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Distributionally robust optimization (DRO) has been introduced for solving stochastic programs where the distribution of the random parameters is unknown and must be estimated by samples from that distribution. A key element of DRO is the…
Reliability-based design optimization (RBDO) provides a rational and sound framework for finding the optimal design while taking uncertainties into ac-count. The main issue in implementing RBDO methods, particularly stochastic simu-lation…
We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not necessarily discrete. We derive primal and dual formulations…
This paper studies Distributionally Robust Optimization (DRO), a fundamental framework for enhancing the robustness and generalization of statistical learning and optimization. An effective ambiguity set for DRO must involve distributions…
This paper studies Distributionally Robust Optimization (DRO), a fundamental framework for enhancing the robustness and generalization of statistical learning and optimization. An effective ambiguity set for DRO must involve distributions…
Stochastic and (distributionally) robust optimization problems often become computationally challenging as the number of scenarios or data points increases. Scenario reduction is therefore a key technique for improving tractability. We…
We consider a two-stage distributionally robust optimization (DRO) model with multimodal uncertainty, where both the mode probabilities and uncertainty distributions could be affected by the first-stage decisions. To address this setting,…
Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of…
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…
Submodular functions have applications throughout machine learning, but in many settings, we do not have direct access to the underlying function $f$. We focus on stochastic functions that are given as an expectation of functions over a…
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…
Distributionally robust optimization (DRO) is a widely used framework for optimizing objective functionals in the presence of both randomness and model-form uncertainty. A key step in the practical solution of many DRO problems is a…
This paper provides a non-robust interpretation of the distributionally robust optimization (DRO) problem by relating the distributional uncertainties to the chance probabilities. Our analysis allows a decision-maker to interpret the size…
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…
Distributionally robust optimization (DRO) incorporates robustness against uncertainty in the specification of probabilistic models. This paper focuses on mitigating the curse of dimensionality in data-driven DRO problems with optimal…
Reliability-based design optimization (RBDO) is traditionally formulated as a nested optimization and reliability problem. Although surrogate models are generally employed to improve efficiency, the approach remains computationally…
The Robust Satisficing (RS) model is an emerging approach to robust optimization, offering streamlined procedures and robust generalization across various applications. However, the statistical theory of RS remains unexplored in the…
Robust optimization (RO) is a common approach to tractably obtain safeguarding solutions for optimization problems with uncertain constraints. In this paper, we study a statistical framework to integrate data into RO, based on learning a…
Distributionally Favorable Optimization (DFO) is an important framework for decision-making under uncertainty, with applications across fields such as reinforcement learning, online learning, robust statistics, chance-constrained…
Distributionally robust optimization (DRO) has shown lot of promise in providing robustness in learning as well as sample based optimization problems. We endeavor to provide DRO solutions for a class of sum of fractionals, non-convex…