Related papers: Distributionally Robust Covariance Steering with O…
This paper provides a non-robust interpretation of the distributionally robust optimization (DRO) problem by relating the distributional uncertainties to the chance probabilities. Our analysis allows a decision-maker to interpret the size…
In this paper, we study the optimal control problem for steering the state covariance of a discrete-time linear stochastic system over a finite time horizon. First, we establish the existence and uniqueness of the optimal control law for a…
Distributionally robust optimization (DRO) studies decision problems under uncertainty where the probability distribution governing the uncertain problem parameters is itself uncertain. A key component of any DRO model is its ambiguity set,…
In this paper we wish to tackle stochastic programs affected by ambiguity about the probability law that governs their uncertain parameters. Using optimal transport theory, we construct an ambiguity set that exploits the knowledge about the…
In domains such as finance, healthcare, and robotics, managing worst-case scenarios is critical, as failure to do so can lead to catastrophic outcomes. Distributional Reinforcement Learning (DRL) provides a natural framework to incorporate…
We consider a distributionally robust formulation of stochastic optimization problems arising in statistical learning, where robustness is with respect to uncertainty in the underlying data distribution. Our formulation builds on…
We introduce a novel data-driven method to mitigate the risk of cascading failures in delayed discrete-time Linear Time-Invariant (LTI) systems. Our approach involves formulating a distributionally robust finite-horizon optimal control…
In this paper, we study a bivariate distributionally robust optimization problem with mean-covariance ambiguity set and half-space support. Under a conventional type of objective function widely adopted in inventory management, option…
Distributionally Robust Optimization (DRO), as a popular method to train robust models against distribution shift between training and test sets, has received tremendous attention in recent years. In this paper, we propose and analyze…
Increasing integration of renewable generation poses significant challenges to ensure robustness guarantees in real-time energy system decision-making. This work aims to develop a robust optimal transmission switching (OTS) framework that…
We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where…
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…
Distributionally robust optimization (DRO) is a powerful framework for training robust models against data distribution shifts. This paper focuses on constrained DRO, which has an explicit characterization of the robustness level. Existing…
We study two-stage stochastic optimization problems with random recourse, where the adaptive decisions are multiplied with the uncertain parameters in both the objective function and the constraints. To mitigate the computational…
This paper proposes a novel safety specification tool, called the distributionally robust risk map (DR-risk map), for a mobile robot operating in a learning-enabled environment. Given the robot's position, the map aims to reliably assess…
This paper studies a continuous-time portfolio selection problem under a general distribution of random risk aversion (RRA). We provide a complete characterization of all deterministic equilibrium strategies in closed form. Our results show…
Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of…
Distributionally robust optimization (DRO) incorporates robustness against uncertainty in the specification of probabilistic models. This paper focuses on mitigating the curse of dimensionality in data-driven DRO problems with optimal…
We study the problem of Distributionally Robust Constrained RL (DRC-RL), where the goal is to maximize the expected reward subject to environmental distribution shifts and constraints. This setting captures situations where training and…
This paper proposes Distributed Model Predictive Covariance Steering (DiMPCS) for multi-agent control under stochastic uncertainty. The scope of our approach is to blend covariance steering theory, distributed optimization and model…