11 papers
Diffusion-Robust Optimization over Graphs
Liviu Aolaritei, Ricky Huang, Michael I. Jordan +1
We introduce a diffusion-based uncertainty model for robust optimization on directed graphs, in which perturbations of edge weights propagate along adjacent edges and satisfy conse…
Minimum Volume Conformal Sets for Multivariate Regression
Sacha Braun, Liviu Aolaritei, Michael I. Jordan +1
Conformal prediction provides a principled framework for constructing predictive sets with finite-sample validity. While much of the focus has been on univariate response variables…
Stopping Rules for Stochastic Gradient Descent via Anytime-Valid Confidence Sequences
Liviu Aolaritei, Michael I. Jordan
The problem of stopping stochastic gradient descent (SGD) in an online manner, based solely on the observed trajectory, is a challenging theoretical problem with significant conseq…
Stochastic Optimization with Optimal Importance Sampling
Liviu Aolaritei, Bart P. G. Van Parys, Henry Lam +1
Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applic…
Hedging against Black Swans in Day-Ahead Energy Markets
Liviu Aolaritei, Boubacar Bangoura, Saverio Bolognani +2
Renewable generators must commit to day-ahead market bids despite uncertainty in both production and real-time prices. While forecasts provide valuable guidance, rare and unpredict…
Nash Equilibria, Regularization and Computation in Optimal Transport-Based Distributionally Robust Optimization
Soroosh Shafiee, Liviu Aolaritei, Florian Dörfler +1
We study optimal transport-based distributionally robust optimization problems where a fictitious adversary, often envisioned as nature, can choose the distribution of the uncertai…