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All sourcesNASA NTRSDOE OSTI
DOE OSTI2023

Residuals-based distributionally robust optimization with covariate information

We consider data-driven approaches that integrate a machine learning prediction model within distributionally robust optimization (DRO) given limited joint observations of uncertain parameters and covariates. Our framework is flexible in the sense that it can accommodate a variety of regression setups and DRO ambiguity sets. We investigate asymptotic and finite sample properties of solutions obtained using Wasserstein, sample robust optimization, and phi-divergence-based ambiguity sets within our DRO formulations, and explore cross-validation approaches for sizing these ambiguity sets. Through numerical experiments, we validate our theoretical results, study the effectiveness of our approaches for sizing ambiguity sets, and illustrate the benefits of our DRO formulations in the limited data regime even when the prediction model is misspecified.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2020

Optimal PV Inverter Control in Distribution Systems via Data-Driven Distributionally Robust Optimization

Distribution systems with high penetration of uncertain solar generation call for advanced control strategies of photovoltaics (PVs) inverters. This paper proposes a data-driven distributionally robust optimization (DDDRO) approach to optimally controlling the PV inverters to improve the system operation performance under solar power uncertainties. In the proposed DDDRO approach, a Wasserstein ball-based method is proposed to construct the distributional ambiguity set to model the uncertainties of PV generation through partial observations of historical data without knowing exact probability distributions. We further reformulate the computationally intractable DDDRO model to a mixed integer second order cone programming (MISOCP) problem. The effectiveness and out-of-sample performance of the proposed approach have been demonstrated on a modified IEEE 33-node system. We conduct a comparative study to compare the proposed method with traditional chance constrained programming (CCP). It shows that the proposed DDDRO approach can provide a less conservative yet robust solution to minimize the worse-case expectation of the total network loss while maintaining nodal voltages in a secure range.

Xue, Yaosuo↗
DOE OSTI2022

Distributionally Robust Decision Making Leveraging Conditional Distributions

Distributionally robust optimization (DRO) is a powerful tool for decision making under uncertainty. It is particularly appealing because of its ability to leverage existing data. However, many practical problems call for decision-making with some auxiliary information, and DRO in the context of conditional distributions is not straightforward. We propose a conditional kernel distributionally robust optimization (CKDRO) method that enables robust decision making under conditional distributions through kernel DRO and the conditional mean operator in the reproducing kernel Hilbert space (RKHS). In particular, we consider problems where there is a correlation between the unknown variable y and an auxiliary observable variable x. Given past data of the two variables and a queried auxiliary variable, CKDRO represents the conditional distribution P(y|x) as the conditional mean operator in the RKHS space and quantifies the ambiguity set in the RKHS as well, which depends on the size of the dataset as well as the query point. To justify the use of RKHS, we demonstrate that the ambiguity set defined in RKHS can be viewed as a ball under a metric that is similar to the Wasserstein metric. The DRO is then dualized and solved via a finite dimensional convex program. The proposed CKDRO approach is applied to a generation scheduling problem and shows that the result of CKDRO is superior to common benchmarks in terms of quality and robustness.

Chen, Yuxiao↗
DOE OSTI2024

Distributionally Robust Bilevel Optimization Model for Distribution Network With Demand Response Under Uncertain Renewables Using Wasserstein Metrics

Here, we consider a distribution network integrating demand response (DR) participants in the presence of uncertain renewable suppliers and outdoor temperatures. A bilevel optimization model is proposed to capture the intricate dynamics between price-incentivized DR participants and distribution system operations, including energy procurement and active/reactive power flows. The model is formulated as a distributional robust bilevel optimization using Wasserstein metrics. We show favorable data-driven properties including out-of-sample guarantee and asymptotic consistency. Furthermore, we present a tractable mixed-integer linear programming reformulation and characterize the worst-case distribution. Computational experiments are conducted on a modified 33-bus system. Our findings underscore the efficacy of the pricing strategies derived from the proposed bilevel optimization model. These strategies not only effectively manage DR participants' behavior but also bring equity considerations among households with various characteristics to light. The results contribute to a deeper understanding of the interplay between distribution system operators and DR participants.

