4 papers
Generalization Bounds for Contextual Stochastic Optimization using Kernel Regression
Yijie Wang, Grani A. Hanasusanto, Chin Pang Ho
In this paper, we consider contextual stochastic optimization using Nadaraya-Watson kernel regression, which is one of the most common approaches in nonparametric regression. Recen…
Distributionally Fair Stochastic Optimization using Wasserstein Distance
Qing Ye, Grani A. Hanasusanto, Weijun Xie
A traditional stochastic program under a finite population typically seeks to optimize efficiency by maximizing the expected profits or minimizing the expected costs, subject to a…
Second-order bounds for the M/M/ queue with random arrival rate
Wouter J. E. C. van Eekelen, Grani A. Hanasusanto, John J. Hasenbein +1
Consider an M/M/ queue with the additional feature that the arrival rate is a random variable of which only the mean, variance, and range are known. Using semi-infinite linear p…
Distributionally Robust Path Integral Control
Hyuk Park, Duo Zhou, Grani A. Hanasusanto +1
We consider a continuous-time continuous-space stochastic optimal control problem, where the controller lacks exact knowledge of the underlying diffusion process, relying instead o…