Related papers: CVaR-Guided Decision-Focused Learning and Risk-Tri…
We consider an online stochastic game with risk-averse agents whose goal is to learn optimal decisions that minimize the risk of incurring significantly high costs. Specifically, we use the Conditional Value at Risk (CVaR) as a risk measure…
Two-stage risk-averse distributionally robust optimization (DRO) problems are ubiquitous across many engineering and business applications. Despite their promising resilience, two-stage DRO problems are generally computationally…
This paper addresses the transmission network expansion planning problem considering storage units under uncertain demand and generation capacity. A two-stage adaptive robust optimization framework is adopted whereby short- and long-term…
We consider an online two-stage stochastic optimization with long-term constraints over a finite horizon of $T$ periods. At each period, we take the first-stage action, observe a model parameter realization and then take the second-stage…
Many safety-critical control systems must operate under latent uncertainty that sensors cannot directly resolve at decision time. Such uncertainty, arising from unknown physical properties, exogenous disturbances, or unobserved environment…
Recently, there has been a growing interest in distributionally robust optimization (DRO) as a principled approach to data-driven decision making. In this paper, we consider a distributionally robust two-stage stochastic optimization…
In terms of the operation of microgrids, optimal scheduling is a vital issue that must be taken into account. In this regard, this paper proposes an effective framework for optimal scheduling of renewable microgrids considering energy…
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…
Practical machine learning systems often operate in multiple sequential stages, as seen in ranking and recommendation systems, which typically include a retrieval phase followed by a ranking phase. Effectively assessing prediction…
We study the problem of optimal state-feedback tracking control for unknown discrete-time deterministic systems with input constraints. To handle input constraints, state-of-art methods utilize a certain nonquadratic stage cost function,…
Optimal resource allocation in wireless systems still stands as a rather challenging task due to the inherent statistical characteristics of channel fading. On the one hand, minimax/outage-optimal policies are often overconservative and…
The increasing penetration of embedded renewables makes forecasting net-load, consumption less embedded generation, a significant and growing challenge. Here a framework for producing probabilistic forecasts of net-load is proposed with…
We study a discrete-time multi-period portfolio optimization problem under an explicit constraint on the Deviation Conditional Value-at-Risk (DCVaR), defined as the excess of Conditional Value-at-Risk over expected terminal wealth. The…
Reservoir Computing (RC), a type of recurrent random neural network, is a powerful framework for modeling complex and chaotic dynamics. However, its autonomous (closed-loop) operation is often plagued by inherent instability. Moreover,…
This paper presents a novel 2-stage microgrid unit commitment (Microgrid-UC) algorithm considering cold-load pickup (CLPU) effects, three-phase load balancing requirements, and feasible reconfiguration options. Microgrid-UC schedules the…
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…
In real-world scenarios, risk-averse learning is valuable for mitigating potential adverse outcomes. However, the delayed feedback makes it challenging to assess and manage risk effectively. In this paper, we investigate risk-averse…
Learning-based control algorithms require data collection with abundant supervision for training. Safe exploration algorithms ensure the safety of this data collection process even when only partial knowledge is available. We present a new…
We study the problem of learning a function that maps context observations (input) to parameters of a submodular function (output). Our motivating case study is a specific type of vehicle routing problem, in which a team of Unmanned Ground…
We propose a physics-constrained machine learning method-based on reservoir computing- to time-accurately predict extreme events and long-term velocity statistics in a model of turbulent shear flow. The method leverages the strengths of two…