Related papers: A Distributionally Robust Optimization Approach to…
Meta learning aims at learning how to solve tasks, and thus it allows to estimate models that can be quickly adapted to new scenarios. This work explores distributionally robust minimization in meta learning for system identification.…
We consider the problem of hypothesis testing for discrete distributions. In the standard model, where we have sample access to an underlying distribution $p$, extensive research has established optimal bounds for uniformity testing,…
The problem of estimating certain distributions over $\{0,1\}^d$ is considered here. The distribution represents a quantum system of $d$ qubits, where there are non-trivial dependencies between the qubits. A maximum entropy approach is…
This paper concerns the study of optimal (supremum and infimum) uncertainty bounds for systems where the input (or prior) probability measure is only partially/imperfectly known (e.g., with only statistical moments and/or on a coarse…
Data-driven Distributionally Robust Optimization (DD-DRO) via optimal transport has been shown to encompass a wide range of popular machine learning algorithms. The distributional uncertainty size is often shown to correspond to the…
This paper introduces a framework for Chance-Constrained Optimization with Complex Variables, addressing complex linear programming for both individual and joint probabilistic constraints in the complex domain. We first analyze the 3CP…
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…
This paper proposes distributed algorithms to solve robust convex optimization (RCO) when the constraints are affected by nonlinear uncertainty. We adopt a scenario approach by randomly sampling the uncertainty set. To facilitate the…
The robustness of distributed optimization is an emerging field of study, motivated by various applications of distributed optimization including distributed machine learning, distributed sensing, and swarm robotics. With the rapid…
This work considers the problem of sampling from a probability distribution known up to a normalization constant while satisfying a set of statistical constraints specified by the expected values of general nonlinear functions. This problem…
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 presents a novel robust trajectory optimization method for constrained nonlinear dynamical systems subject to unknown bounded disturbances. In particular, we seek optimal control policies that remain robustly feasible with…
Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…
We study the out-of-sample properties of robust empirical optimization problems with smooth $\phi$-divergence penalties and smooth concave objective functions, and develop a theory for data-driven calibration of the non-negative "robustness…
We investigate a data-driven approach to constructing uncertainty sets for robust optimization problems, where the uncertain problem parameters are modeled as random variables whose joint probability distribution is not known. Relying only…
The performance of the Monte Carlo sampling methods relies on the crucial choice of a proposal density. The notion of optimality is fundamental to design suitable adaptive procedures of the proposal density within Monte Carlo schemes. This…
Recently, (Blanchet, Kang, and Murhy 2016, and Blanchet, and Kang 2017) showed that several machine learning algorithms, such as square-root Lasso, Support Vector Machines, and regularized logistic regression, among many others, can be…
We investigate Monte Carlo based algorithms for solving stochastic control problems with probabilistic constraints. Our motivation comes from microgrid management, where the controller tries to optimally dispatch a diesel generator while…
Uncertainty quantification for full-waveform inversion provides a probabilistic characterization of the ill-conditioning of the problem, comprising the sensitivity of the solution with respect to the starting model and data noise. This…
An important problem in networked systems is detection and removal of suspected malicious nodes. A crucial consideration in such settings is the uncertainty endemic in detection, coupled with considerations of network connectivity, which…