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Safe reinforcement learning (RL) aims to learn policies that satisfy certain constraints before deploying them to safety-critical applications. Previous primal-dual style approaches suffer from instability issues and lack optimality…
Data-driven decision-making under uncertainty typically presumes the collection of historical data from an unknown target probability distribution. However, one may have no access to any data from the target distribution prior to…
Structuring ambiguity sets in Wasserstein-based distributionally robust optimization (DRO) can improve their statistical properties when the uncertainty consists of multiple independent components. The aim of this paper is to solve…
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…
Federated learning (FL) enables collaborative model training without direct data sharing, but its performance can degrade significantly in the presence of data distribution perturbations. Distributionally robust optimization (DRO) provides…
Stochastic programs where the uncertainty distribution must be inferred from noisy data samples are considered. The stochastic programs are approximated with distributionally-robust optimizations that minimize the worst-case expected cost…
We study distributionally robust online learning, where a risk-averse learner updates decisions sequentially to guard against worst-case distributions drawn from a Wasserstein ambiguity set centered at past observations. While this paradigm…
In this paper, we introduce a framework for contextual distributionally robust optimization (DRO) that considers the causal and continuous structure of the underlying distribution by developing interpretable and tractable decision rules…
Our goal is to train control policies that generalize well to unseen environments. Inspired by the Distributionally Robust Optimization (DRO) framework, we propose DRAGEN - Distributionally Robust policy learning via Adversarial Generation…
Learning a predictive model of the mean return, or value function, plays a critical role in many reinforcement learning algorithms. Distributional reinforcement learning (DRL) has been shown to improve performance by modeling the value…
We study a single-server appointment scheduling problem with a fixed sequence of appointments, for which we must determine the arrival time for each appointment. We specifically examine two stochastic models. In the first model, we assume…
Robust optimization has been established as a leading methodology to approach decision problems under uncertainty. To derive a robust optimization model, a central ingredient is to identify a suitable model for uncertainty, which is called…
Machine learning algorithms with empirical risk minimization are vulnerable under distributional shifts due to the greedy adoption of all the correlations found in training data. There is an emerging literature on tackling this problem by…
We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not necessarily discrete. We derive primal and dual formulations…
Wasserstein distributionally robust optimization (WDRO) optimizes against worst-case distributional shifts within a specified uncertainty set, leading to enhanced generalization on unseen adversarial examples, compared to standard…
This work studies reinforcement learning (RL) in the context of multi-period supply chains subject to constraints, e.g., on production and inventory. We introduce Distributional Constrained Policy Optimization (DCPO), a novel approach for…
We study the problem of Distributionally Robust Constrained RL (DRC-RL), where the goal is to maximize the expected reward subject to environmental distribution shifts and constraints. This setting captures situations where training and…
It is essential to capture the true probability distribution of uncertain data in the distributionally robust optimization (DRO). The uncertain data presents multimodality in numerous application scenarios, in the sense that the probability…
We study the distributionally robust optimization (DRO) in a dynamic context where the model uncertainty is captured by penalizing potential models in function of their adapted Wasserstein distance to a given reference model. We consider…
We propose a framework for learning calibrated uncertainties under domain shifts, where the source (training) distribution differs from the target (test) distribution. We detect such domain shifts via a differentiable density ratio…