Related papers: Conic Reformulations for Kullback-Leibler Divergen…
We consider distributionally robust optimization (DRO) problems, reformulated as distributionally robust feasibility (DRF) problems, with multiple expectation constraints. We propose a generic stochastic first-order meta-algorithm, where…
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…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…
A central goal of machine learning is to learn robust representations that capture the causal relationship between inputs features and output labels. However, minimizing empirical risk over finite or biased datasets often results in models…
We study a variety of Wasserstein distributionally robust optimization (WDRO) problems where the distributions in the ambiguity set are chosen by constraining their Wasserstein discrepancies to the empirical distribution. Using the notion…
In a regression setup with deterministic design, we study the pure aggregation problem and introduce a natural extension from the Gaussian distribution to distributions in the exponential family. While this extension bears strong…
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…
This paper studies distributionally robust regret-optimal (DRRO) control with purified output feedback for linear systems subject to additive disturbances and measurement noise. These uncertainties (including the initial system state) are…
It is essential to capture the true probability distribution of uncertain data in the distributionally robust optimization (DRO). The uncertain data presents multimodality in numerous application scenarios, in the sense that the probability…
Cardinality constraints in optimization are commonly of $L^0$-type, and they lead to sparsely supported optimizers. An efficient way of dealing with these constraints algorithmically, when the objective functional is convex, is…
We study the problem of learning a single neuron under standard squared loss in the presence of arbitrary label noise and group-level distributional shifts, for a broad family of covariate distributions. Our goal is to identify a…
Distributionally robust optimization (DRO) is an effective approach for data-driven decision-making in the presence of uncertainty. Geometric uncertainty due to sampling or localized perturbations of data points is captured by Wasserstein…
In problems that involve input parameter information gathered from multiple data sources with varying reliability, incorporating decision makers' trust on different sources in optimization models can potentially improve solution…
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…
We study the distributionally robust optimization (DRO) in a dynamic context where the model uncertainty is captured by penalizing potential models in function of their adapted Wasserstein distance to a given reference model. We consider…
Classical stochastic control assumes perfect knowledge of the uncertainty affecting the plant. In practice, however, such information is often incomplete. To address this limitation, we consider a distributionally robust control (DRC)…
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…
We propose two distributionally robust optimization (DRO) models for a mobile facility (MF) fleet sizing, routing, and scheduling problem (MFRSP) with time-dependent and random demand, as well as methodologies for solving these models.…
The increasing share of renewables in the electricity generation mix comes along with an increasing uncertainty in power supply. In the recent years, distributionally robust optimization has gained significant interest due to its ability to…
An efficient algorithm for the determination of Bayesian optimal discriminating designs for competing regression models is developed, where the main focus is on models with general distributional assumptions beyond the "classical" case of…