Related papers: Effective Scenarios in Multistage Distributionally…
This paper focuses on the contextual optimization problem where a decision is subject to some uncertain parameters and covariates that have some predictive power on those parameters are available before the decision is made. More…
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…
Multistage stochastic optimization problems are oftentimes formulated informally in a pathwise way. These are correct in a discrete setting and suitable when addressing computational challenges, for example. But the pathwise problem…
We develop a Distributionally Robust Optimization (DRO) formulation for Multiclass Logistic Regression (MLR), which could tolerate data contaminated by outliers. The DRO framework uses a probabilistic ambiguity set defined as a ball of…
We develop a Distributionally Robust Optimization (DRO) formulation for Multiclass Logistic Regression (MLR), which could tolerate data contaminated by outliers. The DRO framework uses a probabilistic ambiguity set defined as a ball of…
In this paper, we introduce a framework for solving finite-horizon multistage optimization problems under uncertainty in the presence of auxiliary data. We assume the joint distribution of the uncertain quantities is unknown, but noisy…
To ensure a successful bid while maximizing of profits, generation companies (GENCOs) need a self-scheduling strategy that can cope with a variety of scenarios. So distributionally robust opti-mization (DRO) is a good choice because that it…
It is known that the set of perturbed data is key in robust optimization (RO) modelling. Distributionally robust optimization (DRO) is a methodology used for optimization problems affected by random parameters with uncertain probability…
Multi-stage decision-making under uncertainty, where decisions are taken under sequentially revealing uncertain problem parameters, is often essential to faithfully model managerial problems. Given the significant computational challenges…
We propose an approach based on machine learning to solve two-stage linear adaptive robust optimization (ARO) problems with binary here-and-now variables and polyhedral uncertainty sets. We encode the optimal here-and-now decisions, the…
There are numerous industrial settings in which a decision maker must decide whether to enter into long-term contracts to guarantee price (and hence cash flow) stability or to participate in more volatile spot markets. In this paper, we…
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…
We study the distributionally robust optimization (DRO) in a dynamic context where the model uncertainty is captured by penalizing potential models in function of their adapted Wasserstein distance to a given reference model. We consider…
Model Predictive Control is an extremely effective control method for systems with input and state constraints. Model Predictive Control performance heavily depends on the accuracy of the open-loop prediction. For systems with uncertainty…
Multicriteria adjustable robust optimization (MARO) problems arise in a wide variety of practical settings, for example, in the design of a building's energy supply. However, no general approaches, neither for the characterization of…
We propose a mathematically principled PDE gradient flow framework for distributionally robust optimization (DRO). Exploiting the recent advances in the intersection of Markov Chain Monte Carlo sampling and gradient flow theory, we show…
In robust optimization, we would like to find a solution that is immunized against all scenarios that are modeled in an uncertainty set. Which scenarios to include in such a set is therefore of central importance for the tractability of the…
Distributionally robust control is a well-studied framework for optimal decision making under uncertainty, with the objective of minimizing an expected cost function over control actions, assuming the most adverse probability distribution…
In this paper, we consider a distributionally robust resource planning model inspired by a real-world service industry problem. In this problem, there is a mixture of known demand and uncertain future demand. Prior to having full knowledge…
A central goal of machine learning is to learn robust representations that capture the causal relationship between inputs features and output labels. However, minimizing empirical risk over finite or biased datasets often results in models…