Related papers: Regularized Wasserstein Means for Aligning Distrib…
In this paper, we present an ensemble data assimilation paradigm over a Riemannian manifold equipped with the Wasserstein metric. Unlike the Eulerian penalization of error in the Euclidean space, the Wasserstein metric can capture…
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…
Conditional distribution is a fundamental quantity for describing the relationship between a response and a predictor. We propose a Wasserstein generative approach to learning a conditional distribution. The proposed approach uses a…
Generative Adversarial Networks (GANs) are one of the most practical methods for learning data distributions. A popular GAN formulation is based on the use of Wasserstein distance as a metric between probability distributions.…
The Wasserstein distance is a distance between two probability distributions and has recently gained increasing popularity in statistics and machine learning, owing to its attractive properties. One important approach to extending this…
Wasserstein distributionally robust control (WDRC) is an effective method for addressing inaccurate distribution information about disturbances in stochastic systems. It provides various salient features, such as an out-of-sample…
Clustering is an important exploratory data analysis technique to group objects based on their similarity. The widely used $K$-means clustering method relies on some notion of distance to partition data into a fewer number of groups. In the…
A new least squares mean of positive definite matrices for the divergence associated with the sandwiched quasi-relative entropy has been introduced. It generalizes the well-known Wasserstein mean for covariance matrices of Gaussian…
We present a stochastic algorithm to compute the barycenter of a set of probability distributions under the Wasserstein metric from optimal transport. Unlike previous approaches, our method extends to continuous input distributions and…
With the ongoing investment in data collection and communication technology in power systems, data-driven optimization has been established as a powerful tool for system operators to handle stochastic system states caused by weather- and…
A common feature of methods for analyzing samples of probability density functions is that they respect the geometry inherent to the space of densities. Once a metric is specified for this space, the Fr\'echet mean is typically used to…
We study a model for adversarial classification based on distributionally robust chance constraints. We show that under Wasserstein ambiguity, the model aims to minimize the conditional value-at-risk of the distance to misclassification,…
Wasserstein balls, which contain all probability measures within a pre-specified Wasserstein distance to a reference measure, have recently enjoyed wide popularity in the distributionally robust optimization and machine learning communities…
In prescriptive analytics, the decision-maker observes historical samples of $(X, Y)$, where $Y$ is the uncertain problem parameter and $X$ is the concurrent covariate, without knowing the joint distribution. Given an additional covariate…
In this paper, we introduce a robust market making framework based on Wasserstein distance, utilizing a stochastic policy approach enhanced by entropy regularization. We demonstrate that, under mild assumptions, the robust market making…
Many machine learning applications require operating on a spatially distributed dataset. Despite technological advances, privacy considerations and communication constraints may prevent gathering the entire dataset in a central unit. In…
We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance constraints hold with respect to all probability distributions in a Wasserstein ball centered at the…
We propose a unifying framework for generalising the Wasserstein-1 metric to a discrepancy measure between nonnegative measures of different mass. This generalization inherits the convexity and computational efficiency from the…
Domain shifts in the training data are common in practical applications of machine learning; they occur for instance when the data is coming from different sources. Ideally, a ML model should work well independently of these shifts, for…
Wasserstein barycentres represent average distributions between multiple probability measures for the Wasserstein distance. The numerical computation of Wasserstein barycentres is notoriously challenging. A common approach is to use…