Related papers: A Distributionally Robust Optimization Approach to…

This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average control problem are considered for a tracking type cost…

Many decision problems in science, engineering and economics are affected by uncertain parameters whose distribution is only indirectly observable through samples. The goal of data-driven decision-making is to learn a decision from finitely…

We consider the problem of learning classification trees that are robust to distribution shifts between training and testing/deployment data. This problem arises frequently in high stakes settings such as public health and social work where…

Monte Carlo methods are widely used in particle physics to integrate and sample probability distributions (differential cross sections or decay rates) on multi-dimensional phase spaces. We present a Neural Network (NN) algorithm optimized…

This work presents a distributionally robust Kalman filter to address uncertainties in noise covariance matrices and predicted covariance estimates. We adopt a distributionally robust formulation using bicausal optimal transport to…

Robust optimization is a tractable and expressive technique for decision-making under uncertainty, but it can lead to overly conservative decisions when pessimistic assumptions are made on the uncertain parameters. Wasserstein…

Distributionally robust optimization is used to tackle decision making problems under uncertainty where the distribution of the uncertain data is ambiguous. Many ambiguity sets have been proposed for continuous uncertainty that build on…

This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market information and its dependence with tradable assets is…

In this paper, we study the distributionally robust joint chance constrained Markov decision process. {Utilizing the logarithmic transformation technique,} we derive its deterministic reformulation with bi-convex terms under the…

A common goal in statistics and machine learning is to learn models that can perform well against distributional shifts, such as latent heterogeneous subpopulations, unknown covariate shifts, or unmodeled temporal effects. We develop and…

With the rapid increment of multiple users for data offloading and computation, it is challenging to guarantee the quality of service (QoS) in remote areas. To deal with the challenge, it is promising to combine aerial access networks…

Robust optimization(RO) is an important tool for handling optimization problem with uncertainty. The main objective of RO is to solve optimization problems due to uncertainty associated with constraints satisfying all realizations of…

The sparse linear regression problem is difficult to handle with usual sparse optimization models when both predictors and measurements are either quantized or represented in low-precision, due to non-convexity. In this paper, we provide a…

Control architectures and autonomy stacks for complex engineering systems are often divided into layers to decompose a complex problem and solution into distinct, manageable sub-problems. To simplify designs, uncertainties are often ignored…

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 study control of constrained linear systems with only partial statistical information about the uncertainty affecting the system dynamics and the sensor measurements. Specifically, given a finite collection of disturbance realizations…

We present a distributionally robust optimization (DRO) approach for the transmission expansion planning problem, considering both long- and short-term uncertainties on the system demand and non-dispatchable renewable generation. On the…

We study a stochastic program where the probability distribution of the uncertain problem parameters is unknown and only indirectly observed via finitely many correlated samples generated by an unknown Markov chain with $d$ states. We…

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…

Both bilevel and robust optimization are established fields of mathematical optimization and operations research. However, only until recently, the similarities in their mathematical structure has neither been studied theoretically nor…