Man-Chung Yue

A Max-Min-Max Algorithm for Large-Scale Robust Optimization

  • Kai Tu
  • Zhi Chen
  • Man-Chung Yue
    • Categories Robust Optimization Tags , , ,

    Robust optimization (RO) is a powerful paradigm for decision making under uncertainty. Existing algorithms for solving RO, including the reformulation approach and the cutting-plane method, do not scale well, hindering the application of RO to large-scale decision problems. In this paper, we devise a first-order algorithm for solving RO based on a novel max-min-max perspective. … Read more

    An MILP-Based Solution Scheme for Factored and Robust Factored Markov Decision Processes

  • Huikang Liu
  • Wolfram Wiesemann
  • Man-Chung Yue
    • Categories (Mixed) Integer Linear Programming, Robust Optimization Tags ,

    Factored Markov decision processes (MDPs) are a prominent paradigm within the artificial intelligence community for modeling and solving large-scale MDPs whose rewards and dynamics decompose into smaller, loosely interacting components. Through the use of dynamic Bayesian networks and context-specific independence, factored MDPs can achieve an exponential reduction in the state space of an MDP and … Read more