Related papers: Data-Driven Distributionally Robust Optimal Contro…
Distributionally robust optimal control (DROC) is gaining interest. This study presents a reformulation method for discrete DROC (DDROC) problems to design optimal control policies under a worst-case distributional uncertainty. The…
In stochastic optimal control (SOC), uncertainty may arise from incomplete knowledge of the true probability distribution of the underlying environment, which is known as Knightian or epistemic uncertainty. Distributionally robust optimal…
In scenarios where high penetration of renewable energy sources (RES) is connected to the grid over long distances, the output of RES exhibits significant fluctuations, making it difficult to accurately characterize. The intermittency and…
Data-driven Distributionally Robust Optimization (DD-DRO) via optimal transport has been shown to encompass a wide range of popular machine learning algorithms. The distributional uncertainty size is often shown to correspond to the…
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,…
A common goal in statistics and machine learning is to learn models that can perform well against distributional shifts, such as latent heterogeneous subpopulations, unknown covariate shifts, or unmodeled temporal effects. We develop and…
Recently, (Blanchet, Kang, and Murhy 2016, and Blanchet, and Kang 2017) showed that several machine learning algorithms, such as square-root Lasso, Support Vector Machines, and regularized logistic regression, among many others, can be…
This paper studies Distributionally Robust Optimization (DRO), a fundamental framework for enhancing the robustness and generalization of statistical learning and optimization. An effective ambiguity set for DRO must involve distributions…
Stochastic Optimization (SO) is a classical approach for optimization under uncertainty that typically requires knowledge about the probability distribution of uncertain parameters. As the latter is often unknown, Distributionally Robust…
Data-driven machine learning methodologies have attracted considerable attention for the control and estimation of dynamical systems. However, such implementations suffer from a lack of predictability and robustness. Thus, adoption of…
The Area Under the ROC Curve (AUC) is a widely employed metric in long-tailed classification scenarios. Nevertheless, most existing methods primarily assume that training and testing examples are drawn i.i.d. from the same distribution,…
Safety is a critical concern in motion planning for autonomous vehicles. Modern autonomous vehicles rely on neural network-based perception, but making control decisions based on these inference results poses significant safety risks due to…
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…
This article introduces a novel distributionally robust model predictive control (DRMPC) algorithm for a specific class of controlled dynamical systems where the disturbance multiplies the state and control variables. These classes of…
As the complexity of modern control systems increases, it becomes challenging to derive an accurate model of the uncertainty that affects their dynamics. Wasserstein Distributionally Robust Optimization (DRO) provides a powerful framework…
Distributionally robust optimization (DRO) has been introduced for solving stochastic programs where the distribution of the random parameters is unknown and must be estimated by samples from that distribution. A key element of DRO is the…
The robustness of Unmanned Surface Vehicles (USV) is crucial when facing unknown and complex marine environments, especially when heteroscedastic observational noise poses significant challenges to sensor-based navigation tasks. Recently,…
We study control of constrained linear systems with only partial statistical information about the uncertainty affecting the system dynamics and the sensor measurements. Specifically, given a finite collection of disturbance realizations…
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…
Distributionally Robust Optimization (DRO) is a worst-case approach to decision making when there is model uncertainty. It is also well known that for certain uncertainty sets, DRO is approximated by a regularized nominal problem. We show…