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As machine learning models are deployed ever more broadly, it becomes increasingly important that they are not only able to perform well on their training distribution, but also yield accurate predictions when confronted with distribution…
In this work, we develop a novel data-driven Bayesian nonparametric Wasserstein distributionally robust optimization (BNWDRO) framework for decision-making under uncertainty. The proposed framework unifies a Bayesian nonparametric method…
Distributionally robust optimization (DRO) is a powerful technique to train robust models against data distribution shift. This paper aims to solve regularized nonconvex DRO problems, where the uncertainty set is modeled by a so-called…
Distributionally robust optimization (DRO) is an effective framework for controlling real-world systems with various uncertainties, typically modeled using distributional uncertainty balls. However, DRO problems often involve infinitely…
In this paper, an optimization problem with uncertain constraint coefficients is considered. Possibility theory is used to model the uncertainty. Namely, a joint possibility distribution in constraint coefficient realizations, called…
Distributionally robust optimization (DRO) is a powerful framework for training robust models against data distribution shifts. This paper focuses on constrained DRO, which has an explicit characterization of the robustness level. Existing…
We review distributionally robust optimization (DRO), a principled approach for constructing statistical estimators that hedge against the impact of deviations in the expected loss between the training and deployment environments. Many…
We study statistical inference and distributionally robust solution methods for stochastic optimization problems, focusing on confidence intervals for optimal values and solutions that achieve exact coverage asymptotically. We develop a…
We develop and analyze algorithms for distributionally robust optimization (DRO) of convex losses. In particular, we consider group-structured and bounded $f$-divergence uncertainty sets. Our approach relies on an accelerated method that…
Optimizing objectives under constraints, where both the objectives and constraints are black box functions, is a common scenario in real-world applications such as scientific experimental design, design of medical therapies, and industrial…
Many black-box optimization tasks arising in high-stakes applications require risk-averse decisions. The standard Bayesian optimization (BO) paradigm, however, optimizes the expected value only. We generalize BO to trade mean and…
We present a distributionally robust optimization (DRO) approach for the transmission expansion planning problem, considering both long- and short-term uncertainties on the system demand and non-dispatchable renewable generation. On the…
The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have to be estimated by using historical data of the asset…
We investigate a stochastic program with expected value constraints, addressing the problem in a general context through Distributionally Robust Optimization (DRO) approach using Wasserstein distances, where the ambiguity set depends on the…
It is known that the set of perturbed data is key in robust optimization (RO) modelling. Distributionally robust optimization (DRO) is a methodology used for optimization problems affected by random parameters with uncertain probability…
We consider a distributionally robust formulation of stochastic optimization problems arising in statistical learning, where robustness is with respect to uncertainty in the underlying data distribution. Our formulation builds on…
Bayesian optimization (BO) is a popular approach for sample-efficient optimization of black-box objective functions. While BO has been successfully applied to a wide range of scientific applications, traditional approaches to…
Several fundamental problems in science and engineering consist of global optimization tasks involving unknown high-dimensional (black-box) functions that map a set of controllable variables to the outcomes of an expensive experiment.…
Robustness to distributional shift is one of the key challenges of contemporary machine learning. Attaining such robustness is the goal of distributionally robust optimization, which seeks a solution to an optimization problem that is…
Distributionally robust optimisation (DRO) minimises the worst-case expected loss over an ambiguity set that can capture distributional shifts in out-of-sample environments. While Huber (linear-vacuous) contamination is a classical…