24 POWER TRANSMISSION AND DISTRIBUTION↗
DOE OSTI2023

A Distributionally Robust Resilience Enhancement Strategy for Distribution Networks Considering Decision-Dependent Contingencies

When performing the resilience enhancement for distribution networks, there are two obstacles to reliably model the uncertain contingencies: 1) decision-dependent uncertainty (DDU) due to various line hardening decisions, and 2) distributional ambiguity due to limited outage information during extreme weather events (EWEs). Here, to address these two challenges, this paper develops scenario-wise decision-dependent ambiguity sets (SWDD-ASs), where the DDU and distributional ambiguity inherent in EWE-induced contingencies are simultaneously captured for each possible EWE scenario. Then, a two-stage tri-level decision-dependent distributionally robust resilient enhancement (DD-DRRE) model is formulated, whose outputs include the optimal line hardening, distributed generation (DG) allocation, and proactive network reconfiguration strategy under the worst-case distributions in SWDD-ASs. Subsequently, the DD-DRRE model is equivalently recast to a mixed-integer linear programming (MILP)-based master problem and multiple scenario-wise subproblems, facilitating the adoption of a customized column-and-constraint generation (C&CG) algorithm. Finally, case studies demonstrate a remarkable improvement in the out-of-sample performance of our model, compared to its prevailing stochastic and robust counterparts. Moreover, the potential values of incorporating the ambiguity and distributional information are quantitatively estimated, providing a useful reference for planners with different budgets and risk-aversion levels.

decision-dependent uncertainty↗
DOE OSTI2024

Revealing Decision Conservativeness Through Inverse Distributionally Robust Optimization

This paper introduces Inverse Distributionally Robust Optimization (I-DRO) as a method to infer the conservativeness level of a decision-maker, represented by the size of a Wasserstein metric-based ambiguity set, from the optimal decisions made using Forward Distributionally Robust Optimization (F-DRO). By leveraging the Karush-Kuhn-Tucker (KKT) conditions of the convex F-DRO model, we formulate I-DRO as a bi-linear program, which can be solved using off-the-shelf optimization solvers. Additionally, this formulation exhibits several advantageous properties. We demonstrate that I-DRO not only guarantees the existence and uniqueness of an optimal solution but also establishes the necessary and sufficient conditions for this optimal solution to accurately match the actual conservativeness level in F-DRO. Furthermore, we identify three extreme scenarios that may impact I-DRO effectiveness. Our case study applies F-DRO for power system scheduling under uncertainty and employs I-DRO to recover the conservativeness level of system operators. Numerical experiments based on an IEEE 5-bus system and a realistic NYISO 11-zone system demonstrate I-DRO performance in both normal and extreme scenarios. An extended version of this paper with additional analyses is available at li2024revealing.

distributionally robust optimization↗
DOE OSTI2020

Distributionally robust facility location problem under decision-dependent stochastic demand

While the traditional facility location problem considers exogenous demand, in some applications, locations of facilities could affect the willingness of customers to use certain types of services, e.g., carsharing, and therefore they also affect realizations of random demand. Moreover, a decision maker may not know the exact distribution of such endogenous demand and how it is affected by location choices. In this paper, we consider a distributionally robust facility location problem, in which we interpret the moments of stochastic demand as functions of facility-location decisions. We reformulate a two-stage decision-dependent distributionally robust optimization model as a monolithic formulation, and then derive exact mixed-integer linear programming reformulation as well as valid inequalities when the means and variances of demand are piecewise linear functions of location solutions. We conduct extensive computational studies, in which we compare our model with a decision-dependent deterministic model, as well as stochastic programming and distributionally robust models without the decision-dependent assumption. Here, the results show superior performance of our approach with remarkable improvement in profit and quality of service under various settings, in addition to computational speed-ups given by formulation enhancements. These results draw attention to the need of considering the impact of location decisions on customer demand within this strategic-level planning problem.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2022

Adversarial classification via distributional robustness with Wasserstein ambiguity

Abstract We study a model for adversarial classification based on distributionally robust chance constraints. We show that under Wasserstein ambiguity, the model aims to minimize the conditional value-at-risk of the distance to misclassification, and we explore links to adversarial classification models proposed earlier and to maximum-margin classifiers. We also provide a reformulation of the distributionally robust model for linear classification, and show it is equivalent to minimizing a regularized ramp loss objective. Numerical experiments show that, despite the nonconvexity of this formulation, standard descent methods appear to converge to the global minimizer for this problem. Inspired by this observation, we show that, for a certain class of distributions, the only stationary point of the regularized ramp loss minimization problem is the global minimizer.

Ho-Nguyen, Nam (ORCID:0000000344647730)↗
DOE OSTI2024

Distributionally Robust Variational Quantum Algorithms With Shifted Noise

Given their potential to demonstrate near-term quantum advantage, variational quantum algorithms (VQAs) have been extensively studied. Although numerous techniques have been developed for VQA parameter optimization, it remains a significant challenge. A practical issue is the high sensitivity of quantum noise to environmental changes, and its propensity to shift in real time. This presents a critical problem as an optimized VQA ansatz may not perform effectively under a different noise environment. For the first time, we explore how to optimize VQA parameters to be robust against unknown shifted noise. We model the noise level as a random variable with an unknown probability density function (PDF), and we assume that the PDF may shift within an uncertainty set. This assumption guides us to formulate a distributionally robust optimization problem, with the goal of finding parameters that maintain effectiveness under shifted noise. We utilize a distributionally robust Bayesian optimization solver for our proposed formulation. This provides numerical evidence in both the Quantum Approximate Optimization Algorithm (QAOA) and the Variational Quantum Eigensolver (VQE) with hardware-efficient ansatz, indicating that we can identify parameters that perform more robustly under shifted noise. We regard this work as the first step towards improving the reliability of VQAs influenced by real-time noise.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2022

