Related papers: Wasserstein Distributionally Robust Inverse Multio…
Multi-objective optimization (MOO) has received growing attention in applications that require learning under multiple criteria. However, the existing MOO formulations do not explicitly account for distributional shifts in the data. We…
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…
Robust optimization is a tractable and expressive technique for decision-making under uncertainty, but it can lead to overly conservative decisions when pessimistic assumptions are made on the uncertain parameters. Wasserstein…
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)…
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…
Applications such as adversarially robust training and Wasserstein Distributionally Robust Optimization (WDRO) can be naturally formulated as min-sum-max optimization problems. While this formulation can be rewritten as an equivalent…
This paper presents a framework for Wasserstein distributionally robust (DR) regret-optimal (RO) control in the context of partially observable systems. DR-RO control considers the regret in LQR cost between a causal and non-causal…
We develop a Distributionally Robust Optimization (DRO) formulation for Multiclass Logistic Regression (MLR), which could tolerate data contaminated by outliers. The DRO framework uses a probabilistic ambiguity set defined as a ball of…
We develop a Distributionally Robust Optimization (DRO) formulation for Multiclass Logistic Regression (MLR), which could tolerate data contaminated by outliers. The DRO framework uses a probabilistic ambiguity set defined as a ball of…
In many applications in statistics and machine learning, the availability of data samples from multiple possibly heterogeneous sources has become increasingly prevalent. On the other hand, in distributionally robust optimization, we seek…
We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a $p$-dimensional Gaussian random vector from $n$ independent samples. The proposed model…
It is a very challenging task to identify the objectives on which a certain decision was based, in particular if several, potentially conflicting criteria are equally important and a continuous set of optimal compromise decisions exists.…
Distributionally robust optimization (DRO) has emerged as a powerful paradigm for reliable decision-making under uncertainty. This paper focuses on DRO with ambiguity sets defined via the Sinkhorn discrepancy: an entropy-regularized…
We propose a distributionally robust approach to learning hyperparameters for first-order methods in convex optimization. Given a dataset of problem instances, we minimize a Wasserstein distributionally robust version of the performance…
We address the challenge of sequential data-driven decision-making under context distributional uncertainty. This problem arises in numerous real-world scenarios where the learner optimizes black-box objective functions in the presence of…
Standard stochastic control methods assume that the probability distribution of uncertain variables is available. Unfortunately, in practice, obtaining accurate distribution information is a challenging task. To resolve this issue, we…
Off-policy evaluation and learning are concerned with assessing a given policy and learning an optimal policy from offline data without direct interaction with the environment. Often, the environment in which the data are collected differs…
This paper focuses on the Wasserstein distributionally robust mean-lower semi-absolute deviation (DR-MLSAD) model, where the ambiguity set is a Wasserstein ball centered on the empirical distribution of the training sample. This model can…
We study data-driven decision problems where historical observations are generated by a time-evolving distribution whose consecutive shifts are bounded in Wasserstein distance. We address this nonstationarity using a distributionally robust…
We consider a minimax problem motivated by distributionally robust optimization (DRO) when the worst-case distribution is continuous, leading to significant computational challenges due to the infinite-dimensional nature of the optimization…