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

Decision making needs to take an uncertain environment into account. Over the last decades, robust optimization has emerged as a preeminent method to produce solutions that are immunized against uncertainty. The main focus in robust…

Robust optimization is a popular paradigm for modeling and solving two- and multi-stage decision-making problems affected by uncertainty. In many real-world applications, the time of information discovery is decision-dependent and the…

A dynamic treatment regime is a sequence of medical decisions that adapts to the evolving clinical status of a patient over time. To facilitate personalized care, it is crucial to assess the probability of each available treatment option…

In this paper, we develop a two-stage data-driven approach to address the adjustable robust optimization problem, where the uncertainty set is adjustable to manage infeasibility caused by significant or poorly quantified uncertainties. In…

We propose a (seemingly) new computationally tractable model for multi-stage decision making under stochastic uncertainty.

Multistage stochastic programming is a powerful tool allowing decision-makers to revise their decisions at each stage based on the realized uncertainty. However, in practice, organizations are not able to be fully flexible, as decisions…

In this paper a class of robust two-stage combinatorial optimization problems is discussed. It is assumed that the uncertain second stage costs are specified in the form of a convex uncertainty set, in particular polyhedral or ellipsoidal…

Temporal difference (TD) learning is a foundational algorithm in reinforcement learning (RL). For nearly forty years, TD learning has served as a workhorse for applied RL as well as a building block for more complex and specialized…

We consider two-stage robust optimization problems, which can be seen as games between a decision maker and an adversary. After the decision maker fixes part of the solution, the adversary chooses a scenario from a specified uncertainty…

We introduce an extension of Dual Dynamic Programming (DDP) to solve convex nonlinear dynamic programming equations. We call Inexact DDP (IDDP) this extension which applies to situations where some or all primal and dual subproblems to be…

We study a discrete-time portfolio selection problem with partial information and maxi\-mum drawdown constraint. Drift uncertainty in the multidimensional framework is modeled by a prior probability distribution. In this Bayesian framework,…

This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…

Multi-stage stochastic optimization lies at the core of decision-making under uncertainty. As the analytical solution is available only in exceptional cases, dynamic optimization aims to efficiently find approximations but often neglects…

In this paper, we consider multi-stage stochastic optimization problems with convex objectives and conic constraints at each stage. We present a new stochastic first-order method, namely the dynamic stochastic approximation (DSA) algorithm,…

Mixed integer sets have a strong modeling capacity to describe practical systems. Nevertheless, incorporating a mixed integer set often renders an optimization formulation drastically more challenging to compute. In this paper, we study how…

Truncation by death, a prevalent challenge in critical care, renders traditional dynamic treatment regime (DTR) evaluation inapplicable due to ill-defined potential outcomes. We introduce a principal stratification-based method, focusing on…

Dynamic discrete choice models often discretize the state vector and restrict its dimension in order to achieve valid inference. I propose a novel two-stage estimator for the set-identified structural parameter that incorporates a…

We introduce StoDCuP (Stochastic Dynamic Cutting Plane), an extension of the Stochastic Dual Dynamic Programming (SDDP) algorithm to solve multistage stochastic convex optimization problems. At each iteration, the algorithm builds lower…

Bilevel optimization is a powerful tool for modeling hierarchical decision making processes. However, the resulting problems are challenging to solve - both in theory and practice. Fortunately, there have been significant algorithmic…

Multistage decision policies provide useful control strategies in high-dimensional state spaces, particularly in complex control tasks. However, they exhibit weak performance guarantees in the presence of disturbance, model mismatch, or…