Related papers: Moment Relaxations for Data-Driven Wasserstein Dis…
A new data-enabled control technique for uncertain linear time-invariant systems, recently conceived by Coulson et\ al., builds upon the direct optimization of controllers over input/output pairs drawn from a large dataset. We adopt an…
We investigate the problem of synthesizing distributionally robust control policies for stochastic systems under safety and reach-avoid specifications. Using a game-theoretical framework, we consider the setting where the probability…
We propose a moment relaxation for two problems, the separation and covering problem with semi-algebraic sets generated by a polynomial of degree d. We show that (a) the optimal value of the relaxation finitely converges to the optimal…
Motivated by the challenge of moment recovery in hydrodynamic approximation in kinetic theory, we propose a data-driven approach for the hydrodynamic models. Inspired by continuous data assimilation, our method introduces a relaxation-based…
This paper expands the notion of robust moment problems to incorporate distributional ambiguity using Wasserstein distance as the ambiguity measure. The classical Chebyshev-Cantelli (zeroth partial moment) inequalities, Scarf and Lo (first…
We study stochastic Nash equilibrium problems subject to heterogeneous uncertainty on the expected valued cost functions of the individual agents, where we assume no prior knowledge of the underlying probability distributions of the…
We study the scenario approach for solving chance-constrained optimization in time-coupled dynamic environments. Scenario generation methods approximate the true feasible region from scenarios generated independently and identically from…
This paper investigates advantages of using 2-Wasserstein ambiguity sets over 1-Wasserstein sets in two-stage distributionally robust optimization with right-hand side uncertainty. We examine the worst-case distributions within 1- and…
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 become a powerful framework for estimation under uncertainty, offering strong out-of-sample performance and principled regularization. In this paper, we propose a DRO-based method for linear…
Optimal power flow (OPF) is one of the key electric power system optimization problems. "Moment" relaxations from the Lasserre hierarchy for polynomial optimization globally solve many OPF problems. Previous work illustrates the ability of…
For conventional smoothed particle hydrodynamics (SPH), obtaining the static solution of a problem is time-consuming. To address this drawback, we propose an efficient dynamic relaxation method by adding large artificial-viscosity-based…
This paper considers a security constrained dispatch problem involving generation and line contingencies in the presence of the renewable generation. The uncertainty due to renewables is modeled using joint chance-constraint and the…
Distributionally Robust Optimization (DRO) provides a framework for decision-making under distributional uncertainty, yet its effectiveness can be compromised by outliers in the training data. This paper introduces a principled approach to…
We consider the problem of analyzing the probabilistic performance of first-order methods when solving convex optimization problems drawn from an unknown distribution only accessible through samples. By combining performance estimation…
The adapted Wasserstein distance is a metric for quantifying distributional uncertainty and assessing the sensitivity of stochastic optimization problems on time series data. A computationally efficient alternative to it, is provided by the…
Robust estimation is an important problem in statistics which aims at providing a reasonable estimator when the data-generating distribution lies within an appropriately defined ball around an uncontaminated distribution. Although minimax…
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…
The performance of machine learning (ML) models critically depends on the quality and representativeness of the training data. In applications with multiple heterogeneous data generating sources, standard ML methods often learn spurious…
This brief note aims to introduce the recent paradigm of distributional robustness in the field of shape and topology optimization. Acknowledging that the probability law of uncertain physical data is rarely known beyond a rough…