Building Load Control Using Distributionally Robust Chance-Constrained Programs with Right-Hand Side Uncertainty and the Risk-Adjustable Variants

Aggregation of heating, ventilation, and air conditioning (HVAC) loads can provide reserves to absorb volatile renewable energy, especially solar photo-voltaic (PV) generation. In this paper, we decide HVAC control schedules under uncertain PV generation, using a distributionally robust chance-constrained (DRCC) building load control model under two typical ambiguity sets: the moment-based and Wasserstein ambiguity sets. We derive mixed integer linear programming (MILP) reformulations for DRCC problems under both sets. Especially, for the Wasserstein ambiguity set, we use the right-hand side (RHS) uncertainty to derive a more compact MILP reformulation than the commonly known MILP reformulations with big-M constants. All the results also apply to general individual chance constraints with RHS uncertainty. Furthermore, we propose an adjustable chance-constrained variant to achieve tradeoff between the operational risk and costs. We derive MILP reformulations under the Wasserstein ambiguity set and second-order conic programming (SOCP) reformulations under the moment-based set. Using real-world data, we conduct computational studies to demonstrate the efficiency of the solution approaches and the effectiveness of the solutions. Summary of Contribution: The problem studied in this paper is motivated by a building load control problem that uses the aggregation of heating, ventilation, and air conditioning (HVAC) loads as flexible reserves to absorb uncertain solar photovoltaic (PV) generation. The problem is formulated as distributionally robust chance-constrained (DRCC) programs with right-hand side (RHS) uncertainty. In addition, we propose a risk-adjustable variant of the DRCC programs, where the risk level, instead of being predetermined, is treated as a decision variable. The paper aims to provide tractable reformulations and solution algorithms for both the (general) DRCC and the (general) adjustable DRCC models with RHS uncertainty.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2020

Multistage distributionally robust mixed-integer programming with decision-dependent moment-based ambiguity sets

We study multistage distributionally robust mixed-integer programs under endogenous uncertainty, where the probability distribution of stage-wise uncertainty depends on the decisions made in previous stages. We first consider two ambiguity sets defined by decision-dependent bounds on the first and second moments of uncertain parameters and by mean and covariance matrix that exactly match decision-dependent empirical ones, respectively. For both sets, we show that the subproblem in each stage can be recast as a mixed-integer linear program (MILP). Moreover, we extend the general moment-based ambiguity set in to the multistage decision-dependent setting, and derive mixed-integer semidefinite programming (MISDP) reformulations of stage-wise subproblems. We develop methods for attaining lower and upper bounds of the optimal objective value of the multistage MISDPs, and approximate them using a series of MILPs. We deploy the Stochastic Dual Dynamic integer Programming (SDDiP) method for solving the problem under the three ambiguity sets with risk-neutral or risk-averse objective functions, and conduct numerical studies on multistage facility-location instances having diverse sizes under different parameter and uncertainty settings. Furthermore, our results show that the SDDiP quickly finds optimal solutions for moderate-sized instances under the first two ambiguity sets, and also finds good approximate bounds for the multistage MISDPs derived under the third ambiguity set. We also demonstrate the efficacy of incorporating decision-dependent distributional ambiguity in multistage decision-making processes.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2021

Distributionally Robust Partially Observable Markov Decision Process with Moment-Based Ambiguity

In this paper, we consider a distributionally robust partially observable Markov decision process (DR-POMDP), where the distribution of the transition-observation probabilities is unknown at the beginning of each decision period, but their realizations can be inferred using side information at the end of each period after an action being taken. We build an ambiguity set of the joint distribution using bounded moments via conic constraints and seek an optimal policy to maximize the worst-case (minimum) reward for any distribution in the set. We show that the value function of DR-POMDP is piecewise linear convex with respect to the belief state and propose a heuristic search value iteration method for obtaining lower and upper bounds of the value function. We conduct numerical studies and demonstrate the computational performance of our approach via testing instances of a dynamic epidemic control problem. Our results show that DR-POMDP can produce more robust policies under misspecified distributions of transition-observation probabilities as compared to POMDP but has less costly solutions than robust POMDP. The DR-POMDP policies are also insensitive to varying parameter in the ambiguity set and to noise added to the true transition-observation probability values obtained at the end of each decision period.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2022

Mitigating the Impacts of Uncertain Geomagnetic Disturbances on Electric Grids: A Distributionally Robust Optimization Approach

