Related papers: Sensitivity analysis of Wasserstein distributional…
In this article we present a general framework for non-concave robust stochastic control problems under model uncertainty in a discrete time finite horizon setting. Our framework allows to consider a variety of different path-dependent…
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 propose a distributionally robust logistic regression model with an unfairness penalty that prevents discrimination with respect to sensitive attributes such as gender or ethnicity. This model is equivalent to a tractable convex…
We consider the optimal investment and marginal utility pricing problem of a risk averse agent and quantify their exposure to a small amount of model uncertainty. Specifically, we compute explicitly the first-order sensitivity of their…
Wasserstein distributionally robust optimization (WDRO) strengthens statistical learning under model uncertainty by minimizing the local worst-case risk within a prescribed ambiguity set. Although WDRO has been extensively studied in…
We consider a discrete time stochastic Markovian control problem under model uncertainty. Such uncertainty not only comes from the fact that the true probability law of the underlying stochastic process is unknown, but the parametric family…
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 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 distributionally robust classification model with a fairness constraint that encourages the classifier to be fair in view of the equality of opportunity criterion. We use a type-$\infty$ Wasserstein ambiguity set centered at…
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…
We study the causal distributionally robust optimization (DRO) in both discrete- and continuous- time settings. The framework captures model uncertainty, with potential models penalized in function of their adapted Wasserstein distance to a…
We present a novel $Q$-learning algorithm tailored to solve distributionally robust Markov decision problems where the corresponding ambiguity set of transition probabilities for the underlying Markov decision process is a Wasserstein ball…
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…
We propose a distributionally robust approach to risk-sensitive estimation of an unknown signal x from an observed signal y. The unknown signal and observation are modeled as random vectors whose joint probability distribution is unknown,…
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 show that several machine learning estimators, including square-root LASSO (Least Absolute Shrinkage and Selection) and regularized logistic regression can be represented as solutions to distributionally robust optimization (DRO)…
This paper discusses a class of combinatorial optimization problems with uncertain costs in the objective function. It is assumed that a sample of the cost realizations is available, which defines an empirical probability distribution for…
We refer to recent inference methodology and formulate a framework for solving the distributionally robust optimization problem, where the true probability measure is inside a Wasserstein ball around the empirical measure and the radius of…
This work presents a new Distributionally Robust Optimization approach, using $p$-Wasserstein metrics, to analyze a stochastic program in a general context. The ambiguity set in this approach depends on the decision variable and is…
We introduce a general framework for Markov decision problems under model uncertainty in a discrete-time infinite horizon setting. By providing a dynamic programming principle we obtain a local-to-global paradigm, namely solving a local,…