Related papers: Large-Scale Methods for Distributionally Robust Op…

The ability to make optimal decisions under uncertainty remains important across a variety of disciplines from portfolio management to power engineering. This generally implies applying some safety margins on uncertain parameters that may…

In this paper, we discuss the ambiguous chance constrained based portfolio optimization problems, in which the perturbations associated with the input parameters are stochastic in nature, but their distributions are not known precisely. We…

We show that a wide class of risk-constrained nonconvex functional optimization problems exhibit strong duality, regardless of nonconvexity. We develop two novel results under distinct sets of assumptions, establishing strong duality over…

We consider the problem of distributionally robust multimodal machine learning. Existing approaches often rely on merging modalities on the feature level (early fusion) or heuristic uncertainty modeling, which downplays modality-aware…

This paper investigates distributed zeroth-order optimization for smooth nonconvex problems, targeting the trade-off between convergence rate and sampling cost per zeroth-order gradient estimation in current algorithms that use either the…

We consider a class of optimization problems with Cartesian variational inequality (CVI) constraints, where the objective function is convex and the CVI is associated with a monotone mapping and a convex Cartesian product set. This…

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…

In this paper, we develop a new accelerated stochastic gradient method for efficiently solving the convex regularized empirical risk minimization problem in mini-batch settings. The use of mini-batches is becoming a golden standard in the…

In this paper, we study the stochastic combinatorial multi-armed bandit problem under semi-bandit feedback. While much work has been done on algorithms that optimize the expected reward for linear as well as some general reward functions,…

This article develops a new algorithm named TTRISK to solve high-dimensional risk-averse optimization problems governed by differential equations (ODEs and/or PDEs) under uncertainty. As an example, we focus on the so-called Conditional…

Training machine learning and statistical models often involves optimizing a data-driven risk criterion. The risk is usually computed with respect to the empirical data distribution, but this may result in poor and unstable out-of-sample…

While modern large-scale datasets often consist of heterogeneous subpopulations -- for example, multiple demographic groups or multiple text corpora -- the standard practice of minimizing average loss fails to guarantee uniformly low losses…

Many practical applications of robotics require systems that can operate safely despite uncertainty. In the context of motion planning, two types of uncertainty are particularly important when planning safe robot trajectories. The first is…

We consider a class of risk-averse submodular maximization problems (RASM) where the objective is the conditional value-at-risk (CVaR) of a random nondecreasing submodular function at a given risk level. We propose valid inequalities and an…

In this paper, probabilistic guarantees for constraint sampling of multistage robust convex optimization problems are derived. The dynamic nature of these problems is tackled via the so-called scenario-with-certificates approach. This…

In this paper a class of optimization problems with uncertain linear constraints is discussed. It is assumed that the constraint coefficients are random vectors whose probability distributions are only partially known. Possibility theory is…

Adaptive sampling algorithms are modern and efficient methods that dynamically adjust the sample size throughout the optimization process. However, they may encounter difficulties in risk-averse settings, particularly due to the challenge…

We study a continuous-time portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the difference between the CVaR and the expected terminal wealth. While the mean-CVaR…

We study the robustness of accelerated first-order algorithms to stochastic uncertainties in gradient evaluation. Specifically, for unconstrained, smooth, strongly convex optimization problems, we examine the mean-squared error in the…

The scenario-based optimization approach (`scenario approach') provides an intuitive way of approximating the solution to chance-constrained optimization programs, based on finding the optimal solution under a finite number of sampled…