Related papers: Moment Relaxations for Data-Driven Wasserstein Dis…
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…
This paper studies a class of multiagent stochastic optimization problems where the objective is to minimize the expected value of a function which depends on a random variable. The probability distribution of the random variable is unknown…
Performativity means that the deployment of a predictive model incentivizes agents to strategically adapt their behavior, thereby inducing a model-dependent distribution shift. Practitioners often repeatedly retrain the model on data…
Optimal transport is a foundational problem in optimization, that allows to compare probability distributions while taking into account geometric aspects. Its optimal objective value, the Wasserstein distance, provides an important loss…
Distributionally robust stochastic optimization (DRSO) is a framework for decision-making problems under certainty, which finds solutions that perform well for a chosen set of probability distributions. Many different approaches for…
We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance constraints hold with respect to all probability distributions in a Wasserstein ball centered at the…
We present a novel data-driven distributionally robust Model Predictive Control formulation for unknown discrete-time linear time-invariant systems affected by unknown and possibly unbounded additive uncertainties. We use off-line collected…
This paper proposes a distributionally robust approach to logistic regression. We use the Wasserstein distance to construct a ball in the space of probability distributions centered at the uniform distribution on the training samples. If…
This paper presents a novel algorithmic study with extensive numerical experiments of distributionally robust multistage convex optimization (DR-MCO). Following the previous work on dual dynamic programming (DDP) algorithmic framework for…
We propose a data-based method to solve a multi-stage stochastic optimal power flow (OPF) problem based on limited information about forecast error distributions. The framework explicitly combines multi-stage feedback policies with any…
We propose a distributionally robust data-driven predictive control framework for stochastic linear time-invariant systems with unknown dynamics and disturbance distributions. We use an offline trajectory to fit the subspace predictive…
This paper focuses on the contextual optimization problem where a decision is subject to some uncertain parameters and covariates that have some predictive power on those parameters are available before the decision is made. More…
We propose a family of relaxations of the optimal transport problem which regularize the problem by introducing an additional minimization step over a small region around one of the underlying transporting measures. The type of…
Making sense of Wasserstein distances between discrete measures in high-dimensional settings remains a challenge. Recent work has advocated a two-step approach to improve robustness and facilitate the computation of optimal transport, using…
We consider statistical methods which invoke a min-max distributionally robust formulation to extract good out-of-sample performance in data-driven optimization and learning problems. Acknowledging the distributional uncertainty in learning…
Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of…
This paper proposes a distributionally robust approach to regret optimal control of discrete-time linear dynamical systems with quadratic costs subject to a stochastic additive disturbance on the state process. The underlying probability…
We present a novel approach for the control of uncertain, linear time-invariant systems, which are perturbed by potentially unbounded, additive disturbances. We propose a \emph{doubly robust} data-driven state-feedback controller to ensure…
We propose to align distributional data from the perspective of Wasserstein means. We raise the problem of regularizing Wasserstein means and propose several terms tailored to tackle different problems. Our formulation is based on the…
This paper presents a novel Wasserstein distributionally robust control and state estimation algorithm for partially observable linear stochastic systems, where the probability distributions of disturbances and measurement noises are…