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This paper studies the communication complexity of convex risk-averse optimization over a network. The problem generalizes the well-studied risk-neutral finite-sum distributed optimization problem and its importance stems from the need to…
Motivated by the prominence of Conditional Value-at-Risk (CVaR) as a measure for tail risk in settings affected by uncertainty, we develop a new formula for approximating CVaR based optimization objectives and their gradients from limited…
We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral risk constraints. Since the conditional value at risk (CVaR) is a special case of the spectral risk measure, our…
Integrative analysis of multiple datasets for estimating optimal individualized treatment rules (ITRs) can enhance decision efficiency. A central challenge is posterior shift, wherein the conditional distribution of potential outcomes given…
Stochastic Gradient (SG) is the defacto iterative technique to solve stochastic optimization (SO) problems with a smooth (non-convex) objective $f$ and a stochastic first-order oracle. SG's attractiveness is due in part to its simplicity of…
In many important applications of precision medicine, the outcome of interest is time to an event (e.g., death, relapse of disease) and the primary goal is to identify the optimal individualized decision rule (IDR) to prolong survival time.…
In this paper, we introduce a framework for contextual distributionally robust optimization (DRO) that considers the causal and continuous structure of the underlying distribution by developing interpretable and tractable decision rules…
While the rapid progress of deep learning fuels end-to-end reinforcement learning (RL), direct application, especially in high-dimensional space like robotic scenarios still suffers from low sample efficiency. Therefore State Representation…
In this paper, we focus on a data-driven risk-averse multistage stochastic programming (RMSP) model considering distributional robustness. We optimize the RMSP over the worst-case distribution within an ambiguity set of probability…
In this paper we address the problem of decision making within a Markov decision process (MDP) framework where risk and modeling errors are taken into account. Our approach is to minimize a risk-sensitive conditional-value-at-risk (CVaR)…
We develop a variant of the stochastic prox-linear method for minimizing the Conditional Value-at-Risk (CVaR) objective. CVaR is a risk measure focused on minimizing worst-case performance, defined as the average of the top quantile of the…
Given a finite collection of stochastic alternatives, we study the problem of sequentially allocating a fixed sampling budget to identify the optimal alternative with a high probability, where the optimal alternative is defined as the one…
Symbolic regression (SR) is a powerful technique for discovering the analytical mathematical expression from data, finding various applications in natural sciences due to its good interpretability of results. However, existing methods face…
We consider continuous-time stochastic optimal control problems featuring Conditional Value-at-Risk (CVaR) in the objective. The major difficulty in these problems arises from time-inconsistency, which prevents us from directly using…
This paper considers variational inequalities (VI) defined by the conditional value-at-risk (CVaR) of uncertain functions and provides three stochastic approximation schemes to solve them. All methods use an empirical estimate of the CVaR…
In this paper we analyze the effect of two modelling approaches for supply planning problems under uncertainty: two-stage stochastic programming (SP) and robust optimization (RO). The comparison between the two approaches is performed…
While traditional distributionally robust optimization (DRO) aims to minimize the maximal risk over a set of distributions, Agarwal and Zhang (2022) recently proposed a variant that replaces risk with excess risk. Compared to DRO, the new…
Though deep reinforcement learning (DRL) has obtained substantial success, it may encounter catastrophic failures due to the intrinsic uncertainty of both transition and observation. Most of the existing methods for safe reinforcement…
Iterative compilation is a widely adopted technique to optimize programs for different constraints such as performance, code size and power consumption in rapidly evolving hardware and software environments. However, in case of statically…
In this paper, we propose a novel variable-separation (NVS) method for generic multivariate functions. The idea of NVS is extended to to obtain the solution in tensor product structure for stochastic partial differential equations (SPDEs).…