Related papers: Covariance Steering with Optimal Risk Allocation

We consider a multi-objective risk-averse two-stage stochastic programming problem with a multivariate convex risk measure. We suggest a convex vector optimization formulation with set-valued constraints and propose an extended version of…

This paper studies the communication complexity of convex risk-averse optimization over a network. The problem generalizes the well-studied risk-neutral finite-sum distributed optimization problem and its importance stems from the need to…

Two-stage stochastic optimization is a framework for modeling uncertainty, where we have a probability distribution over possible realizations of the data, called scenarios, and decisions are taken in two stages: we make first-stage…

We consider various stochastic models that incorporate the notion of risk-averseness into the standard 2-stage recourse model, and develop novel techniques for solving the algorithmic problems arising in these models. A key notable feature…

Recently, there has been a growing interest in distributionally robust optimization (DRO) as a principled approach to data-driven decision making. In this paper, we consider a distributionally robust two-stage stochastic optimization…

This work examines the optimal covariance steering problem for systems subject to unknown parameters that enter multiplicatively with the state and control, in addition to additive disturbances. In contrast to existing works, the unknown…

Spacecraft operations are influenced by uncertainties such as dynamics modeling, navigation, and maneuver execution errors. Although mission design has traditionally incorporated heuristic safety margins to mitigate the effect of…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…

In this paper, we focus on a data-driven risk-averse multistage stochastic programming (RMSP) model considering distributional robustness. We optimize the RMSP over the worst-case distribution within an ambiguity set of probability…

Planning and control for uncertain contact systems is challenging as it is not clear how to propagate uncertainty for planning. Contact-rich tasks can be modeled efficiently using complementarity constraints among other techniques. In this…

This paper considers a risk-constrained infinite-horizon optimal control problem and proposes to solve it in an iterative manner. Each iteration of the algorithm generates a trajectory from the starting point to the target equilibrium state…

Choosing control inputs randomly can result in a reduced expected cost in optimal control problems with stochastic constraints, such as stochastic model predictive control (SMPC). We consider a controller with initial randomization, meaning…

We consider the problem of minimum energy steering of a linear stochastic system to a final prescribed distribution over a finite horizon and to maintain a stationary distribution over an infinite horizon. We present sufficient conditions…

We study a first-order primal-dual subgradient method to optimize risk-constrained risk-penalized optimization problems, where risk is modeled via the popular conditional value at risk (CVaR) measure. The algorithm processes independent and…

A wide range of applications arising in machine learning and signal processing can be cast as convex optimization problems. These problems are often ill-posed, i.e., the optimal solution lacks a desired property such as uniqueness or…

We consider a risk-averse optimal control problem governed by an elliptic variational inequality (VI) subject to random inputs. By deriving KKT-type optimality conditions for a penalised and smoothed problem and studying convergence of the…

A method is presented to solve a stochastic, nonlinear optimal control problem representative of spacecraft trajectory design under uncertainty. The problem is reformulated as a chance constrained nonlinear program, or what is known as a…

The stochastic gradient descent (SGD) method is a widely used approach for solving stochastic optimization problems, but its convergence is typically slow. Existing variance reduction techniques, such as SAGA, improve convergence by…

We propose a data-driven portfolio selection model that integrates side information, conditional estimation and robustness using the framework of distributionally robust optimization. Conditioning on the observed side information, the…

The allocation problem for multivariate stratified random sampling as a problem of stochastic matrix integer mathematical programming is considered. With these aims the asymptotic normality of sample covariance matrices for each strata is…