Related papers: Kernel Distributionally Robust Optimization
Distributionally robust optimization (DRO) is an effective framework for controlling real-world systems with various uncertainties, typically modeled using distributional uncertainty balls. However, DRO problems often involve infinitely…
In network congestion games, system operators often utilize latency models, estimated from real-world traffic flow and travel time data, to design monetary incentives which steer equilibrium user behaviors towards lowering system-wide…
We study decision dependent distributionally robust optimization models, where the ambiguity sets of probability distributions can depend on the decision variables. These models arise in situations with endogenous uncertainty. The developed…
This paper develops a frequentist solution to the functional calibration problem, where the value of a calibration parameter in a computer model is allowed to vary with the value of control variables in the physical system. The need of…
Federated learning (FL) enables collaborative model training without direct data sharing, but its performance can degrade significantly in the presence of data distribution perturbations. Distributionally robust optimization (DRO) provides…
Estimating the ratio of two probability densities from finitely many observations of the densities is a central problem in machine learning and statistics with applications in two-sample testing, divergence estimation, generative modeling,…
This paper investigates a general regularization framework for unsupervised domain adaptation in vector-valued regression under the covariate shift assumption, utilizing vector-valued reproducing kernel Hilbert spaces (vRKHS). Covariate…
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…
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…
Noisy data are often viewed as a challenge for decision-making. This paper studies a distributionally robust optimization (DRO) that shows how such noise can be systematically incorporated. Rather than applying DRO to the noisy empirical…
We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open case of static hedging with second-period maturity vanilla…
In recent years, there has been a growing research interest in decision-focused learning, which embeds optimization problems as a layer in learning pipelines and demonstrates a superior performance than the prediction-focused approach.…
Previous analysis of regularized functional linear regression in a reproducing kernel Hilbert space (RKHS) typically requires the target function to be contained in this kernel space. This paper studies the convergence performance of…
We consider a distributed learning approach in supervised learning for a large class of spectral regularization methods in an RKHS framework. The data set of size n is partitioned into $m=O(n^\alpha)$ disjoint subsets. On each subset, some…
Overparameterized neural networks can be highly accurate on average on an i.i.d. test set yet consistently fail on atypical groups of the data (e.g., by learning spurious correlations that hold on average but not in such groups).…
Random Forests and Gradient Boosting are among the most effective algorithms for supervised learning on tabular data. Both belong to the class of tree-based ensemble methods, where predictions are obtained by aggregating many randomized…
Inverse Optimization (IO) is a framework for learning the unknown objective function of an expert decision-maker from a past dataset. In this paper, we extend the hypothesis class of IO objective functions to a reproducing kernel Hilbert…
Kernel methods have been among the most popular techniques in machine learning, where learning tasks are solved using the property of reproducing kernel Hilbert space (RKHS). In this paper, we propose a novel data analysis framework with…
This paper introduces Inverse Distributionally Robust Optimization (I-DRO) as a method to infer the conservativeness level of a decision-maker, represented by the size of a Wasserstein metric-based ambiguity set, from the optimal decisions…
Distribution shifts and minority subpopulations frequently undermine the reliability of deep neural networks trained using Empirical Risk Minimization (ERM). Distributionally Robust Optimization (DRO) addresses this by optimizing for the…