Related papers: Decomposition Algorithm for Distributionally Robus…
Building on a recent framework for distributionally robust optimization, we consider estimation of the inverse covariance matrix for multivariate data. We provide a novel notion of a Wasserstein ambiguity set specifically tailored to this…
We consider distributionally robust optimization problems where the uncertainty is modeled via a structured Wasserstein ambiguity set. Specifically, the ambiguity is restricted to product measures $P^{\otimes N}$, where $P$ lies within a…
Distributionally robust optimization (DRO) has been introduced for solving stochastic programs where the distribution of the random parameters is unknown and must be estimated by samples from that distribution. A key element of DRO is the…
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…
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…
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…
We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a $p$-dimensional Gaussian random vector from $n$ independent samples. The proposed model…
We propose two distributionally robust optimization (DRO) models for a mobile facility (MF) fleet sizing, routing, and scheduling problem (MFRSP) with time-dependent and random demand, as well as methodologies for solving these models.…
This paper studies adaptive distributionally robust dispatch (DRD) of the multi-energy microgrid under supply and demand uncertainties. A Wasserstein ambiguity set is constructed to support data-driven decision-making. By fully leveraging…
We propose an adjusted Wasserstein distributionally robust estimator -- based on a nonlinear transformation of the Wasserstein distributionally robust (WDRO) estimator in statistical learning. The classic WDRO estimator is asymptotically…
In recent years, there has been a growing research interest in decision-focused learning, which embeds optimization problems as a layer in learning pipelines and demonstrates a superior performance than the prediction-focused approach.…
We study decision dependent distributionally robust optimization models, where the ambiguity sets of probability distributions can depend on the decision variables. These models arise in situations with endogenous uncertainty. The developed…
We investigate the Distributionally Robust Regret-Optimal (DR-RO) control of discrete-time linear dynamical systems with quadratic cost over an infinite horizon. Regret is the difference in cost obtained by a causal controller and a…
Moment-based distributionally robust optimization (DRO) provides an optimization framework to integrate statistical information with traditional optimization approaches. Under this framework, one assumes that the underlying joint…
Deep neural networks are known to be vulnerable to adversarial attacks (AA). For an image recognition task, this means that a small perturbation of the original can result in the image being misclassified. Design of such attacks as well as…
A common goal in statistics and machine learning is to learn models that can perform well against distributional shifts, such as latent heterogeneous subpopulations, unknown covariate shifts, or unmodeled temporal effects. We develop and…
We study data-driven decision problems where historical observations are generated by a time-evolving distribution whose consecutive shifts are bounded in Wasserstein distance. We address this nonstationarity using a distributionally robust…
Wasserstein distributionally robust optimization offers a framework for model fitting in machine learning under potential shifts in the data distribution. We study a regularized variant of this problem in which entropic smoothing produces a…
Noisy data are often viewed as a challenge for decision-making. This paper studies a distributionally robust optimization (DRO) that shows how such noise can be systematically incorporated. Rather than applying DRO to the noisy empirical…
Distributionally robust optimization (DRO) is a worst-case framework for stochastic optimization under uncertainty that has drawn fast-growing studies in recent years. When the underlying probability distribution is unknown and observed…