Biconvex optimization – Optimization Online

Robust Out-of-Distribution Stochastic Optimization with Heterogeneous Inclusive and Exclusive Distribution Clusters

Published: 2026/09/10, Updated: 2026/09/11

Biao Han

Decision scenarios far from rare in practice often place data-driven decision-making in an awkward position, where the decision maker may have access to neither the target distribution itself nor any empirical samples drawn from it, especially when decisions must be made in novel or highly uncertain environments. In response, robust out-of-distribution stochastic optimization (RooDSO) has … Read more

Distributionally robust chance-constrained Markov decision processes

Published: 2022/12/15, Updated: 2023/01/03

Stochastic Programming Biconvex optimization, Copositive optimization, Distributionally robust chance-constrained optimization, markov decision processes, Mix-integer second-order cone programming, second-order cone programming

Markov decision process (MDP) is a decision making framework where a decision maker is interested in maximizing the expected discounted value of a stream of rewards received at future stages at various states which are visited according to a controlled Markov chain. Many algorithms including linear programming methods are available in the literature to compute … Read more