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In recent years, Wasserstein Distributionally Robust Optimization (DRO) has garnered substantial interest for its efficacy in data-driven decision-making under distributional uncertainty. However, limited research has explored the…
We consider statistical methods which invoke a min-max distributionally robust formulation to extract good out-of-sample performance in data-driven optimization and learning problems. Acknowledging the distributional uncertainty in learning…
Many real-world optimization problems involve uncertain parameters with probability distributions that can be estimated using contextual feature information. In contrast to the standard approach of first estimating the distribution of…
Addressing uncertainty is critical for autonomous systems to robustly adapt to the real world. We formulate the problem of model uncertainty as a continuous Bayes-Adaptive Markov Decision Process (BAMDP), where an agent maintains a…
Distributionally Robust Optimization (DRO), which aims to find an optimal decision that minimizes the worst case cost over the ambiguity set of probability distribution, has been widely applied in diverse applications, e.g., network…
Two-stage stochastic optimization is a framework for modeling uncertainty, where we have a probability distribution over possible realizations of the data, called scenarios, and decisions are taken in two stages: we make first-stage…
Decision-makers often encounter uncertainty, and the distribution of uncertain parameters plays a crucial role in making reliable decisions. However, complete information is rarely available. The sample average approximation (SAA) approach…
Distributionally robust optimization (DRO) has attracted attention in machine learning due to its connections to regularization, generalization, and robustness. Existing work has considered uncertainty sets based on phi-divergences and…
Research in reinforcement learning has produced algorithms for optimal decision making under uncertainty that fall within two main types. The first employs a Bayesian framework, where optimality improves with increased computational time.…
We study stochastic programs where the decision-maker cannot observe the distribution of the exogenous uncertainties but has access to a finite set of independent samples from this distribution. In this setting, the goal is to find a…
We present a novel framework for distributionally robust optimization (DRO), called cost-aware DRO (CADRO). The key idea of CADRO is to exploit the cost structure in the design of the ambiguity set to reduce conservatism. Particularly, the…
As the complexity of modern control systems increases, it becomes challenging to derive an accurate model of the uncertainty that affects their dynamics. Wasserstein Distributionally Robust Optimization (DRO) provides a powerful framework…
Recently, a special case of precision matrix estimation based on a distributionally robust optimization (DRO) framework has been shown to be equivalent to the graphical lasso. From this formulation, a method for choosing the regularization…
Data-driven Distributionally Robust Optimization (DD-DRO) via optimal transport has been shown to encompass a wide range of popular machine learning algorithms. The distributional uncertainty size is often shown to correspond to the…
Bayesian optimization is a popular tool for data-efficient optimization of expensive objective functions. In real-life applications like engineering design, the designer often wants to take multiple objectives as well as input uncertainty…
In performative stochastic optimization, decisions can influence the distribution of random parameters, rendering the data-generating process itself decision-dependent. In practice, decision-makers rarely have access to the true…
Bayesian optimization (BO) is among the most effective and widely-used blackbox optimization methods. BO proposes solutions according to an explore-exploit trade-off criterion encoded in an acquisition function, many of which are computed…
Given data generated by an observable stochastic process, we study how to construct statistically optimal decisions for general stochastic optimization problems. Our setting encompasses non-standard data structures, including data…
In data-driven optimization, sample average approximation (SAA) is known to suffer from the so-called optimizer's curse that causes an over-optimistic evaluation of the solution performance. We argue that a special type of distributionallly…
Distributionally Robust Optimization (DRO), as a popular method to train robust models against distribution shift between training and test sets, has received tremendous attention in recent years. In this paper, we propose and analyze…