Uncertain uncertainty in data-driven stochastic optimization: towards structured ambiguity sets

Ambiguity sets of probability distributions are a prominent tool to hedge against distributional uncertainty in stochastic optimization. The aim of this paper is to build tight Wasserstein ambiguity sets for data-driven optimization problems. The method exploits independence between the distribution components to introduce structure in the...

A distributed forward-backward algorithm for stochastic generalized Nash equilibrium seeking

We consider the stochastic generalized Nash equilibrium problem (SGNEP) with expected-value cost functions. Inspired by Yi and Pavel (2019), we propose a distributed generalized Nash equilibrium seeking algorithm based on the preconditioned forward-backward operator splitting for SGNEPs, where, at each iteration, the expected value of the...

A human-like steering model: Sensitive to uncertainty in the environment

The interaction between a human driver and an automated driving system may improve when the automation is designed in such a way that it behaves in a human-like manner. This paper introduces a human-like steering model, in which the driver adapts to the risk due to uncertainty in the environment. Current steering models take a risk-neutral...