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In this work, we present an algorithmically tractable safe approximation of distributionally robust optimization (DRO) problems that contain univariate indicator functions. The latter appear in different applications, but render the model…
We develop new techniques for rounding packing integer programs using iterative randomized rounding. It is based on a novel application of multidimensional Brownian motion in $\mathbb{R}^n$. Let $\overset{\sim}{x} \in {[0,1]}^n$ be a…
Empirical risk minimization (ERM) and distributionally robust optimization (DRO) are popular approaches for solving stochastic optimization problems that appear in operations management and machine learning. Existing generalization error…
The present work extends the randomized shortest-paths framework (RSP), interpolating between shortest-path and random-walk routing in a network, in three directions. First, it shows how to deal with equality constraints on a subset of…
Several well-known algorithms in the field of combinatorial optimization can be interpreted in terms of the primal-dual method for solving linear programs. For example, Dijkstra's algorithm, the Ford-Fulkerson algorithm, and the Hungarian…
Safety in stochastic control systems, which are subject to random noise with a known probability distribution, aims to compute policies that satisfy predefined operational constraints with high confidence throughout the uncertain evolution…
Today, a competitive manufacturing environment imposes further production cost reduction on modern companies. Seeking proper recommendations in production and maintenance planning are the two essential cornerstones of effective production…
In this paper we present distributed and adaptive algorithms for motion coordination of a group of m autonomous vehicles. The vehicles operate in a convex environment with bounded velocity and must service demands whose time of arrival,…
The numerical solution of parameter identification inverse problems for kinetic equations can exhibit high computational and memory costs. In this paper, we propose a dynamical low-rank scheme for the reconstruction of the scattering…
A basic model in sequential decision making is the Markov decision process (MDP), which is extended to Robust MDPs (RMDPs) by allowing uncertainty in transition probabilities and optimizing against the worst-case transition probabilities…
This paper considers the periodic-review stochastic joint replenishment problem (JRP) under Bookbinder and Tan's static-dynamic uncertainty control policy. According to a static-dynamic uncertainty control rule, the decision maker fixes…
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…
In this paper, we present novel randomized algorithms for solving saddle point problems whose dual feasible region is given by the direct product of many convex sets. Our algorithms can achieve an ${\cal O}(1/N)$ and ${\cal O}(1/N^2)$ rate…
The Multiple Depot Ring-Star Problem (MDRSP) is an important combinatorial optimization problem that arises in the context of optical fiber network design, and in applications pertaining to collecting data using stationary sensing devices…
Planning problems are hard, motion planning, for example, isPSPACE-hard. Such problems are even more difficult in the presence of uncertainty. Although, Markov Decision Processes (MDPs) provide a formal framework for such problems, finding…
We propose two distributionally robust optimization (DRO) models for a mobile facility (MF) fleet sizing, routing, and scheduling problem (MFRSP) with time-dependent and random demand, as well as methodologies for solving these models.…
Isotonic regression is a nonparametric approach for fitting monotonic models to data that has been widely studied from both theoretical and practical perspectives. However, this approach encounters computational and statistical overfitting…
This papers deals with the constrained discounted control of piecewise deterministic Markov process (PDMPs) in general Borel spaces. The control variable acts on the jump rate and transition measure, and the goal is to minimize the total…
In this paper, a condition-based imperfect maintenance model based on piecewise deterministic Markov process (PDMP) is constructed. The degradation of the system includes two types: natural degradation and random shocks. The natural…
We study a class of two-stage stochastic programs in which the second stage includes a set of components with uncertain capacity, and the expression for the distribution function of the uncertain capacity includes first-stage variables.…