A Kernel Mean Embedding Approach to Reducing Conservativeness in Stochastic Programming and Control

Jia-Jie Zhu, Bernhard Schoelkopf, Moritz Diehl

Abstract: In this paper, we apply kernel mean embedding methods to sample-based stochastic optimization and control. Specifically, we use the reduced-set expansion method as a way to discard sampled scenarios. The effect of such constraint removal is improved optimality and decreased conservativeness. This is achieved by solving a distributional-distance-regularized optimization problem. We demonstrated this optimization formulation is well-motivated in theory, computationally tractable, and effective in numerical algorithms.