Related papers: Distributionally Robust Optimization with Correlat…
Distributionally robust optimization (DRO) is a powerful framework for training robust models against data distribution shifts. This paper focuses on constrained DRO, which has an explicit characterization of the robustness level. Existing…
We propose moment relaxations for data-driven Wasserstein distributionally robust optimization problems. Conditions are identified to ensure asymptotic consistency of such relaxations for both single-stage and two-stage problems, together…
Conditional estimation given specific covariate values (i.e., local conditional estimation or functional estimation) is ubiquitously useful with applications in engineering, social and natural sciences. Existing data-driven non-parametric…
Distributed nonconvex optimization underpins key functionalities of numerous distributed systems, ranging from power systems, smart buildings, cooperative robots, vehicle networks to sensor networks. Recently, it has also merged as a…
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 investigate the problem of synthesizing distributionally robust control policies for stochastic systems under safety and reach-avoid specifications. Using a game-theoretical framework, we consider the setting where the probability…
This paper considers a security constrained dispatch problem involving generation and line contingencies in the presence of the renewable generation. The uncertainty due to renewables is modeled using joint chance-constraint and the…
Distributionally robust optimization has emerged as an attractive way to train robust machine learning models, capturing data uncertainty and distribution shifts. Recent statistical analyses have proved that generalization guarantees of…
We study stochastic Nash equilibrium problems subject to heterogeneous uncertainty on the expected valued cost functions of the individual agents, where we assume no prior knowledge of the underlying probability distributions of the…
In this paper, we show that interventionally robust optimization problems in causal models are continuous under the $G$-causal Wasserstein distance, but may be discontinuous under the standard Wasserstein distance. This highlights the…
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,…
The effects of treatments are often heterogeneous, depending on the observable characteristics, and it is necessary to exploit such heterogeneity to devise individualized treatment rules (ITRs). Existing estimation methods of such ITRs…
We propose a distributionally robust formulation of the traditional risk parity portfolio optimization problem. Distributional robustness is introduced by targeting the discrete probabilities attached to each observation used during…
This paper expands the work on distributionally robust newsvendor to incorporate moment constraints. The use of Wasserstein distance as the ambiguity measure is preserved. The infinite dimensional primal problem is formulated; problem of…
We propose a distributionally robust data-driven predictive control framework for stochastic linear time-invariant systems with unknown dynamics and disturbance distributions. We use an offline trajectory to fit the subspace predictive…
We introduce an innovative approach that incorporates a Distributionally Robust Learning (DRL) approach into Cox regression to enhance the robustness and accuracy of survival predictions. By formulating a DRL framework with a Wasserstein…
We study the problem of estimating a sequence of evolving probability distributions from historical data, where the underlying distribution changes over time in a nonstationary and nonparametric manner. To capture gradual changes, we…
Distributionally Robust Optimization (DRO), as a popular method to train robust models against distribution shift between training and test sets, has received tremendous attention in recent years. In this paper, we propose and analyze…
We consider machine learning, particularly regression, using locally-differentially private datasets. The Wasserstein distance is used to define an ambiguity set centered at the empirical distribution of the dataset corrupted by local…
We study a variety of Wasserstein distributionally robust optimization (WDRO) problems where the distributions in the ambiguity set are chosen by constraining their Wasserstein discrepancies to the empirical distribution. Using the notion…