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Boskos, D. (author), Cortes, Jorge (author), Martinez, Sonia (author)This paper builds Wasserstein ambiguity sets for the unknown probability distribution of dynamic random variables leveraging noisy partial-state observations. The constructed ambiguity sets contain the true distribution of the data with quantifiable probability and can be exploited to formulate robust stochastic optimization problems with out...journal article 2024
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Boskos, D. (author), Cortes, Jorge (author), Martinez Sandez, S. (author)This paper introduces a spectral parameterization of ambiguity sets to hedge against distributional uncertainty in stochastic optimization problems. We build an ambiguity set of probability densities around a histogram estimator, which is constructed by independent samples from the unknown distribution. The densities in the ambiguity set are...conference paper 2022