Related papers: Decision Rule Approaches for Pessimistic Bilevel L…
We study two-stage distributionally robust optimization (DRO) problems with decision-dependent information discovery (DDID) wherein (a portion of) the uncertain parameters are revealed only if an (often costly) investment is made in the…
Stochastic dual dynamic programming is a cutting plane type algorithm for multi-stage stochastic optimization originated about 30 years ago. In spite of its popularity in practice, there does not exist any analysis on the convergence rates…
Distributionally Robust Optimisation (DRO) protects risk-averse decision-makers by considering the worst-case risk within an ambiguity set of distributions based on the empirical distribution or a model. To further guard against finite,…
Many strategic decision-making problems, such as environment design for warehouse robots, can be naturally formulated as bi-level reinforcement learning (RL), where a leader agent optimizes its objective while a follower solves a Markov…
Bilevel programming can be used to formulate many problems in the field of power systems, such as strategic bidding. However, common reformulations of bilevel problems to mixed-integer linear programs make solving such problems hard, which…
Multi-stage stochastic linear programs (MSLPs) are notoriously hard to solve in general. Linear decision rules (LDRs) yield an approximation of an MSLP by restricting the decisions at each stage to be an affine function of the observed…
Risk-averse multistage stochastic programs appear in multiple areas and are challenging to solve. Stochastic Dual Dynamic Programming (SDDP) is a well-known tool to address such problems under time-independence assumptions. We show how to…
The cross-dock door design problem consists of deciding the strip and stack doors and nominal capacity of an entity under uncertainty. Inbound commodity flow from origin nodes is assigned to the strip doors, it is consolidated in the…
Real-world decision-making problems often involve decision-dependent uncertainty, where the probability distribution of the random vector depends on the model decisions. Few studies focus on two-stage stochastic programs with this type of…
This paper is concerned with a two-person zero-sum indefinite stochastic linear-quadratic Stackelberg differential game with asymmetric informational uncertainties, where both the leader and follower face different and unknown disturbances.…
We develop multi-stage linear decision rules (LDRs) for dynamic power system generation and energy storage investment planning under uncertainty and propose their chance-constrained optimization with performance guarantees. First, the…
Modeling decision-dependent scenario probabilities in stochastic programs is difficult and typically leads to large and highly non-linear MINLPs that are very difficult to solve. In this paper, we develop a new approach to obtain a compact…
Stochastic optimization problems often involve data distributions that change in reaction to the decision variables. This is the case for example when members of the population respond to a deployed classifier by manipulating their features…
Edge computing (EC) promises to deliver low-latency and ubiquitous computation to numerous devices at the network edge. This paper aims to jointly optimize edge node (EN) placement and resource allocation for an EC platform, considering…
Bilevel linear programs (BLPs) form a class of hierarchical decision-making problems in which both the upper-level and the lower-level decision-makers, known as the leader and the follower, respectively, solve linear optimization problems.…
When performing the resilience enhancement for distribution networks, there are two obstacles to reliably model the uncertain contingencies: 1) decision-dependent uncertainty (DDU) due to various line hardening decisions, and 2)…
In this article, bipartite ranking, a statistical learning problem involved in many applications and widely studied in the passive context, is approached in a much more general \textit{active setting} than the discrete one previously…
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…
Bilevel optimization is a powerful tool for modeling hierarchical decision making processes. However, the resulting problems are challenging to solve - both in theory and practice. Fortunately, there have been significant algorithmic…
This paper investigates the regret associated with the Distributionally Robust Control (DRC) strategies used to address multistage optimization problems where the involved probability distributions are not known exactly, but rather are…