Related papers: Worst-Case Expected Shortfall with Univariate and …

The foundational concept of Max-Margin in machine learning is ill-posed for output spaces with more than two labels such as in structured prediction. In this paper, we show that the Max-Margin loss can only be consistent to the…

Uniform deviation bounds limit the difference between a model's expected loss and its loss on an empirical sample uniformly for all models in a learning problem. As such, they are a critical component to empirical risk minimization. In this…

We investigate the problem of minimizing the excess generalization error with respect to the best expert prediction in a finite family in the stochastic setting, under limited access to information. We assume that the learner only has…

The Chernoff bound is a well-known tool for obtaining a high probability bound on the expectation of a Bernoulli random variable in terms of its sample average. This bound is commonly used in statistical learning theory to upper bound the…

Consider an M/M/$s$ queue with the additional feature that the arrival rate is a random variable of which only the mean, variance, and range are known. Using semi-infinite linear programming and duality theory for moment problems, we…

The aim of this paper is to provide several novel upper bounds on the excess risk with a primal focus on classification problems. We suggest two approaches and the obtained bounds are represented via the distribution dependent local…

We show that a lower bound for covariance of $\min(X_1,X_2)$ and $\max(X_1,X_2)$ is $\cov{X_1}{X_2}$ and an upper bound for variance of \\ $\min(X_2,\max(X,X_1))$ is $\var{X} + \var{X_1} +\var{X_2}$ generalizing previous results. We also…

It is a common phenomenon that for high-dimensional and nonparametric statistical models, rate-optimal estimators balance squared bias and variance. Although this balancing is widely observed, little is known whether methods exist that…

The joint distribution $P(X,Y)$ cannot be determined from its marginals $P(X)$ and $P(Y)$ alone; one also needs one of the conditionals $P(X|Y)$ or $P(Y|X)$. But is there a best guess, given only the marginals? Here we answer this question…

We establish the first known upper bound on the exact and Wyner's common information of $n$ continuous random variables in terms of the dual total correlation between them (which is a generalization of mutual information). In particular, we…

By revisiting the end-cut preference (ECP) phenomenon associated with a single CART (Breiman et al. (1984)), we introduce MinimaxSplit decision trees, a robust alternative to CART that selects splits by minimizing the worst-case child risk…

In safety-critical applications, machine learning models should generalize well under worst-case distribution shifts, that is, have a small robust risk. Invariance-based algorithms can provably take advantage of structural assumptions on…

In robust optimization one seeks to make a decision under uncertainty, where the goal is to find the solution with the best worst-case performance. The set of possible realizations of the uncertain data is described by a so-called…

Dealing with uncertainty in optimization parameters is an important and longstanding challenge. Typically, uncertain parameters are predicted accurately, and then a deterministic optimization problem is solved. However, the decisions…

This article introduces a framework for evaluating statistical decisions under both prior ambiguity and likelihood misspecification. We begin with an ambiguity set - a frequentist model that pairs a possibly misspecified likelihood with…

It is common practice to collect observations of feature and response pairs from different environments. A natural question is how to identify features that have consistent prediction power across environments. The invariant causal…

Graphical models with bi-directed edges (<->) represent marginal independence: the absence of an edge between two vertices indicates that the corresponding variables are marginally independent. In this paper, we consider maximum likelihood…

The marginal maximum a posteriori probability (MAP) estimation problem, which calculates the mode of the marginal posterior distribution of a subset of variables with the remaining variables marginalized, is an important inference problem…

This paper considers distribution systems with a high penetration of distributed, renewable generation and addresses the problem of incorporating the associated uncertainty into the optimal operation of these networks. Joint chance…

Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification, various forms of distributionally robust optimization have been applied. Although many of these…