Related papers: Ambiguity set and learning via Bregman and Wassers…
Estimating the density of a distribution from samples is a fundamental problem in statistics. In many practical settings, the Wasserstein distance is an appropriate error metric for density estimation. For example, when estimating…
Estimating a $d$-dimensional distribution $\mu$ by the empirical measure $\hat{\mu}_n$ of its samples is an important task in probability theory, statistics and machine learning. It is well known that $\mathbb{E}[\mathcal{W}_p(\hat{\mu}_n,…
Wasserstein distributionally robust optimization estimators are obtained as solutions of min-max problems in which the statistician selects a parameter minimizing the worst-case loss among all probability models within a certain distance…
Classical stochastic control assumes perfect knowledge of the uncertainty affecting the plant. In practice, however, such information is often incomplete. To address this limitation, we consider a distributionally robust control (DRC)…
In this paper, using the Bregman distance, we introduce a new projection-type algorithm for finding a common element of the set of solutions of an equilibrium problem and the set of fixed points. Then the strong convergence of the sequence…
Generalization error bounds are essential to understanding machine learning algorithms. This paper presents novel expected generalization error upper bounds based on the average joint distribution between the output hypothesis and each…
We consider a two-stage distributionally robust optimization (DRO) model with multimodal uncertainty, where both the mode probabilities and uncertainty distributions could be affected by the first-stage decisions. To address this setting,…
The notion of entropy-regularized optimal transport, also known as Sinkhorn divergence, has recently gained popularity in machine learning and statistics, as it makes feasible the use of smoothed optimal transportation distances for data…
Robustness to adversarial attacks is an important concern due to the fragility of deep neural networks to small perturbations and has received an abundance of attention in recent years. Distributionally Robust Optimization (DRO), a…
Variational Inference approximates an unnormalized distribution via the minimization of Kullback-Leibler (KL) divergence. Although this divergence is efficient for computation and has been widely used in applications, it suffers from some…
We revisit Markowitz's mean-variance portfolio selection model by considering a distributionally robust version, where the region of distributional uncertainty is around the empirical measure and the discrepancy between probability measures…
The performance of machine learning classification algorithms are evaluated by estimating metrics, often from the confusion matrix, using training data and cross-validation. However, these do not prove that the best possible performance has…
We study control of constrained linear systems with only partial statistical information about the uncertainty affecting the system dynamics and the sensor measurements. Specifically, given a finite collection of disturbance realizations…
Optimal Transport has sparked vivid interest in recent years, in particular thanks to the Wasserstein distance, which provides a geometrically sensible and intuitive way of comparing probability measures. For computational reasons, the…
We study distributionally robust quantile regression using type-$p$ Wasserstein ambiguity sets. We derive a closed-form expression for the worst-case quantile regression loss under general $p$-Wasserstein uncertainty. We further give a…
With the rise of machine learning and deep learning based applications in practice, monitoring, i.e. verifying that these operate within specification, has become an important practical problem. An important aspect of this monitoring is to…
This paper studies a distributionally robust chance constrained program (DRCCP) with Wasserstein ambiguity set, where the uncertain constraints should be satisfied with a probability at least a given threshold for all the probability…
Most existing distance metric learning methods assume perfect side information that is usually given in pairwise or triplet constraints. Instead, in many real-world applications, the constraints are derived from side information, such as…
Kullback-Leibler divergence (KL) regularization is widely used in reinforcement learning, but it becomes infinite under support mismatch and can degenerate in low-noise limits. Utilizing a unified information-geometric framework, we…
Wasserstein distributionally robust optimization (WDRO) strengthens statistical learning under model uncertainty by minimizing the local worst-case risk within a prescribed ambiguity set. Although WDRO has been extensively studied in…