Related papers: Data-Driven Distributionally Robust Optimization f…

Information asymmetry between the Distribution System Operator (DSO) and Distributed Energy Resource Aggregators (DERAs) obstructs designing effective incentives for voltage regulation. To capture this effect, we employ a Stackelberg…

We consider optimization problems with uncertain constraints that need to be satisfied probabilistically. When data are available, a common method to obtain feasible solutions for such problems is to impose sampled constraints, following…

With the ongoing investment in data collection and communication technology in power systems, data-driven optimization has been established as a powerful tool for system operators to handle stochastic system states caused by weather- and…

Flexible demand response (DR) resources can be leveraged to accommodate the stochasticity of some distributed energy resources. This paper develops an online learning approach that continuously estimates price sensitivities of residential…

Asset Liability Management (ALM) represents a fundamental challenge for financial institutions, particularly pension funds, which must navigate the tension between generating competitive investment returns and ensuring the solvency of…

Two-stage risk-averse distributionally robust optimization (DRO) problems are ubiquitous across many engineering and business applications. Despite their promising resilience, two-stage DRO problems are generally computationally…

Few-shot learning requires models to generalize under limited supervision while remaining robust to distribution shifts. Existing Sinkhorn Distributionally Robust Optimization (DRO) methods provide theoretical guarantees but rely on a fixed…

We develop an analytical synthesis that bridges data-driven Distributionally Robust Optimization (DRO) and Economic Decision Theory under Ambiguity (DTA). By reinterpreting standard regularization and DRO techniques as data-driven…

In recent years, frequent extreme events have put forward higher requirements for improving the resilience of distribution networks (DNs). Introducing energy storage integrated with soft open point (E-SOP) is one of the effective ways to…

Distributionally robust optimization (DRO) is a powerful framework for training robust models against data distribution shifts. This paper focuses on constrained DRO, which has an explicit characterization of the robustness level. Existing…

In this study we analyze linear mixed-integer programming problems, in which the distribution of the cost vector is only observable through a finite training data set. In contrast to the related studies, we assume that the number of random…

With the commitment to climate, globally many countries started reducing brownfield energy production and strongly opting towards green energy resources. However, the optimal allocation of distributed energy resources (DERs) in electrical…

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…

We study control of constrained linear systems with only partial statistical information about the uncertainty affecting the system dynamics and the sensor measurements. Specifically, given a finite collection of disturbance realizations…

Utility preference robust optimization (PRO) has recently been proposed to deal with optimal decision making problems where the decision maker's (DM) preference over gains and losses is ambiguous. In this paper, we take a step further to…

Wasserstein distributionally robust optimization (WDRO) attempts to learn a model that minimizes the local worst-case risk in the vicinity of the empirical data distribution defined by Wasserstein ball. While WDRO has received attention as…

Distributionally robust optimization (DRO) has shown lot of promise in providing robustness in learning as well as sample based optimization problems. We endeavor to provide DRO solutions for a class of sum of fractionals, non-convex…

We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open case of static hedging with second-period maturity vanilla…

Robust Markov Decision Processes (MDPs) address environmental shift through distributionally robust optimization (DRO) by finding an optimal worst-case policy within an uncertainty set of transition kernels. However, standard DRO approaches…

This paper provides a non-robust interpretation of the distributionally robust optimization (DRO) problem by relating the distributional uncertainties to the chance probabilities. Our analysis allows a decision-maker to interpret the size…