DFO: A Framework for Data-driven Decision-making with Endogenous Outliers

A typical data-driven stochastic program aims to seek the best decision that minimizes the sum of a deterministic cost function and an expected recourse function under a given distribution. Recently, much success has been witnessed in the development of Distributionally Robust Optimization (DRO), which considers the worst-case expected recourse function under the least favorable probability … Read more

A Unifying Framework for the Capacitated Vehicle Routing Problem under Risk and Ambiguity

We propose a generic model for the capacitated vehicle routing problem (CVRP) under demand uncertainty. By combining risk measures or disutility functions with complete or partial characterizations of the probability distribution governing the demands, our formulation bridges the popular but often independently studied paradigms of stochastic programming and distributionally robust optimization. We characterize when an … Read more

Data-Driven Distributionally Preference Robust Optimization Models Based on Random Utility Representation in Multi-Attribute Decision Making

Preference robust optimization (PRO) has recently been studied to deal with utility based decision making problems under ambiguity in the characterization of the decision maker’s (DM) preference. In this paper, we propose a novel PRO modeling paradigm which combines the stochastic utility theory with distributionally robust optimization technique. Based on the stochastic utility theory, our … Read more

Distributionally Robust Fair Transit Resource Allocation During a Pandemic

This paper studies Distributionally robust Fair transit Resource Allocation model (DrFRAM) under Wasserstein ambiguity set to optimize the public transit resource allocation during a pandemic. We show that the proposed DrFRAM is highly nonconvex and nonlinear and is, in general, NP-hard. Fortunately, we show that DrFRAM can be reformulated as a mixed-integer linear programming (MILP) … Read more

Adjustable Distributionally Robust Optimization with Infinitely Constrained Ambiguity Sets

We study adjustable distributionally robust optimization problems where their ambiguity sets can potentially encompass an infinite number of expectation constraints. Although such an ambiguity set has great modeling flexibility in characterizing uncertain probability distributions, the corresponding adjustable problems remain computationally intractable and challenging. To overcome this issue, we propose a greedy improvement procedure that consists … Read more

RSOME in Python: An Open-Source Package for Robust Stochastic Optimization Made Easy

We develop a Python package called RSOME for modeling a wide spectrum of robust and distributionally robust optimization problems. RSOME serves as a modeling platform for formulating various optimization problems subject to distributional ambiguity in a highly readable and mathematically intuitive manner. Compared with the MATLAB version, RSOME in Python is more versatile and well … Read more

Distributionally Robust Optimization with Markovian Data

We study a stochastic program where the probability distribution of the uncertain problem parameters is unknown and only indirectly observed via finitely many correlated samples generated by an unknown Markov chain with d states. We propose a data-driven distributionally robust optimization model to estimate the problem’s objective function and optimal solution. By leveraging results from … Read more

Robust Generalization despite Distribution Shift via Minimum Discriminating Information

Training models that perform well under distribution shifts is a central challenge in machine learning. In this paper, we introduce a modeling framework where, in addition to training data, we have partial structural knowledge of the shifted test distribution. We employ the principle of minimum discriminating information to embed the available prior knowledge, and use … Read more

On the Optimality of Affine Decision Rules in Robust and Distributionally Robust Optimization

We propose tight conditions under which two-stage robust and distributionally robust optimization problems are optimally solved in affine decision rules. Contrary to previous work, our conditions do not impose any structure on the support of the uncertain problem parameters, and they ensure point-wise (as opposed to worst-case) optimality of affine decision rules. The absence of … Read more

Mathematical Foundations of Robust and Distributionally Robust Optimization

Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from within an ambiguity set, respectively, and a decision is sought that minimizes a cost function under the most adverse outcome of the … Read more