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We consider stochastic programs conditional on some covariate information, where the only knowledge of the possible relationship between the uncertain parameters and the covariates is reduced to a finite data sample of their joint…
This article develops a new algorithm named TTRISK to solve high-dimensional risk-averse optimization problems governed by differential equations (ODEs and/or PDEs) under uncertainty. As an example, we focus on the so-called Conditional…
The problem of synthesizing stochastic explicit model predictive control policies is known to be quickly intractable even for systems of modest complexity when using classical control-theoretic methods. To address this challenge, we present…
In this paper, we propose a framework based on the Retrospective Approximation (RA) paradigm to solve optimization problems with a stochastic objective function and general nonlinear deterministic constraints. This framework sequentially…
In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…
A challenge in same-day delivery operations is that delivery requests are typically not known beforehand, but are instead revealed dynamically during the day. This uncertainty introduces a trade-off between dispatching vehicles to serve…
Sufficient dimension reduction (SDR) is a popular tool in regression analysis, which replaces the original predictors with a minimal set of their linear combinations. However, the estimated linear combinations generally contain all original…
Reliability-based design optimization (RBDO) provides a rational and sound framework for finding the optimal design while taking uncertainties into ac-count. The main issue in implementing RBDO methods, particularly stochastic simu-lation…
Distributionally robust optimization (DRO) has emerged as a powerful paradigm for reliable decision-making under uncertainty. This paper focuses on DRO with ambiguity sets defined via the Sinkhorn discrepancy: an entropy-regularized…
Recent improvements in the performance of state-of-the-art (SOTA) methods for Graph Representational Learning (GRL) have come at the cost of significant computational resource requirements for training, e.g., for calculating gradients via…
Cross-validation (CV) is one of the most popular tools for assessing and selecting predictive models. However, standard CV suffers from high computational cost when the number of folds is large. Recently, under the empirical risk…
This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…
Microgrid operation is highly vulnerable to short-term load uncertainty, while conventional predict-then-optimize pipelines cannot fully align probabilistic forecasting quality with downstream robust scheduling performance. This paper…
Reliability-based design optimization (RBDO) is traditionally formulated as a nested optimization and reliability problem. Although surrogate models are generally employed to improve efficiency, the approach remains computationally…
This paper considers the multi-agent distributed linear least-squares problem. The system comprises multiple agents, each agent with a locally observed set of data points, and a common server with whom the agents can interact. The agents'…
In this paper, we study distributionally risk-receptive and distributionally robust (or risk-averse) multistage stochastic mixed-integer programs (denoted by DRR- and DRO-MSIPs). We present cutting plane-based and reformulation-based…
We consider a class of risk-averse submodular maximization problems (RASM) where the objective is the conditional value-at-risk (CVaR) of a random nondecreasing submodular function at a given risk level. We propose valid inequalities and an…
Model Predictive Control is an extremely effective control method for systems with input and state constraints. Model Predictive Control performance heavily depends on the accuracy of the open-loop prediction. For systems with uncertainty…
In complex reinforcement learning (RL) problems, policies with similar rewards may have substantially different behaviors. It remains a fundamental challenge to optimize rewards while also discovering as many diverse strategies as possible,…
Efficiently computing the optimal control policy concerning a complicated future with stochastic disturbance has always been a challenge. The predicted stochastic future disturbance can be represented by a scenario tree, but solving the…