Related papers: Doubly Robust Data-Driven Distributionally Robust …
Empirical risk minimization (ERM) and distributionally robust optimization (DRO) are popular approaches for solving stochastic optimization problems that appear in operations management and machine learning. Existing generalization error…
We study stability and sample complexity properties of divergence regularized optimal transport (DOT). First, we obtain quantitative stability results for optimizers of DOT measured in Wasserstein distance, which are applicable to a wide…
We show that several machine learning estimators, including square-root LASSO (Least Absolute Shrinkage and Selection) and regularized logistic regression can be represented as solutions to distributionally robust optimization (DRO)…
The Robust Satisficing (RS) model is an emerging approach to robust optimization, offering streamlined procedures and robust generalization across various applications. However, the statistical theory of RS remains unexplored in the…
Offline reinforcement learning aims to learn from pre-collected datasets without active exploration. This problem faces significant challenges, including limited data availability and distributional shifts. Existing approaches adopt a…
This manuscript introduces the idea of using Distributionally Robust Optimization (DRO) for the Counterfactual Risk Minimization (CRM) problem. Tapping into a rich existing literature, we show that DRO is a principled tool for…
Off-policy evaluation and learning are concerned with assessing a given policy and learning an optimal policy from offline data without direct interaction with the environment. Often, the environment in which the data are collected differs…
As electric vehicle (EV) technologies become mature, EV has been rapidly adopted in modern transportation systems, and is expected to provide future autonomous mobility-on-demand (AMoD) service with economic and societal benefits. However,…
Many decision problems in science, engineering and economics are affected by uncertain parameters whose distribution is only indirectly observable through samples. The goal of data-driven decision-making is to learn a decision from finitely…
This paper introduces an optimization problem (P) and a solution strategy to design variable-speed-limit controls for a highway that is subject to traffic congestion and uncertain vehicle arrival and departure. By employing a finite…
We propose a data-driven portfolio selection model that integrates side information, conditional estimation and robustness using the framework of distributionally robust optimization. Conditioning on the observed side information, the…
Assigning importance weights to adversarial data has achieved great success in training adversarially robust networks under limited model capacity. However, existing instance-reweighted adversarial training (AT) methods heavily depend on…
This paper presents a robust version of the stratified sampling method when multiple uncertain input models are considered for stochastic simulation. Various variance reduction techniques have demonstrated their superior performance in…
While traditional Deep Learning (DL) optimization methods treat all training samples equally, Distributionally Robust Optimization (DRO) adaptively assigns importance weights to different samples. However, a significant gap exists between…
In the era of exceptionally data-hungry models, careful selection of the training data is essential to mitigate the extensive costs of deep learning. Data pruning offers a solution by removing redundant or uninformative samples from the…
The robustness of Unmanned Surface Vehicles (USV) is crucial when facing unknown and complex marine environments, especially when heteroscedastic observational noise poses significant challenges to sensor-based navigation tasks. Recently,…
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…
We study a routing and appointment scheduling problem with uncertain service and travel times arising from home service practice. Specifically, given a set of customers within a service region that an operator needs to serve, we seek to…
We present Re-weighted Gradient Descent (RGD), a novel optimization technique that improves the performance of deep neural networks through dynamic sample re-weighting. Leveraging insights from distributionally robust optimization (DRO)…
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…