Robust Drone Delivery with Weather Information

Problem definition: Drone delivery has recently garnered significant attention due to its potential for faster delivery at a lower cost than other delivery options. When scheduling drones from a depot for delivery to various destinations, the dispatcher must take into account the uncertain wind conditions, which affect the delivery times of drones to their destinations, … Read more

Distributionally Robust Optimization with Decision-Dependent Information Discovery

We study two-stage distributionally robust optimization (DRO) problems with decision-dependent information discovery (DDID) wherein (a portion of) the uncertain parameters are revealed only if an (often costly) investment is made in the first stage. This class of problems finds many important applications in selection problems (e.g., in hiring, project portfolio optimization, or optimal sensor location). … Read more

Sample Average Approximation and Model Predictive Control for Multistage Stochastic Optimization

Sample average approximation-based stochastic dynamic programming and model predictive control are two different methods of approaching multistage stochastic optimization. Model predictive control—despite a lack of theoretical backing—is often used instead of stochastic dynamic programming due to computational necessity. For settings where the stage reward is a convex function of the random terms, the stage dynamics … Read more

It’s All in the Mix: Wasserstein Machine Learning with Mixed Features

Citation Belbasi R., Selvi A., Wiesemann W. (December 2023) It’s all in the mix: Wasserstein machine learning with mixed features. Preprint. Article Download View It's All in the Mix: Wasserstein Machine Learning with Mixed Features

Distributionally robust optimization through the lens of submodularity

Distributionally robust optimization is used to solve decision making problems under adversarial uncertainty where the distribution of the uncertainty is itself ambiguous. In this paper, we identify a class of these instances that is solvable in polynomial time by viewing it through the lens of submodularity. We show that the sharpest upper bound on the … Read more

Distributionally Ambiguous Multistage Stochastic Integer and Disjunctive Programs: Applications to Sequential Two-player Interdiction Games

This paper studies the generalizations of multistage stochastic mixed-integer programs (MSIPs) with distributional ambiguity, namely distributionally risk-receptive and risk-averse multistage stochastic mixed-integer programs (denoted by DRR- and DRA-MSIPs). These modeling frameworks have applications in non-cooperative Stackelberg games involving two players, namely a leader and a follower, with uncertainty in the impact of the decisions made … Read more

End-to-End Learning for Stochastic Optimization: A Bayesian Perspective

We develop a principled approach to end-to-end learning in stochastic optimization. First, we show that the standard end-to-end learning algorithm admits a Bayesian interpretation and trains a posterior Bayes action map. Building on the insights of this analysis, we then propose new end-to-end learning algorithms for training decision maps that output solutions of empirical risk … Read more

Sample average approximation and model predictive control for inventory optimization

We study multistage stochastic optimization problems using sample average approximation (SAA) and model predictive control (MPC) as solution approaches. MPC is frequently employed when the size of the problem renders stochastic dynamic programming intractable, but it is unclear how this choice affects out-of-sample performance. To compare SAA and MPC out-of-sample, we formulate and solve an … Read more

Maximum Likelihood Probability Measures over Sets and Applications to Data-Driven Optimization

\(\) Motivated by data-driven approaches to sequential decision-making under uncertainty, we study maximum likelihood estimation of a distribution over a general measurable space when, unlike traditional setups, realizations of the underlying uncertainty are not directly observable but instead are known to lie within observable sets. While extant work studied the special cases when the observed … Read more

Optimized Dimensionality Reduction for Moment-based Distributionally Robust Optimization

Moment-based distributionally robust optimization (DRO) provides an optimization framework to integrate statistical information with traditional optimization approaches. Under this framework, one assumes that the underlying joint distribution of random parameters runs in a distributional ambiguity set constructed by moment information and makes decisions against the worst-case distribution within the set. Although most moment-based DRO problems … Read more