Related papers: Multistage Robust Average Randomized Spectral Risk…

We propose an improved successive branch reduction (SBR) method to solve stochastic distribution network reconfiguration (SDNR), a mixed-integer program that is known to be computationally challenging. First, for a special distribution…

This paper presents DeepStage, a deep reinforcement learning (DRL) framework for adaptive and stage-aware defense against Advanced Persistent Threats (APTs). The enterprise environment is formulated as a partially observable Markov decision…

Dual-Functional Radar-Communication (DFRC) system is an essential and promising technique for beyond 5G. In this work, we propose a powerful and unified multi-antenna DFRC transmission framework, where an additional radar sequence is…

Multi-criteria decision-making often requires finding a small representative set from the database. A recently proposed method is the regret minimization set (RMS) query. RMS returns a size $r$ subset $S$ of dataset $D$ that minimizes the…

Safe reinforcement learning has been a promising approach for optimizing the policy of an agent that operates in safety-critical applications. In this paper, we propose an algorithm, SNO-MDP, that explores and optimizes Markov decision…

Multistage stochastic programs can be approximated by restricting policies to follow decision rules. Directly applying this idea to problems with integer decisions is difficult because of the need for decision rules that lead to integral…

Root mean square propagation (abbreviated as RMSProp) is a first-order stochastic algorithm used in machine learning widely. In this paper, a stable gradient-adjusted RMSProp (abbreviated as SGA-RMSProp) with mini-batch stochastic gradient…

Reconfigurable intelligent surface (RIS) is regarded as an important enabling technology for the sixth-generation (6G) network. Recently, modulating information in reflection patterns of RIS, referred to as reflection modulation (RM), has…

Stochastic version of alternating direction method of multiplier (ADMM) and its variants (linearized ADMM, gradient-based ADMM) plays a key role for modern large scale machine learning problems. One example is the regularized empirical risk…

Preference-based alignment methods (e.g., RLHF, DPO) typically optimize a single scalar objective, implicitly averaging over heterogeneous human preferences. In practice, systematic annotator and user-group disagreement makes mean-reward…

We propose policy gradient algorithms for solving a risk-sensitive reinforcement learning (RL) problem in on-policy as well as off-policy settings. We consider episodic Markov decision processes, and model the risk using the broad class of…

A framework previously introduced in [3] for solving a sequence of stochastic optimization problems with bounded changes in the minimizers is extended and applied to machine learning problems such as regression and classification. The…

This paper extends the optimal covariance steering problem for linear stochastic systems subject to chance constraints to account for optimal risk allocation. Previous works have assumed a uniform risk allocation to cast the optimal control…

In this paper, we consider a multistage expected utility maximization problem where the decision maker's utility function at each stage depends on historical data and the information on the true utility function is incomplete. To mitigate…

Motivated by many application problems, we consider Markov decision processes (MDPs) with a general loss function and unknown parameters. To mitigate the epistemic uncertainty associated with unknown parameters, we take a Bayesian approach…

We study generalization properties of random features (RF) regression in high dimensions optimized by stochastic gradient descent (SGD) in under-/over-parameterized regime. In this work, we derive precise non-asymptotic error bounds of RF…

Recent works have demonstrated a double descent phenomenon in over-parameterized learning. Although this phenomenon has been investigated by recent works, it has not been fully understood in theory. In this paper, we investigate the…

This paper proposes an iterative distributionally robust model predictive control (MPC) scheme to solve a risk-constrained infinite-horizon optimal control problem. In each iteration, the algorithm generates a trajectory from the starting…

Sharpe ratio (also known as reward-to-variability ratio) is a widely-used metric in finance, which measures the additional return at the cost of per unit of increased risk (standard deviation of return). However, the optimization of Sharpe…

Distributed stochastic optimization, arising in the crossing and integration of traditional stochastic optimization, distributed computing and storage, and network science, has advantages of high efficiency and a low per-iteration…