Related papers: Scenario Reduction for Distributionally Robust Opt…
In robust optimization, we would like to find a solution that is immunized against all scenarios that are modeled in an uncertainty set. Which scenarios to include in such a set is therefore of central importance for the tractability of the…
We provide a functional view of distributional robustness motivated by robust statistics and functional analysis. This results in two practical computational approaches for approximate distributionally robust nonlinear optimization based on…
Shape-constrained optimization arises in a wide range of problems including distributionally robust optimization (DRO) that has surging popularity in recent years. In the DRO literature, these problems are usually solved via reduction into…
This paper studies distributionally robust optimization (DRO) with polynomial robust constraints. We give a Moment-SOS relaxation approach to solve the DRO. This reduces to solving linear conic optimization with semidefinite constraints.…
The field of portfolio selection is an active research topic, which combines elements and methodologies from various fields, such as optimization, decision analysis, risk management, data science, forecasting, etc. The modeling and…
We propose a Distributionally Robust Optimization (DRO) formulation with a Wasserstein-based uncertainty set for selecting grouped variables under perturbations on the data for both linear regression and classification problems. The…
Distributionally robust optimal control (DROC) is gaining interest. This study presents a reformulation method for discrete DROC (DDROC) problems to design optimal control policies under a worst-case distributional uncertainty. The…
Recently, (Blanchet, Kang, and Murhy 2016, and Blanchet, and Kang 2017) showed that several machine learning algorithms, such as square-root Lasso, Support Vector Machines, and regularized logistic regression, among many others, can be…
Distributionally robust optimization (DRO) is a powerful technique to train robust models against data distribution shift. This paper aims to solve regularized nonconvex DRO problems, where the uncertainty set is modeled by a so-called…
We investigate a stochastic program with expected value constraints, addressing the problem in a general context through Distributionally Robust Optimization (DRO) approach using Wasserstein distances, where the ambiguity set depends on the…
Quick response is a widely adopted strategy to mitigate overproduction in the manufacturing industry, yet recent research reveals a counter-intuitive paradox: while it reduces waste from unsold finished goods, it may incentivize firms to…
Distributionally robust optimization (DRO) is a widely-used approach to learn models that are robust against distribution shift. Compared with the standard optimization setting, the objective function in DRO is more difficult to optimize,…
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…
This manuscript introduces the idea of using Distributionally Robust Optimization (DRO) for the Counterfactual Risk Minimization (CRM) problem. Tapping into a rich existing literature, we show that DRO is a principled tool for…
Robust optimization(RO) is an important tool for handling optimization problem with uncertainty. The main objective of RO is to solve optimization problems due to uncertainty associated with constraints satisfying all realizations of…
Scenario reduction (SR) aims to identify a small yet representative scenario set to depict the underlying uncertainty, which is critical to scenario-based stochastic optimization (SBSO) of power systems. Existing SR techniques commonly aim…
We consider data-driven approaches that integrate a machine learning prediction model within distributionally robust optimization (DRO) given limited joint observations of uncertain parameters and covariates. Our framework is flexible in…
Distributionally Robust Optimization (DRO), which aims to find an optimal decision that minimizes the worst case cost over the ambiguity set of probability distribution, has been widely applied in diverse applications, e.g., network…
Many optimization problems incorporate uncertainty affecting their parameters and thus their objective functions and constraints. As an example, in chance-constrained optimization the constraints need to be satisfied with a certain…
Scenario reduction (SR) alleviates the computational complexity of scenario-based stochastic optimization with conditional value-at-risk (SBSO-CVaR) by identifying representative scenarios to depict the underlying uncertainty and tail…