27 citations · 76 across the 19 of their papers we have counts for
19 papers
Rectangularity and duality of distributionally robust Markov Decision Processes
Yan Li, Alexander Shapiro
The main goal of this paper is to discuss several approaches to formulation of distributionally robust counterparts of Markov Decision Processes, where the transition kernels are n…
Episodic Bayesian Optimal Control with Unknown Randomness Distributions
Alexander Shapiro, Enlu Zhou, Yifan Lin +1
Stochastic optimal control with unknown randomness distributions has been studied for a long time, encompassing robust control, distributionally robust control, and adaptive contro…
Numerical Methods for Convex Multistage Stochastic Optimization
Guanghui Lan, Alexander Shapiro
Optimization problems involving sequential decisions in a stochastic environment were studied in Stochastic Programming (SP), Stochastic Optimal Control (SOC) and Markov Decision P…
Statistical Limit Theorems in Distributionally Robust Optimization
Jose Blanchet, Alexander Shapiro
The goal of this paper is to develop methodology for the systematic analysis of asymptotic statistical properties of data driven DRO formulations based on their corresponding non-D…
Risk-Averse Stochastic Optimal Control: an efficiently computable statistical upper bound
Vincent Guigues, Alexander Shapiro, Yi Cheng
In this paper, we discuss an application of the SDDP type algorithm to nested risk-averse formulations of Stochastic Optimal Control (SOC) problems. We propose a construction of a…
Bayesian Distributionally Robust Optimization
Alexander Shapiro, Enlu Zhou, Yifan Lin
We introduce a new framework, Bayesian Distributionally Robust Optimization (Bayesian-DRO), for data-driven stochastic optimization where the underlying distribution is unknown. Ba…