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We present a distributionally robust optimization (DRO) approach for the transmission expansion planning problem, considering both long- and short-term uncertainties on the system demand and non-dispatchable renewable generation. On the…

Optimal-Transport Distributionally Robust Optimization (OT-DRO) robustifies data-driven decision-making under uncertainty by capturing the sampling-induced statistical error via optimal transport ambiguity sets. The standard OT-DRO pipeline…

We develop a Distributionally Robust Optimization (DRO) formulation for Multiclass Logistic Regression (MLR), which could tolerate data contaminated by outliers. The DRO framework uses a probabilistic ambiguity set defined as a ball of…

We develop a Distributionally Robust Optimization (DRO) formulation for Multiclass Logistic Regression (MLR), which could tolerate data contaminated by outliers. The DRO framework uses a probabilistic ambiguity set defined as a ball of…

In this paper we wish to tackle stochastic programs affected by ambiguity about the probability law that governs their uncertain parameters. Using optimal transport theory, we construct an ambiguity set that exploits the knowledge about the…

There are numerous industrial settings in which a decision maker must decide whether to enter into long-term contracts to guarantee price (and hence cash flow) stability or to participate in more volatile spot markets. In this paper, we…

Distributionally Robust Optimization (DRO) is a worst-case approach to decision making when there is model uncertainty. It is also well known that for certain uncertainty sets, DRO is approximated by a regularized nominal problem. We show…

We consider decision-making problems under decision-dependent uncertainty (DDU), where the distribution of uncertain parameters depends on the decision variables and is only observable through a finite offline dataset. To address this…

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…

Data-driven distributionally robust optimization is a recently emerging paradigm aimed at finding a solution that is driven by sample data but is protected against sampling errors. An increasingly popular approach, known as Wasserstein…

Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from…

Distributionally robust optimization (DRO) is a powerful technique to train robust models against data distribution shift. This paper aims to solve regularized nonconvex DRO problems, where the uncertainty set is modeled by a so-called…

In problems that involve input parameter information gathered from multiple data sources with varying reliability, incorporating decision makers' trust on different sources in optimization models can potentially improve solution…

We consider statistical methods which invoke a min-max distributionally robust formulation to extract good out-of-sample performance in data-driven optimization and learning problems. Acknowledging the distributional uncertainty in learning…

This monograph develops a comprehensive statistical learning framework that is robust to (distributional) perturbations in the data using Distributionally Robust Optimization (DRO) under the Wasserstein metric. Beginning with fundamental…

Distributionally robust optimization (DRO) problems are increasingly seen as a viable method to train machine learning models for improved model generalization. These min-max formulations, however, are more difficult to solve. We therefore…

Distributionally robust optimization (DRO) is a worst-case framework for stochastic optimization under uncertainty that has drawn fast-growing studies in recent years. When the underlying probability distribution is unknown and observed…

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…

Distributionally Robust Optimization (DRO) has been shown to provide a flexible framework for decision making under uncertainty and statistical estimation. For example, recent works in DRO have shown that popular statistical estimators can…

The concepts of risk-aversion, chance-constrained optimization, and robust optimization have developed significantly over the last decade. Statistical learning community has also witnessed a rapid theoretical and applied growth by relying…