benders decomposition 1contextual stochastic optimization 1decision-dependent uncertainty 1mixed-integer programming 1nonparametric learning 1
From the 1 of 3 linked papers with an AI index.
3 papers
math.OC2026
Contextual Stochastic Optimization with Decision-Dependent Uncertainty via Nonparametric Learning
Huangrong Sun, Xian Yu
The paper proposes a framework for solving decision-dependent contextual stochastic optimization problems by learning uncertainty with nonparametric regression models and incorpora…
cs.LG2026
On the Global Convergence of Risk-Averse Natural Policy Gradient Methods with Expected Conditional Risk Measures
Xian Yu, Lei Ying
Risk-sensitive reinforcement learning (RL) has become a popular tool for controlling the risk of uncertain outcomes and ensuring reliable performance in highly stochastic sequentia…
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…