Related papers: Strong Formulations for Distributionally Robust Ch…
This study addresses a class of linear mixed-integer programming (MILP) problems that involve uncertainty in the objective function parameters. The parameters are assumed to form a random vector, whose probability distribution can only be…
We address the problem of computing reliable policies in reinforcement learning problems with limited data. In particular, we compute policies that achieve good returns with high confidence when deployed. This objective, known as the…
This paper studies the expected optimal value of a mixed 0-1 programming problem with uncertain objective coefficients following a joint distribution. We assume that the true distribution is not known exactly, but a set of independent…
We propose a distributionally robust return-risk model for Markov decision processes (MDPs) under risk and reward ambiguity. The proposed model optimizes the weighted average of mean and percentile performances, and it covers the…
The standard quadratic optimization problem (StQP) consists of minimizing a quadratic form over the standard simplex. Without assuming convexity or concavity of the quadratic form, the StQP is NP-hard. This problem has many interesting…
This paper studies distributionally robust chance constrained programs (DRCCPs), where the uncertain constraints must be satisfied with at least a probability of a prespecified threshold for all probability distributions from the…
We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where…
We study distributionally robust quantile regression using type-$p$ Wasserstein ambiguity sets. We derive a closed-form expression for the worst-case quantile regression loss under general $p$-Wasserstein uncertainty. We further give a…
This work presents a new Distributionally Robust Optimization approach, using $p$-Wasserstein metrics, to analyze a stochastic program in a general context. The ambiguity set in this approach depends on the decision variable and is…
We study distributionally robust optimization (DRO) problems with uncertainty sets consisting of high-dimensional random vectors that are close in the multivariate Wasserstein distance to a reference random vector. We give conditions when…
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…
The non-convexity and intractability of distributionally robust chance constraints make them challenging to cope with. From a data-driven perspective, we propose formulating it as a robust optimization problem to ensure that the…
We present a novel data-driven distributionally robust Model Predictive Control formulation for unknown discrete-time linear time-invariant systems affected by unknown and possibly unbounded additive uncertainties. We use off-line collected…
We provide an exact deterministic reformulation for data-driven chance constrained programs over Wasserstein balls. For individual chance constraints as well as joint chance constraints with right-hand side uncertainty, our reformulation…
We consider the chance-constrained program (CCP) with random right-hand side under a finite discrete distribution. It is known that the standard mixed integer linear programming (MILP) reformulation of the CCP is generally difficult to…
Intensively studied in theory as a promising data-driven tool for decision-making under ambiguity, two-stage distributionally robust optimization (DRO) problems over Wasserstein balls are not necessarily easy to solve in practice. This is…
We consider data-driven approaches that integrate a machine learning prediction model within distributionally robust optimization (DRO) given limited joint observations of uncertain parameters and covariates. Our framework is flexible in…
This paper presents a distributionally robust Q-Learning algorithm (DrQ) which leverages Wasserstein ambiguity sets to provide idealistic probabilistic out-of-sample safety guarantees during online learning. First, we follow past work by…
Markov decision process (MDP) is a decision making framework where a decision maker is interested in maximizing the expected discounted value of a stream of rewards received at future stages at various states which are visited according to…
As a natural approach to modeling system safety conditions, chance constraint (CC) seeks to satisfy a set of uncertain inequalities individually or jointly with high probability. Although a joint CC offers stronger reliability certificate,…