Related papers: Multistage Conditional Compositional Optimization
We propose the Constraint-Generation Policy Optimization (CGPO) framework to optimize policy parameters within compact and interpretable policy classes for mixed discrete-continuous Markov Decision Processes (DC-MDP). CGPO can not only…
Due to the escalating growth of big data sets in recent years, new Bayesian Markov chain Monte Carlo (MCMC) parallel computing methods have been developed. These methods partition large data sets by observations into subsets. However, for…
This paper considers a new approach to using Markov chain Monte Carlo (MCMC) in contexts where one may adopt multilevel (ML) Monte Carlo. The underlying problem is to approximate expectations w.r.t. an underlying probability measure that is…
We propose a (seemingly) new computationally tractable model for multi-stage decision making under stochastic uncertainty.
This paper presents a new optimization approach to causal estimation. Given data that contains covariates and an outcome, which covariates are causes of the outcome, and what is the strength of the causality? In classical machine learning…
The cross-dock door design problem consists of deciding the strip and stack doors and nominal capacity of an entity under uncertainty. Inbound commodity flow from origin nodes is assigned to the strip doors, it is consolidated in the…
We consider a class of finite time horizon nonlinear stochastic optimal control problem, where the control acts additively on the dynamics and the control cost is quadratic. This framework is flexible and has found applications in many…
In this study, we consider two classes of multicriteria two-stage stochastic programs in finite probability spaces with multivariate risk constraints. The first-stage problem features a multivariate stochastic benchmarking constraint based…
We introduce the Stochastic Correlated Obstacle Scene (SCOS) problem, a navigation setting with spatially correlated obstacles of uncertain blockage status, realistically constrained sensors that provide noisy readings and costly…
This paper presents an algorithmic study and complexity analysis for solving distributionally robust multistage convex optimization (DR-MCO). We generalize the usual consecutive dual dynamic programming (DDP) algorithm to DR-MCO and propose…
In the world of embedded systems, optimizing actions with the uncertain costs of multiple resources is a complex challenge. Existing methods include plan building based on Monte Carlo Tree Search (MCTS), an approach that thrives in multiple…
We study stochastic gradient descent for solving conditional stochastic optimization problems, in which an objective to be minimized is given by a parametric nested expectation with an outer expectation taken with respect to one random…
The multi-period dynamics of energy storage (ES), intermittent renewable generation and uncontrollable power loads, make the optimization of power system operation (PSO) challenging. A multi-period optimal PSO under uncertainty is…
We propose an approach based on machine learning to solve two-stage linear adaptive robust optimization (ARO) problems with binary here-and-now variables and polyhedral uncertainty sets. We encode the optimal here-and-now decisions, the…
Many practical applications of control require that constraints on the inputs and states of the system be respected, while optimizing some performance criterion. In the presence of model uncertainties or disturbances, for many control…
In networks, there are often more than one source of capacity. The capacities can be permanently or temporarily owned by the decision maker. Depending on the nature of sources, we identify the permanent capacity, spot market capacity and…
Neural Cellular Automata (NCAs) are a promising new approach to model self-organizing processes, with potential applications in life science. However, their deterministic nature limits their ability to capture the stochasticity of…
The computational complexity of naive, sampling-based uncertainty quantification for 3D partial differential equations is extremely high. Multilevel approaches, such as multilevel Monte Carlo (MLMC), can reduce the complexity significantly,…
Stochastic collocation methods for approximating the solution of partial differential equations with random input data (e.g., coefficients and forcing terms) suffer from the curse of dimensionality whereby increases in the stochastic…
As net-load becomes less predictable there is a lot of pressure in changing decision models for power markets such that they account explicitly for future scenarios in making commitment decisions. This paper proposes to make commitment…