Related papers: Robust Policy Selection and Harvest Risk Quantific…
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that…
This paper revisits the classic instrument choice problem in a setting with consumption externalities, through the lens of robust mechanism design. A regulator can implement any incentive-compatible policy but is uncertain about how…
We present a variational free-energy formulation for distributionally robust decision-making with ambiguity in the generative model. The formulation, related to a broad range of learning and control frameworks, yields a minimax optimal…
This paper deals with some control problems related to structured population dynamics with diffusion. Firstly, we investigate the regional control for an optimal harvesting problem (the control acts in a subregion $\omega$ of the whole…
Recently, literature on dynamic coherent risk measures has broadened the choices for risk-sensitive performance evaluation. A running example includes Cumulative prospect theory and Conditional variance at risk. Most of them can be can be…
Inventory management problems with periodic and controllable resets occur in the context of managing water storage in the developing world and retailing limited-time availability products. In this paper, we consider a set of sequential…
In this paper, we present a unified framework for decision making under uncertainty. Our framework is based on the composite of two risk measures, where the inner risk measure accounts for the risk of decision given the exact distribution…
This paper aims to introduce a concept of an equilibrium point of a dynamical system which will call it almost global asymptotically stable. A biological prey-predator model is also analyzed with a modification function growth in prey…
This paper describes a novel approach to planning which takes advantage of decision theory to greatly improve robustness in an uncertain environment. We present an algorithm which computes conditional plans of maximum expected utility. This…
Robust optimization methods have shown practical advantages in a wide range of decision-making applications under uncertainty. Recently, their efficacy has been extended to multi-period settings. Current approaches model uncertainty either…
In this paper a new framework has been applied to the design of controllers which encompasses nonlinearity, hysteresis and arbitrary density functions of forward models and inverse controllers. Using mixture density networks, the…
Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from…
We study linear policy approximations for the risk-conscious operation of an industrial energy system with uncertain wind power, significant and variable electricity demand, and high thermal output, as found in a modern foundry. The system…
We consider the problem of finite-horizon optimal control design under uncertainty for imperfectly observed discrete-time systems with convex costs and constraints. It is known that this problem can be cast as an infinite-dimensional convex…
This paper studies distributionally robust optimization for a rich class of risk measures with ambiguity sets defined by $\phi$-divergences. The risk measures are allowed to be non-linear in probabilities, are represented by Choquet…
Having a perfect model to compute the optimal policy is often infeasible in reinforcement learning. It is important in high-stakes domains to quantify and manage risk induced by model uncertainties. Entropic risk measure is an exponential…
Classical deterministic optimal control problems assume full information about the controlled process. The theory of control for general partially-observable processes is powerful, but the methods are computationally expensive and typically…
Our goal is to build robust optimization problems for making decisions based on complex data from the past. In robust optimization (RO) generally, the goal is to create a policy for decision-making that is robust to our uncertainty about…
We study a utility maximization problem in a financial market with a stochastic drift process, combining a worst-case approach with filtering techniques. Drift processes are difficult to estimate from asset prices, and at the same time…
In this article, we address the problem of risk assessment of stealthy attacks on uncertain control systems. Considering data injection attacks that aim at maximizing impact while remaining undetected, we use the recently proposed…