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We study piecewise affine policies for multi-stage adjustable robust optimization (ARO) problems with non-negative right-hand side uncertainty. First, we construct new dominating uncertainty sets and show how a multi-stage ARO problem can…
Performance degradation due to target deviation by, for example, drift or jitter, presents a significant issue to inter-satellite laser communications. In particular, with periodic acquisition for positioning the satellite receiver,…
Modern stochastic optimization pipelines increasingly rely on learned generative models to represent uncertainty, while downstream decisions are evaluated almost entirely through Monte Carlo scenarios. This shifts the operational object of…
In this paper, we focus on developing efficient sensitivity analysis methods for a computationally expensive objective function $f(x)$ in the case that the minimization of it has just been performed. Here "computationally expensive" means…
The optimal and robust design of structures has gained much attention in the past ten years due to the ever increasing need for manufacturers to build robust systems at the lowest cost. Reliability-based design optimization (RBDO) allows…
In this paper, we propose and analyze a trust-region model-based algorithm for solving unconstrained stochastic optimization problems. Our framework utilizes random models of an objective function $f(x)$, obtained from stochastic…
We propose a distributionally robust formulation of the traditional risk parity portfolio optimization problem. Distributional robustness is introduced by targeting the discrete probabilities attached to each observation used during…
Decisions are increasingly taken by both humans and machine learning models. However, machine learning models are currently trained for full automation -- they are not aware that some of the decisions may still be taken by humans. In this…
We propose a sampling algorithm that achieves superior complexity bounds in all the classical settings (strongly log-concave, log-concave, Logarithmic-Sobolev inequality (LSI), Poincar\'e inequality) as well as more general settings with…
We present a distributionally robust optimization (DRO) approach for the transmission expansion planning problem, considering both long- and short-term uncertainties on the system demand and non-dispatchable renewable generation. On the…
We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open case of static hedging with second-period maturity vanilla…
This paper addresses the computational challenges in reliability-based topology optimization (RBTO) of structures associated with the estimation of statistics of the objective and constraints using standard sampling methods, and overcomes…
We consider a distributionally robust stochastic optimization problem and formulate it as a stochastic two-level composition optimization problem with the use of the mean--semideviation risk measure. In this setting, we consider a single…
This paper presents a novel distributed robust optimization scheme for steering distributions of multi-agent systems under stochastic and deterministic uncertainty. Robust optimization is a subfield of optimization which aims to discover an…
Distributionally robust optimization (DRO) has emerged as a powerful paradigm for reliable decision-making under uncertainty. This paper focuses on DRO with ambiguity sets defined via the Sinkhorn discrepancy: an entropy-regularized…
A scalable problem to benchmark robust multidisciplinary design optimization algorithms (RMDO) is proposed. This allows the user to choose the number of disciplines, the dimensions of the coupling and design variables and the extent of the…
In this paper, we study the performance of affine policies for two-stage adjustable robust optimization problem with fixed recourse and uncertain right hand side belonging to a budgeted uncertainty set. This is an important class of…
Robust optimization(RO) is an important tool for handling optimization problem with uncertainty. The main objective of RO is to solve optimization problems due to uncertainty associated with constraints satisfying all realizations of…
Group distributionally robust optimization (GDRO) aims to develop models that perform well across $m$ distributions simultaneously. Existing GDRO algorithms can only process a fixed number of samples per iteration, either 1 or $m$, and…
Two typical fixed-length random number generation problems in information theory are considered for general sources. One is the source resolvability problem and the other is the intrinsic randomness problem. In each of these problems, the…