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math.OC2025
Fast Online Distributionally Robust Optimization via Data Compression
Irina Wang, Bartolomeo Stellato
We propose an online data compression approach for efficiently solving Wasserstein distributionally robust optimization (DRO) problems with streaming data. Our method constructs ad…
math.OC2023
Learning Decision-Focused Uncertainty Sets in Robust Optimization
Irina Wang, Bart Van Parys, Bartolomeo Stellato
We propose a data-driven technique to automatically learn contextual uncertainty sets in robust optimization, resulting in excellent worst-case and average-case performance while a…
math.OC2023
The Benefit of Uncertainty Coupling in Robust and Adaptive Robust Optimization
Dimitris Bertsimas, Liangyuan Na, Bartolomeo Stellato +1
Despite the modeling power for problems under uncertainty, robust optimization (RO) and adaptive robust optimization (ARO) can exhibit too conservative solutions in terms of object…