Related papers: Distributional Robustness with IPMs and links to R…
We propose two distributionally robust optimization (DRO) models for a mobile facility (MF) fleet sizing, routing, and scheduling problem (MFRSP) with time-dependent and random demand, as well as methodologies for solving these models.…
We develop a rigorous and general framework for constructing information-theoretic divergences that subsume both $f$-divergences and integral probability metrics (IPMs), such as the $1$-Wasserstein distance. We prove under which assumptions…
We review distributionally robust optimization (DRO), a principled approach for constructing statistical estimators that hedge against the impact of deviations in the expected loss between the training and deployment environments. Many…
In this work, we present an algorithmically tractable safe approximation of distributionally robust optimization (DRO) problems that contain univariate indicator functions. The latter appear in different applications, but render the model…
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…
Inspired by its success for their continuous counterparts, the standard approach to deal with mixed-integer recourse (MIR) models under distributional uncertainty is to use distributionally robust optimization (DRO). We argue, however, that…
Generative adversarial networks (GANs) are unsupervised learning methods for training a generator distribution to produce samples that approximate those drawn from a target distribution. Many such methods can be formulated as minimization…
In this paper we discuss distributional robustness in the context of stochastic model predictive control (SMPC) for linear time-invariant systems. We derive a simple approximation of the MPC problem under an additive zero-mean i.i.d. noise…
Distributionally robust optimization (DRO) is a powerful tool for decision making under uncertainty. It is particularly appealing because of its ability to leverage existing data. However, many practical problems call for decision-making…
Wasserstein distributionally robust optimization offers a framework for model fitting in machine learning under potential shifts in the data distribution. We study a regularized variant of this problem in which entropic smoothing produces a…
In recent years, two prominent paradigms have shaped distributionally robust optimization (DRO), modeling distributional ambiguity through $\phi$-divergences and Wasserstein distances, respectively. While the former focuses on ambiguity in…
The distributional reinforcement learning (RL) approach advocates for representing the complete probability distribution of the random return instead of only modelling its expectation. A distributional RL algorithm may be characterised by…
The adversarial vulnerability of deep neural networks (DNNs) has been actively investigated in the past several years. This paper investigates the scale-variant property of cross-entropy loss, which is the most commonly used loss function…
We consider distributionally robust optimization (DRO) problems, reformulated as distributionally robust feasibility (DRF) problems, with multiple expectation constraints. We propose a generic stochastic first-order meta-algorithm, where…
Robust Markov decision processes (MDPs) aim to handle changing or partially known system dynamics. To solve them, one typically resorts to robust optimization methods. However, this significantly increases computational complexity and…
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…
To improve the robustness of deep classifiers against adversarial perturbations, many approaches have been proposed, such as designing new architectures with better robustness properties (e.g., Lipschitz-capped networks), or modifying the…
To address the needs of modeling uncertainty in sensitive machine learning applications, the setup of distributionally robust optimization (DRO) seeks good performance uniformly across a variety of tasks. The recent multi-distribution…
We consider the problem of analyzing the probabilistic performance of first-order methods when solving convex optimization problems drawn from an unknown distribution only accessible through samples. By combining performance estimation…
Distributional robustness is a promising framework for training deep learning models that are less vulnerable to adversarial examples and data distribution shifts. Previous works have mainly focused on exploiting distributional robustness…