Related papers: Distributionally Robust Optimization with Correlat…
This paper studies a class of multiagent stochastic optimization problems where the objective is to minimize the expected value of a function which depends on a random variable. The probability distribution of the random variable is unknown…
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…
We consider stochastic programs where the distribution of the uncertain parameters is only observable through a finite training dataset. Using the Wasserstein metric, we construct a ball in the space of (multivariate and non-discrete)…
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…
This paper focuses on solving a data-driven distributionally robust optimization problem over a network of agents. The agents aim to minimize the worst-case expected cost computed over a Wasserstein ambiguity set that is centered at the…
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…
This paper proposes a distributionally robust approach to logistic regression. We use the Wasserstein distance to construct a ball in the space of probability distributions centered at the uniform distribution on the training samples. If…
We study multistage distributionally robust linear optimization, where the uncertainty set is defined as a ball of distribution centered at a scenario tree using the nested distance. The resulting minimax problem is notoriously difficult to…
We study distributionally robust optimization with Sinkhorn distance -- a variant of Wasserstein distance based on entropic regularization. We derive a convex programming dual reformulation for general nominal distributions, transport…
In many applications in statistics and machine learning, the availability of data samples from multiple possibly heterogeneous sources has become increasingly prevalent. On the other hand, in distributionally robust optimization, we seek…
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…
We propose a scalable robust learning algorithm combining kernel smoothing and robust optimization. Our method is motivated by the convex analysis perspective of distributionally robust optimization based on probability metrics, such as the…
Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from…
Optimal transport has recently proved to be a useful tool in various machine learning applications needing comparisons of probability measures. Among these, applications of distributionally robust optimization naturally involve Wasserstein…
Standard stochastic control methods assume that the probability distribution of uncertain variables is available. Unfortunately, in practice, obtaining accurate distribution information is a challenging task. To resolve this issue, we…
We investigate a stochastic program with expected value constraints, addressing the problem in a general context through Distributionally Robust Optimization (DRO) approach using Wasserstein distances, where the ambiguity set depends on the…
We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where…
This monograph develops a comprehensive statistical learning framework that is robust to (distributional) perturbations in the data using Distributionally Robust Optimization (DRO) under the Wasserstein metric. Beginning with fundamental…
We consider the population Wasserstein barycenter problem for random probability measures supported on a finite set of points and generated by an online stream of data. This leads to a complicated stochastic optimization problem where the…
Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of…