Related papers: A Multistage Distributionally Robust Optimization …
In strategic scenarios where decision-makers operate at different hierarchical levels, traditional optimization methods are often inadequate for handling uncertainties from incomplete information or unpredictable external factors. To fill…
Implementing economy-wide decarbonization strategies based on decarbonizing the power grid via variable renewable energy (VRE) expansion and electrification of end-uses requires new approaches for energy infrastructure planning that…
The performance of machine learning (ML) models critically depends on the quality and representativeness of the training data. In applications with multiple heterogeneous data generating sources, standard ML methods often learn spurious…
Distributionally robust optimization (DRO) has been introduced for solving stochastic programs where the distribution of the random parameters is unknown and must be estimated by samples from that distribution. A key element of DRO is the…
Distributionally robust optimization (DRO) is a powerful tool for decision making under uncertainty. It is particularly appealing because of its ability to leverage existing data. However, many practical problems call for decision-making…
This paper studies Markov Decision Processes under parameter uncertainty. We adapt the distributionally robust optimization framework, and assume that the uncertain parameters are random variables following an unknown distribution, and…
The distributionally robust Markov Decision Process (MDP) approach asks for a distributionally robust policy that achieves the maximal expected total reward under the most adversarial distribution of uncertain parameters. In this paper, we…
Model Predictive Control (MPC) is widely recognized for its ability to explicitly handle system constraints. In practice, system states are often affected by disturbances with unknown distributions. While robust MPC guarantees constraint…
We consider the problem of preparing for a disaster season by determining where to open warehouses and how much relief item inventory to preposition in each. Then, after each disaster, prepositioned items are distributed to demand nodes…
In recent years, Wasserstein Distributionally Robust Optimization (DRO) has garnered substantial interest for its efficacy in data-driven decision-making under distributional uncertainty. However, limited research has explored the…
We present a novel framework for distributionally robust optimization (DRO), called cost-aware DRO (CADRO). The key idea of CADRO is to exploit the cost structure in the design of the ambiguity set to reduce conservatism. Particularly, the…
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 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,…
Two-stage risk-averse distributionally robust optimization (DRO) problems are ubiquitous across many engineering and business applications. Despite their promising resilience, two-stage DRO problems are generally computationally…
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 this paper, we study the two-stage distributionally robust optimization (DRO) problem from the primal perspective. Unlike existing approaches, this perspective allows us to build a deeper and more intuitive understanding on DRO, to…
This paper presents a novel distributed robust optimization scheme for steering distributions of multi-agent systems under stochastic and deterministic uncertainty. Robust optimization is a subfield of optimization which aims to discover an…
In this paper, we consider a network capacity expansion problem in the context of telecommunication networks, where there is uncertainty associated with the expected traffic demand. We employ a distributionally robust stochastic…
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…
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…