scholarly journals Distributionally robust stochastic programs with side information based on trimmings

Author(s):  
Adrián Esteban-Pérez ◽  
Juan M. Morales

AbstractWe consider stochastic programs conditional on some covariate information, where the only knowledge of the possible relationship between the uncertain parameters and the covariates is reduced to a finite data sample of their joint distribution. By exploiting the close link between the notion of trimmings of a probability measure and the partial mass transportation problem, we construct a data-driven Distributionally Robust Optimization (DRO) framework to hedge the decision against the intrinsic error in the process of inferring conditional information from limited joint data. We show that our approach is computationally as tractable as the standard (without side information) Wasserstein-metric-based DRO and enjoys performance guarantees. Furthermore, our DRO framework can be conveniently used to address data-driven decision-making problems under contaminated samples. Finally, the theoretical results are illustrated using a single-item newsvendor problem and a portfolio allocation problem with side information.

2018 ◽  
Vol 37 (13-14) ◽  
pp. 1632-1672 ◽  
Author(s):  
Sanjiban Choudhury ◽  
Mohak Bhardwaj ◽  
Sankalp Arora ◽  
Ashish Kapoor ◽  
Gireeja Ranade ◽  
...  

Robot planning is the process of selecting a sequence of actions that optimize for a task=specific objective. For instance, the objective for a navigation task would be to find collision-free paths, whereas the objective for an exploration task would be to map unknown areas. The optimal solutions to such tasks are heavily influenced by the implicit structure in the environment, i.e. the configuration of objects in the world. State-of-the-art planning approaches, however, do not exploit this structure, thereby expending valuable effort searching the action space instead of focusing on potentially good actions. In this paper, we address the problem of enabling planners to adapt their search strategies by inferring such good actions in an efficient manner using only the information uncovered by the search up until that time. We formulate this as a problem of sequential decision making under uncertainty where at a given iteration a planning policy must map the state of the search to a planning action. Unfortunately, the training process for such partial-information-based policies is slow to converge and susceptible to poor local minima. Our key insight is that if we could fully observe the underlying world map, we would easily be able to disambiguate between good and bad actions. We hence present a novel data-driven imitation learning framework to efficiently train planning policies by imitating a clairvoyant oracle: an oracle that at train time has full knowledge about the world map and can compute optimal decisions. We leverage the fact that for planning problems, such oracles can be efficiently computed and derive performance guarantees for the learnt policy. We examine two important domains that rely on partial-information-based policies: informative path planning and search-based motion planning. We validate the approach on a spectrum of environments for both problem domains, including experiments on a real UAV, and show that the learnt policy consistently outperforms state-of-the-art algorithms. Our framework is able to train policies that achieve up to [Formula: see text] more reward than state-of-the art information-gathering heuristics and a [Formula: see text] speedup as compared with A* on search-based planning problems. Our approach paves the way forward for applying data-driven techniques to other such problem domains under the umbrella of robot planning.


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