Related papers: Preference Robust Modified Optimized Certainty Equ…
Utility preference robust optimization (PRO) has recently been proposed to deal with optimal decision making problems where the decision maker's (DM) preference over gains and losses is ambiguous. In this paper, we take a step further to…
In this paper, we develop a computational approach for estimating the mean value of a quantity in the presence of uncertainty. We demonstrate that, under some mild assumptions, the upper and lower bounds of the mean value are efficiently…
Uncertainty in renewable energy generation has the potential to adversely impact the operation of electric networks. Numerous approaches to manage this impact have been proposed, ranging from stochastic and chance-constrained programming to…
Maximum likelihood estimators are often of limited practical use due to the intensive computation they require. We propose a family of alternative estimators that maximize a stochastic variation of the composite likelihood function. Each of…
This paper concerns the study of optimal (supremum and infimum) uncertainty bounds for systems where the input (or prior) probability measure is only partially/imperfectly known (e.g., with only statistical moments and/or on a coarse…
Robust optimization safeguards decisions against uncertainty by optimizing against worst-case scenarios, yet their effectiveness hinges on a prespecified robustness level that is often chosen ad hoc, leading to either insufficient…
This paper addresses the limitations of standard uncertainty models, e.g., robust (norm-bounded) and stochastic (one fixed distribution, e.g., Gaussian), and proposes to model uncertainty via Optimal Transport (OT) ambiguity sets. These…
Probabilistic values, including Shapley values and semivalues, provide a model-agnostic framework to attribute the behavior of a black-box model to data points or features, with a wide range of applications including explainable artificial…
Balancing exploration and exploitation (EE) is a fundamental problem in contex-tual bandit. One powerful principle for EE trade-off isOptimism in Face of Uncer-tainty(OFU), in which the agent takes the action according to an upper…
This paper develops a risk-adjusted alternative to standard optimal policy learning (OPL) for observational data by importing Roy's (1952) safety-first principle into the treatment assignment problem. We formalize a welfare functional that…
We consider solving linear optimization (LO) problems with uncertain objective coefficients. For such problems, we often employ robust optimization (RO) approaches by introducing an uncertainty set for the unknown coefficients. Typical RO…
Given the marginal distribution information of the underlying asset price at two future times $T_1$ and $T_2$, we consider the problem of determining a model-free upper bound on the price of a class of American options that must be…
In this paper, we present Robust Model Predictive Control (MPC) problems with adjustable uncertainty sets. In contrast to standard Robust MPC problems with known uncertainty sets, we treat the uncertainty sets in our problems as additional…
Handling model mismatch is a common challenge in model predictive control (MPC). While robust MPC is effective, its conservatism often makes it less desirable. Certainty-equivalence MPC (CE-MPC), which uses a nominal model, offers an…
There is a large body of evidence that decision makers frequently depart from Bayesian updating. This paper introduces a model, robust maximum likelihood (RML) updating, where deviations from Bayesian updating are due to multiple…
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected…
Bayesian Optimization (BO) is a sample-efficient optimization algorithm widely employed across various applications. In some challenging BO tasks, input uncertainty arises due to the inevitable randomness in the optimization process, such…
In this paper we study the optimality of the certainty equivalence approximation in robust finite-horizon optimization problems with expected cost. We provide an algorithm for determining the subset of the state-space for which the…
Bayesian optimization is a popular tool for data-efficient optimization of expensive objective functions. In real-life applications like engineering design, the designer often wants to take multiple objectives as well as input uncertainty…
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…