In recent years, differential privacy has emerged as the de facto standard for sharing statistics of datasets while limiting the disclosure of private information about the involved individuals. This is achieved by randomly perturbing the statistics to be published, which in turn leads to a privacy-accuracy trade-off: larger perturbations provide stronger privacy guarantees, but they … Read more
The growing proliferation of wind power into the power grid achieves a low-cost sustainable electricity supply while introducing technical challenges with associated intermittency. This paper proposes a fully adaptive distributionally robust multistage framework based on mixed decision rules (MDR) for generation scheduling under uncertainty to adapt wind power respecting non-anticipativity in quick-start unit status decision … Read more
We propose a data-driven extension of the stochastic dual dynamic programming (SDDP) algorithm for multistage stochastic linear programs under a continuous-state, non-stationary Markov data process. Unlike traditional SDDP methods—which often assume a known probability distribution, stagewise independent data process, or uncertainty restricted to the right-hand side of constraints—our approach overcomes these limitations, making it more … Read more
We consider the mechanism design problem of a principal allocating a single good to one of several agents without monetary transfers. Each agent desires the good and uses it to create value for the principal. We designate this value as the agent’s private type. Even though the principal does not know the agents’ types, she … Read more
We study a pessimistic stochastic bilevel program in the context of sequential two-player games, where the leader makes a binary here-and-now decision, and the follower responds a continuous wait-and-see decision after observing the leader’s action and revelation of uncertainty. Only the information of the mean, covariance, and support is known. We formulate the problem as … Read more
Distributionally robust chance constrained programs minimize a deterministic cost function subject to the satisfaction of one or more safety conditions with high probability, given that the probability distribution of the uncertain problem parameters affecting the safety condition(s) is only known to belong to some ambiguity set. We study two popular approximation schemes for distributionally robust … Read more
Optimization problems in operations and finance often include a cost that is proportional to the expected amount by which a random variable exceeds some fixed quantity, known as the expected loss function. Representation of this function often leads to computational challenges, depending on the distribution of the random variable of interest. Moreover, in practice, a … Read more
Recent work has leveraged the popular distributionally robust optimization paradigm to combat overfitting in classical logistic regression. While the resulting classification scheme displays a promising performance in numerical experiments, it is inherently limited to numerical features. In this paper, we show that distributionally robust logistic regression with mixed (i.e., numerical and categorical) features, despite amounting … Read more
Motivated by the worldwide Covid-19 vaccine procurement, we study an inventory problem with an advance purchase contract which requires all ordering decisions to be committed at once. In reality, not only the demand is uncertain, but its distribution can also be ambiguous. Hence, we assume that only the mean and the variance are known and … Read more
We study a two-stage natural disaster management problem modeled as a stochastic program, where the first stage consists of a facility location problem, deciding where to open facilities and pre-allocate resources such as medical and food kits, and the second stage is a fixed-charge transportation problem, routing resources to affected areas after observing a disaster. … Read more