相关论文: Constant Depth Decision Rules for multistage optim…

The distributionally robust Markov Decision Process (MDP) approach asks for a distributionally robust policy that achieves the maximal expected total reward under the most adversarial distribution of uncertain parameters. In this paper, we…

We examine a multi-stage stochastic optimization problem characterized by stagewise-independent, decision-dependent noises with strict constraints. The problem assumes convexity in that, following a specific relaxation, it transforms into a…

Multi-stage problems with uncertain parameters and integer decisions variables are among the most difficult applications of robust optimization (RO). The challenge in these problems is to find optimal here-and-now decisions, taking into…

Dynamic real-time optimization (DRTO) is a challenging task due to the fact that optimal operating conditions must be computed in real time. The main bottleneck in the industrial application of DRTO is the presence of uncertainty. Many…

Patients with chronic diseases often receive treatments at multiple time points, or stages. Our goal is to learn the optimal dynamic treatment regime (DTR) from longitudinal patient data. When both the number of stages and the number of…

In [13], an Inexact variant of Stochastic Dual Dynamic Programming (SDDP) called ISDDP was introduced which uses approximate (instead of exact with SDDP) primal dual solutions of the problems solved in the forward and backward passes of the…

We consider a two-stage distributionally robust optimization (DRO) model with multimodal uncertainty, where both the mode probabilities and uncertainty distributions could be affected by the first-stage decisions. To address this setting,…

Decision trees partition the feature space using hard binary thresholds, assigning identical confidence to instances far from a decision boundary and to those directly on it. We introduce ternary decision trees, which augment each split…

Uncertainty quantification is one of the central challenges for machine learning in real-world applications. In reinforcement learning, an agent confronts two kinds of uncertainty, called epistemic uncertainty and aleatoric uncertainty.…

Modern discrete manufacturing requires real-time energy and production co-scheduling to reduce business costs. In discrete manufacturing, production lines and equipment are complex and numerous, which introduces significant uncertainty…

Robust optimization is an established framework for modeling optimization problems with uncertain parameters. While static robust optimization is often criticized for being too conservative, two-stage (or adjustable) robust optimization…

Robust control of mechanical systems with multiple uncertainties remains a fundamental challenge, particularly when nonlinear dynamics and operating-condition variations are intricately intertwined. Although deep reinforcement learning…

We study, to our knowledge, the first tractable multistage ex-ante distributionally robust regret optimization (DRRO) formulation for stochastic control. We consider finite-horizon LQR under common stage-law ambiguity: disturbances are…

Decision-making in real applications is often affected by vagueness, incomplete information, heterogeneous data, and conflicting expert opinions. This survey reviews uncertainty-aware multi-criteria decision-making (MCDM) and organizes the…

Multistage Stochastic Programming (MSP) is a class of models for sequential decision-making under uncertainty. MSP problems are known for their computational intractability due to the sequential nature of the decision-making structure and…

We study a class of two-stage stochastic programs in which the second stage includes a set of components with uncertain capacity, and the expression for the distribution function of the uncertain capacity includes first-stage variables.…

We present a multilevel stochastic gradient descent method for the optimal control of systems governed by partial differential equations under uncertain input data. The gradient descent method used to find the optimal control leverages a…

Two-stage robust unit commitment (RUC) models have been widely used for day-ahead energy and reserve scheduling under high renewable integration. The current state of the art relies on budget-constrained polyhedral uncertainty sets to…

Stochastic Dual Dynamic Programming (SDDP) is a widely used and fundamental algorithm for solving multistage stochastic optimization problems. Although SDDP has been frequently applied to solve risk-averse models with the Conditional…

In this paper, we propose TEDL, a two-stage learning approach to quantify uncertainty for deep learning models in classification tasks, inspired by our findings in experimenting with Evidential Deep Learning (EDL) method, a recently…