相关论文: Non-concave stochastic optimal control in finite d…

Robust optimization provides a principled framework for decision-making under uncertainty, with broad applications in finance, engineering, and operations research. In portfolio optimization, uncertainty in expected returns and covariances…

A data-driven MPC scheme is proposed to safely control constrained stochastic linear systems using distributionally robust optimization. Distributionally robust constraints based on the Wasserstein metric are imposed to bound the state…

Many decision problems in science, engineering and economics are affected by uncertain parameters whose distribution is only indirectly observable through samples. The goal of data-driven decision-making is to learn a decision from finitely…

Chance constraints yield non-convex feasible regions in general. In particular, when the uncertain parameters are modeled by a Wasserstein ball, arXiv:1806.07418 and arXiv:1809.00210 showed that the distributionally robust (pessimistic)…

We present a data-driven approach for distributionally robust chance constrained optimization problems (DRCCPs). We consider the case where the decision maker has access to a finite number of samples or realizations of the uncertainty. The…

This paper studies distributionally robust optimization for a rich class of risk measures with ambiguity sets defined by $\phi$-divergences. The risk measures are allowed to be non-linear in probabilities, are represented by Choquet…

We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…

This paper presents a strictly convex chance-constrained stochastic control framework that accounts for uncertainty in control specifications such as reference trajectories and operational constraints. By jointly optimizing control inputs…

This paper proposes a model predictive controller for discrete-time linear systems with additive, possibly unbounded, stochastic disturbances and subject to chance constraints. By computing a polytopic probabilistic positively invariant set…

We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…

Model predictive control (MPC) is an effective approach to control multivariable dynamic systems with constraints. Most real dynamic models are however affected by plant-model mismatch and process uncertainties, which can lead to…

We consider multiperiod stochastic control problems with non-parametric uncertainty on the underlying probabilistic model. We derive a new metric on the space of probability measures, called the adapted $(p, \infty)$--Wasserstein distance…

Inverse problems in physical or biological sciences often involve recovering an unknown parameter that is random. The sought-after quantity is a probability distribution of the unknown parameter, that produces data that aligns with…

We study robust stochastic optimization problems in the quasi-sure setting in discrete-time. The strategies in the multi-period-case are restricted to those taking values in a discrete set. The optimization problems under consideration are…

Optimization problems with uncertain black-box constraints, modeled by warped Gaussian processes, have recently been considered in the Bayesian optimization setting. This work introduces a new class of constraints in which the same…

We consider a distributionally robust formulation of stochastic optimization problems arising in statistical learning, where robustness is with respect to uncertainty in the underlying data distribution. Our formulation builds on…

This paper presents a novel approach to addressing the distributionally robust nonlinear model predictive control (DRNMPC) problem. Current literature primarily focuses on the static Wasserstein distributionally robust optimal control…

We study optimization problems whereby the optimization variable is a probability measure. Since the probability space is not a vector space, many classical and powerful methods for optimization (e.g., gradients) are of little help. Thus,…

In this paper we propose a new methodology for solving an uncertain stochastic Markovian control problem in discrete time. We call the proposed methodology the adaptive robust control. We demonstrate that the uncertain control problem under…

We consider distributionally robust optimal control of stochastic linear systems under signal temporal logic (STL) chance constraints when the disturbance distribution is unknown. By assuming that the underlying predicate functions are…