimal individualized treatment rules (ITRs) can enhance decision efficiency. A central challenge is posterior shift, wherein the conditional distribution of potential outcomes given…
Transmission system operators employ reserves to deal with unexpected variations of demand and generation to guarantee the security of supply. The French transmission system operator RTE dynamically sizes the required margins using a…
Chance-constrained programming (CCP) is one of the most difficult classes of optimization problems that has attracted the attention of researchers since the 1950s. In this survey, we focus on cases when only a limited information on the…
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 revisit Markowitz's mean-variance portfolio selection model by considering a distributionally robust version, where the region of distributional uncertainty is around the empirical measure and the discrepancy between probability measures…
To model combinatorial decision problems involving uncertainty and probability, we introduce stochastic constraint programming. Stochastic constraint programs contain both decision variables (which we can set) and stochastic variables…
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…
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…
Using offline observational data for policy evaluation and learning allows decision-makers to evaluate and learn a policy that connects characteristics and interventions. Most existing literature has focused on either discrete treatment…
Current research on robust trajectory planning for autonomous agents aims to mitigate uncertainties arising from disturbances and modeling errors while ensuring guaranteed safety. Existing methods primarily utilize stochastic optimal…
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…
Computing expected predictions of discriminative models is a fundamental task in machine learning that appears in many interesting applications such as fairness, handling missing values, and data analysis. Unfortunately, computing…
The robustness of fault detection algorithms against uncertainty is crucial in the real-world industrial environment. Recently, a new probabilistic design scheme called distributionally robust fault detection (DRFD) has emerged and received…