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We address high-dimensional zero-one random parameters in two-stage convex conic optimization problems. Such parameters typically represent failures of network elements and constitute rare, high-impact random events in several applications.…
This paper proposes a unit commitment (UC) model based on data-driven Wasserstein distributionally robust optimization (WDRO) for power systems under uncertainty of renewable generation as well as its tractable exact reformulation. The…
In strategic scenarios where decision-makers operate at different hierarchical levels, traditional optimization methods are often inadequate for handling uncertainties from incomplete information or unpredictable external factors. To fill…
We consider a data-driven robust hypothesis test where the optimal test will minimize the worst-case performance regarding distributions that are close to the empirical distributions with respect to the Wasserstein distance. This leads to a…
We develop and analyze algorithms for distributionally robust optimization (DRO) of convex losses. In particular, we consider group-structured and bounded $f$-divergence uncertainty sets. Our approach relies on an accelerated method that…
We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a $p$-dimensional Gaussian random vector from $n$ independent samples. The proposed model…
We consider multiperiod stochastic control problems with non-parametric uncertainty on the underlying probabilistic model. We derive a new metric on the space of probability measures, called the adapted $(p, \infty)$--Wasserstein distance…
Integrative analysis of multiple datasets for estimating optimal individualized treatment rules (ITRs) can enhance decision efficiency. A central challenge is posterior shift, wherein the conditional distribution of potential outcomes given…
We consider decision-making problems involving the optimization of linear objective functions with uncertain coefficients. The probability distribution of the coefficients--which are assumed to be stochastic in nature--is unknown to the…
We study the problem of resource provisioning under stringent reliability or service level requirements, which arise in applications such as power distribution, emergency response, cloud server provisioning, and regulatory risk management.…
We study finite-sample statistical performance guarantees for distributionally robust optimization (DRO) with optimal transport (OT) and OT-regularized divergence model neighborhoods. Specifically, we derive concentration inequalities for…
While traditional Deep Learning (DL) optimization methods treat all training samples equally, Distributionally Robust Optimization (DRO) adaptively assigns importance weights to different samples. However, a significant gap exists between…
We investigate the Distributionally Robust Regret-Optimal (DR-RO) control of discrete-time linear dynamical systems with quadratic cost over an infinite horizon. Regret is the difference in cost obtained by a causal controller and a…
This paper addresses a novel \emph{cost-sensitive} distributionally robust log-optimal portfolio problem, where the investor faces \emph{ambiguous} return distributions, and a general convex transaction cost model is incorporated. The…
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…
Decision-makers often encounter uncertainty, and the distribution of uncertain parameters plays a crucial role in making reliable decisions. However, complete information is rarely available. The sample average approximation (SAA) approach…
Distributionally Robust Optimization (DRO) has enabled to prove the equivalence between robustness and regularization in classification and regression, thus providing an analytical reason why regularization generalizes well in statistical…
Coreset selection, which involves selecting a small subset from an existing training dataset, is an approach to reducing training data, and various approaches have been proposed for this method. In practical situations where these methods…
We propose a flexible scenario-based regularized Sample Average Approximation (SBR-SAA) framework for stochastic optimization. This work is motivated by challenges in standard Wasserstein Distributionally Robust Optimization (WDRO), where…
Distributionally robust optimization (DRO) provides a framework for training machine learning models that are able to perform well on a collection of related data distributions (the "uncertainty set"). This is done by solving a min-max…