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math.OC2026
Contextual Stochastic Optimization with Decision-Dependent Uncertainty via Nonparametric Learning
Huangrong Sun, Xian Yu
We study a general decision-dependent contextual stochastic program (DD-CSP) in which uncertainty depends on both exogenous contextual information and endogenous decisions. To lear…
math.OC2024
On the Value of Risk-Averse Multistage Stochastic Programming in Capacity Planning
Xian Yu, Siqian Shen
We consider a risk-averse stochastic capacity planning problem under uncertain demand in each period. Using a scenario tree representation of the uncertainty, we formulate a multis…
math.OC2020
Multistage Distributionally Robust Mixed-Integer Programming with Decision-Dependent Moment-Based Ambiguity Sets
Xian Yu, Siqian Shen
We study multistage distributionally robust mixed-integer programs under endogenous uncertainty, where the probability distribution of stage-wise uncertainty depends on the decisio…