Stochastic Programming
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Related Articles from SNS
Contextual Scenario Generation for Two-Stage Stochastic Programming
arXiv:2502.05349v2 Announce Type: replace-cross Abstract: Two-stage stochastic programs (2SPs) are widely used for decision-making under uncertainty, but their practical deployment is often limited by the large number of scenarios needed to approximate the conditional distribution of uncertain outcomes. We study contextual scenario generation: given contextual information, learn to produce a small, user-specified set of surrogate scenarios that, when used as input into the 2SP, lead to...
Diff2SP: Diffusion Models for Correlated Scenario Generation in Stochastic Programming
arXiv:2606.05649v1 Announce Type: cross Abstract: Scenario generation is a critical component in stochastic programming (SP), as it directly influences the quality of decision-making under uncertainty. Existing approaches predominantly rely on either sampling-based techniques or supervised learning using neural networks. Sampling-based techniques often struggle to capture complex dependencies and rare but plausible events, while supervised learning requires fixed input-output pairs for...
Quantum Algorithm for Nonlinear and Stochastic Homogenization via a Young-Measure based Linear Programming Formulation
Announce Type: new Abstract: We study quantum algorithms for nonlinear and stochastic homogenization via a Young-measure based linear programming (LP) formulation, which lifts the nonlinear problem to a linear one in higher dimensions by treating the microscale, the gradient, and possible random variables as independent variables, thereby capturing effective macroscopic quantities without directly resolving fine-scale oscillations. The resulting LP is large but structured, and its...
Young Measure Based Quantum Linear Programming Algorithms for Nonlinear/Stochastic Multiscale Partial Differential Equations and Homogenization
arXiv:2606.06165v2 Announce Type: replace Abstract: We study quantum algorithms for nonlinear and stochastic homogenization via a Young-measure based linear programming (LP) formulation, which lifts the nonlinear problem to a linear one in higher dimensions by treating the microscale, the gradient, and possible random variables as independent variables, thereby capturing effective macroscopic quantities without directly resolving fine-scale oscillations. The resulting LP is large but...
UnpredictaBench: A Benchmark for Evaluating Distributional Randomness in LLMs
arXiv:2606.06622v1 Announce Type: new Abstract: We introduce UnpredictaBench, an evaluation that tests the ability of large language models (LLMs) to capture true underlying distributions. As LLMs are increasingly used as substitutes for other entities (e.g., for humans in economic simulations), the tendency of many models to collapse towards a single plausible answer means a failure to capture the unpredictability of real systems. Recent work on improving output diversity is insufficient...
Evaluating AI Investment Strategies
arXiv:2606.08791v1 Announce Type: cross Abstract: We study the problem of auditing a black-box algorithmic decision-maker from observable inputs and outputs alone. Our main result is an exact decomposition: under precisely characterized conditions, the cumulative \emph{regret} of a dynamic policy equals the sum of per-period covariances between the cost vector and the policy's decision. This extends the single-period identity of Aldridge~(2026) to the full multi-period setting of stochastic...
Mutation Without Variation: Convergence Dynamics in LLM-Driven Program Evolution
Announce Type: new Abstract: When an LLM repeatedly mutates a program, does it explore new forms or circle back to the same ones? We study this question by analyzing LLM-driven mutation chains in the absence of selection pressure within a domain-specific language, varying prompt design, model family, and stochastic replication. We find that LLM-based mutation consistently converges toward restricted attractor regions in program space.
DIFFRACT: Neuralized Utility Maximization for Wireless Networks by Differentiable Programming
Announce Type: new Abstract: Next-generation wireless networks, including satellite-to-Open RAN systems, demand agile and intelligent resource management capable of handling dynamic multi-user interference under stochastic quality of service constraints. This paper introduces DIFFRACT, a neuralized utility maximization framework that leverages differentiable programming to integrate deep learning with optimization in wireless networks. Central to our approach is the exploitation of the...
Qubit-Efficient Quantum Annealing for Stochastic Unit Commitment
arXiv:2502.15917v3 Announce Type: replace-cross Abstract: Stochastic Unit Commitment (SUC) has been proposed to manage the uncertainties driven by renewable integration, but it leads to significant computational complexity. When accelerated by Benders Decomposition (BD), the master problem becomes binary integer programming, which is still NP-hard and computationally demanding for classical methods. Quantum Annealing (QA), known for efficiently solving Quadratic Unconstrained Binary...
Strongly Polynomial Time Complexity of Policy Iteration for $L_\infty$ Robust MDPs
arXiv:2601.23229v2 Announce Type: replace Abstract: Markov decision processes (MDPs) are a fundamental model in sequential decision making. Robust MDPs (RMDPs) extend this framework by allowing uncertainty in transition probabilities and optimizing against the worst-case realization of that uncertainty. In particular, $(s, a)$-rectangular RMDPs with $L_\infty$ uncertainty sets form a fundamental and expressive model: they subsume classical MDPs and turn-based stochastic games.