Related papers: Differentiable Distributionally Robust Optimizatio…
We consider a minimax problem motivated by distributionally robust optimization (DRO) when the worst-case distribution is continuous, leading to significant computational challenges due to the infinite-dimensional nature of the optimization…
This paper proposes a differentiable robust LQR layer for reinforcement learning and imitation learning under model uncertainty and stochastic dynamics. The robust LQR layer can exploit the advantages of robust optimal control and…
Decision making under uncertainty is challenging as the data-generating process (DGP) is often unknown. Bayesian inference proceeds by estimating the DGP through posterior beliefs on the model's parameters. However, minimising the expected…
We propose an approach based on machine learning to solve two-stage linear adaptive robust optimization (ARO) problems with binary here-and-now variables and polyhedral uncertainty sets. We encode the optimal here-and-now decisions, the…
This paper focuses on solving a data-driven distributionally robust optimization problem over a network of agents. The agents aim to minimize the worst-case expected cost computed over a Wasserstein ambiguity set that is centered at the…
Intensively studied in theory as a promising data-driven tool for decision-making under ambiguity, two-stage distributionally robust optimization (DRO) problems over Wasserstein balls are not necessarily easy to solve in practice. This is…
Adaptive robust optimization problems have received significant attention in recent years, but remain notoriously difficult to solve when recourse decisions are discrete in nature. In this paper, we propose new reformulation techniques for…
We consider stochastic programs conditional on some covariate information, where the only knowledge of the possible relationship between the uncertain parameters and the covariates is reduced to a finite data sample of their joint…
Distributionally robust optimisation (DRO) minimises the worst-case expected loss over an ambiguity set that can capture distributional shifts in out-of-sample environments. While Huber (linear-vacuous) contamination is a classical…
Decision-focused learning (DFL) has emerged as a powerful end-to-end alternative to conventional predict-then-optimize (PTO) pipelines by directly optimizing predictive models through downstream decision losses. Existing DFL frameworks are…
Distributionally robust optimization (DRO) is a widely used framework for optimizing objective functionals in the presence of both randomness and model-form uncertainty. A key step in the practical solution of many DRO problems is a…
Inspired by its success for their continuous counterparts, the standard approach to deal with mixed-integer recourse (MIR) models under distributional uncertainty is to use distributionally robust optimization (DRO). We argue, however, that…
Most decision-focused learning work has focused on single stage problems whereas many real-world decision problems are more appropriately modelled using multistage optimisation. In multistage problems contextual information is revealed over…
This work presents a new Distributionally Robust Optimization approach, using $p$-Wasserstein metrics, to analyze a stochastic program in a general context. The ambiguity set in this approach depends on the decision variable and is…
Distributionally robust optimization (DRO) has attracted attention in machine learning due to its connections to regularization, generalization, and robustness. Existing work has considered uncertainty sets based on phi-divergences and…
Wasserstein \textbf{D}istributionally \textbf{R}obust \textbf{O}ptimization (DRO) is concerned with finding decisions that perform well on data that are drawn from the worst-case probability distribution within a Wasserstein ball centered…
In this paper, we consider a network capacity expansion problem in the context of telecommunication networks, where there is uncertainty associated with the expected traffic demand. We employ a distributionally robust stochastic…
When performing the resilience enhancement for distribution networks, there are two obstacles to reliably model the uncertain contingencies: 1) decision-dependent uncertainty (DDU) due to various line hardening decisions, and 2)…
Conventional supervised learning methods are often vulnerable to spurious correlations, particularly under distribution shifts in test data. To address this issue, several approaches, most notably Group DRO, have been developed. While these…
Decision-focused learning (DFL) trains a machine learning (ML) model to predict parameters of an optimization problem, to directly minimize decision regret, i.e., maximize decision quality. Gradient-based DFL requires computing the…