Severe geomagnetic disturbances (GMDs) increase the magnitude of the electric field on the Earth’s surface (E-field) and drive geomagnetically-induced currents (GICs) along the transmission lines in electric grids. These additional currents can pose severe risks, such as current distortions, transformer saturation and increased reactive power losses, each of which can lead to system unreliability. Today several mitigation actions (e.g., changing grid topology) exist that can reduce the harmful GIC effects on the grids. Making such decisions can be challenging, however, because the magnitude and direction of the E-field are uncertain and non-stationary. In this paper, we model uncertain E-fields using the distributionally robust optimization (DRO) approach that determines optimal transmission grid operations such that the worst-case expectation of the system cost is minimized. We also capture the effect of GICs on the nonlinear AC power flow equations. For solution approaches, we develop an accelerated column-and-constraint generation (CCG) algorithm by exploiting a special structure of the support set of uncertain parameters representing the E-field. Extensive numerical experiments based on “epri-21” and “uiuc-150” systems, designed for GMD studies, demonstrate (i) the computational performance of the accelerated CCG algorithm, (ii) the superior performance of distributionally robust grid operations that satisfy nonlinear, nonconvex AC power flow equations and GIC constraints, in comparison with standard stochastic programming-based methods during the out-of-sample testing.

42 ENGINEERING↗
DOE OSTI2025

Two-Stage Distributionally Robust Conic Linear Programming over 1-Wasserstein Balls

Here, this paper studies two-stage distributionally robust conic linear programming under constraint uncertainty over type-1 Wasserstein balls. We present optimality conditions for the dual of the worst-case expectation problem, which characterizes worst-case uncertain parameters for its inner maximization problem. This condition offers an alternative proof, a counterexample, and an extension to previous works. Additionally, the condition highlights the potential advantage of a specific distance metric for out-of-sample performance, as exemplified in a numerical study on a facility location problem with demand uncertainty. Furthermore, cutting-plane-based algorithms, equipped with a unified scenario generation framework, are proposed for addressing both unbounded support and second-stage dual feasible regions, with a finite convergence proof under less stringent assumptions.

Wasserstein↗
DOE OSTI2022

A multistage distributionally robust optimization approach to water allocation under climate uncertainty

This paper investigates a Multistage Distributionally Robust Optimization (MDRO) approach to water allocation under climate uncertainty. The MDRO is formed by creating sets of conditional distributions (called conditional ambiguity sets) on a finite scenario tree. The distributions in the conditional ambiguity sets remain close to a nominal conditional distribution according a ø-divergence (e.g., Kullback-Leibler divergence, Hellinger distance, Burg entropy, etc.). Here, the paper discusses a decomposition algorithm to solve the resulting MDRO with ø-divergences, which uses the dual formulation and solves only linear subproblems instead of convex ones. Some properties of the algorithm such as generating feasible policies and valid upper/lower bounds are established. The paper then applies the modeling and solution techniques to allocate water in a rapidly-developing area of Tucson, Arizona. Tucson, like many arid and semi-arid regions around the world, faces considerable uncertainty in its ability to provide water for its citizens in the future. The primary sources of uncertainty in the Tucson region include (1) unpredictable population growth, (2) the availability of water from the Colorado River, and (3) the effects of climate variability on water consumption. This paper integrates forecasts for all these sources of uncertainty into a single optimization model for robust and sustainable water allocation. Then, it uses this model to analyze the value of constructing additional treatment facilities to reduce future water shortages. The results indicate that the MDRO approach can be very valuable for water managers by providing insights to minimize their risks and help them plan for the future.

54 ENVIRONMENTAL SCIENCES↗
DOE OSTI2025

Learning with Adaptive Conservativeness for Distributionally Robust Optimization: Incentive Design for Voltage Regulation

Information asymmetry between the Distribution System Operator (DSO) and Distributed Energy Resource Aggregators (DERAs) obstructs designing effective incentives for voltage regulation. To capture this effect, we employ a Stackelberg game-theoretic framework, where the DSO seeks to overcome the information asymmetry and refine its incentive strategies by learning from DERA behavior over multiple iterations. We introduce a model-based online learning algorithm for the DSO, aimed at inferring the relationship between incentives and DERA responses. Given the uncertain nature of these responses, we also propose a distributionally robust incentive design model to control the probability of voltage regulation failure and then reformulate it into a convex problem. This model allows the DSO to periodically revise distribution assumptions on uncertain parameters in the decision model of the DERA. Finally, we present a gradient-based method that permits the DSO to adaptively modify its conservativeness level, measured by the size of a Wasserstein metric-based ambiguity set, according to historical voltage regulation performance. The effectiveness of our proposed method is demonstrated through numerical experiments.

adaptation models↗