Related papers: Integer Programming Approaches for Distributionall…
We study a class of distributionally robust games where agents are allowed to heterogeneously choose their risk aversion with respect to distributional shifts of the uncertainty. In our formulation, heterogeneous Wasserstein ball…
In this paper, we consider the chance constrained based uncertain portfolio optimization problem in which the uncertain parameters are stochastic in nature. The primary goal of the work is to formulate the uncertain problem into a…
Wasserstein distributionally robust control (WDRC) is an effective method for addressing inaccurate distribution information about disturbances in stochastic systems. It provides various salient features, such as an out-of-sample…
This study addresses the stochastic Model Predictive Control (MPC) problem for linear time-invariant systems subjected to unknown disturbance distributions. By leveraging the most recent disturbance data, we construct a set of distributions…
This paper discusses a class of combinatorial optimization problems with uncertain costs in the objective function. It is assumed that a sample of the cost realizations is available, which defines an empirical probability distribution for…
The paper investigates the robust distortion risk measure with linear penalty function under distribution uncertainty. The distribution uncertainties are characterized by predetermined moment conditions or constraints on the Wasserstein…
This paper proposes a second-order conic programming (SOCP) approach to solve distributionally robust two-stage stochastic linear programs over 1-Wasserstein balls. We start from the case with distribution uncertainty only in the objective…
The standard quadratic optimization problem (StQP) consists of minimizing a quadratic form over the standard simplex. Without assuming convexity or concavity of the quadratic form, the StQP is NP-hard. This problem has many interesting…
Chance-constrained programs (CCPs) constitute a difficult class of stochastic programs due to its possible nondifferentiability and nonconvexity even with simple linear random functionals. Existing approaches for solving the CCPs mainly…
This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the…
Regularization is a central tool for addressing ill-posedness in inverse problems and statistical estimation, with the choice of a suitable penalty often determining the reliability and interpretability of downstream solutions. While recent…
This paper expands the notion of robust profit opportunities in financial markets to incorporate distributional uncertainty using Wasserstein distance as the ambiguity measure. Financial markets with risky and risk-free assets are…
We introduce a novel class of algorithms to efficiently approximate the unknown return distributions in policy evaluation problems from distributional reinforcement learning (DRL). The proposed distributional dynamic programming algorithms…
In dynamic programming (DP) and reinforcement learning (RL), an agent learns to act optimally in terms of expected long-term return by sequentially interacting with its environment modeled by a Markov decision process (MDP). More generally…
Correlated equilibria enable a coordinator to influence the self-interested agents by recommending actions that no player has an incentive to deviate from. However, the effectiveness of this mechanism relies on accurate knowledge of the…
Chance constraints are frequently used to limit the probability of constraint violations in real-world optimization problems where the constraints involve stochastic components. We study chance-constrained submodular optimization problems,…
We consider the problem of designing policies for Markov decision processes (MDPs) with dynamic coherent risk objectives and constraints. We begin by formulating the problem in a Lagrangian framework. Under the assumption that the risk…
In this letter, a novel solution method of generalized robust chance constrained real-time dispatch (GRCC-RTD) considering wind power uncertainty is proposed. GRCC models are advantageous in dealing with distributional uncertainty, however,…
This work investigates the challenge of ensuring safety guarantees in the presence of uncontrollable agents, whose behaviors are stochastic and depend on both their own and the system's states. We present a neural model predictive control…
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…