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math.OC2021
High-Confidence Data-Driven Ambiguity Sets for Time-Varying Linear Systems
Dimitris Boskos, Jorge Cortés, Sonia Martínez
This paper builds Wasserstein ambiguity sets for the unknown probability distribution of dynamic random variables leveraging noisy partial-state observations. The constructed ambig…
math.OC2019
Data-driven ambiguity sets with probabilistic guarantees for dynamic processes
Dimitris Boskos, Jorge Cortés, Sonia Martínez
Distributional ambiguity sets provide quantifiable ways to characterize the uncertainty about the true probability distribution of random variables of interest. This makes them a k…