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Optimal-Transport Distributionally Robust Optimization (OT-DRO) robustifies data-driven decision-making under uncertainty by capturing the sampling-induced statistical error via optimal transport ambiguity sets. The standard OT-DRO pipeline…
This paper addresses the issues of conservativeness and computational complexity of probabilistic robustness analysis. We solve both issues by defining a new sampling strategy and robustness measure. The new measure is shown to be much less…
Attention to data-driven optimization approaches, including the well-known stochastic gradient descent method, has grown significantly over recent decades, but data-driven constraints have rarely been studied, because of the computational…
We consider the minimization of submodular functions subject to ordering constraints. We show that this optimization problem can be cast as a convex optimization problem on a space of uni-dimensional measures, with ordering constraints…
We study the design of resilient and reliable communication networks in which a signal can be transferred only up to a limited distance before its quality falls below an acceptable threshold. When excessive signal degradation occurs,…
An important problem in sequential decision-making under uncertainty is to use limited data to compute a safe policy, i.e., a policy that is guaranteed to perform at least as well as a given baseline strategy. In this paper, we develop and…
We consider a class of production-inventory problems with box uncertainty sets from the seminal work of Ben-Tal et al. (2004) on linear decision rules in robust optimization. We prove that there always exists an optimal linear decision rule…
We study the ridge method for min-max problems, and investigate its convergence without any convexity, differentiability or qualification assumption. The central issue is to determine whether the ''parametric optimality formula'' provides a…
In observational studies, the causal effect of a treatment may be confounded with variables that are related to both the treatment and the outcome of interest. In order to identify a causal effect, such studies often rely on the…
In this paper we examine multi-objective linear programming problems in the face of data uncertainty both in the objective function and the constraints. First, we derive a formula for radius of robust feasibility guaranteeing constraint…
We propose a robust optimization approach for constructing confidence bands for stochastic processes using a finite number of simulated sample paths. Our approach can be used to quantify uncertainty in realizations of stochastic processes…
We consider minimization of a smooth nonconvex function with inexact oracle access to gradient and Hessian (without assuming access to the function value) to achieve approximate second-order optimality. A novel feature of our method is that…
We consider optimization problems with uncertain constraints that need to be satisfied probabilistically. When data are available, a common method to obtain feasible solutions for such problems is to impose sampled constraints, following…
When sample data are governed by an unknown sequence of independent but possibly non-identical distributions, the data-generating process (DGP) in general cannot be perfectly identified from the data. For making decisions facing such…
In reinforcement learning, robust policies for high-stakes decision-making problems with limited data are usually computed by optimizing the \emph{percentile criterion}. The percentile criterion is approximately solved by constructing an…
This contribution examines optimization problems that involve stochastic dominance constraints. These problems have uncountably many constraints. We develop methods to solve the optimization problem by reducing the constraints to a finite…
We consider the problem of synthesizing robust disturbance feedback policies for systems performing complex tasks. We formulate the tasks as linear temporal logic specifications and encode them into an optimization framework via…
An agent must try new behaviors to explore and improve. In high-stakes environments, an agent that violates safety constraints may cause harm and must be taken offline, curtailing any future interaction. Imitating old behavior is safe, but…
Recently there has been a surge of interest in operations research (OR) and the machine learning (ML) community in combining prediction algorithms and optimization techniques to solve decision-making problems in the face of uncertainty.…
Our goal is to build robust optimization problems for making decisions based on complex data from the past. In robust optimization (RO) generally, the goal is to create a policy for decision-making that is robust to our uncertainty about…