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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…

Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from…

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…

We study a class of distributionally robust games where agents are allowed to heterogeneously choose their risk aversion with respect to distributional shifts of the uncertainty. In our formulation, heterogeneous Wasserstein ball…

The paper studies the robustness properties of discrete-time stochastic optimal control under Wasserstein model approximation for both discounted-cost and average-cost criteria. Specifically, we study the performance loss when applying an…

We study distributionally robust quantile regression using type-$p$ Wasserstein ambiguity sets. We derive a closed-form expression for the worst-case quantile regression loss under general $p$-Wasserstein uncertainty. We further give a…

In recent years, Wasserstein Distributionally Robust Optimization (DRO) has garnered substantial interest for its efficacy in data-driven decision-making under distributional uncertainty. However, limited research has explored the…

This paper explores the problem of uncertainty quantification in the behavioral setting for data-driven control. Building on classical ideas from robust control, the problem is regarded as that of selecting a metric which is best suited to…

Modelling bounded rational decision-making through information constrained processing provides a principled approach for representing departures from rationality within a reinforcement learning framework, while still treating…

We propose a distributionally robust data-driven predictive control framework for stochastic linear time-invariant systems with unknown dynamics and disturbance distributions. We use an offline trajectory to fit the subspace predictive…

Group-invariant probability distributions appear in many data-generative models in machine learning, such as graphs, point clouds, and images. In practice, one often needs to estimate divergences between such distributions. In this work, we…

The Wasserstein distance quantifies the distance between two probability measures on a metric space. We prove an analogue of the Berry-Esseen inequality for the Wasserstein distance on a finite area hyperbolic surface. This inequality…

We study the robust quickest change detection under unknown pre- and post-change distributions. To deal with uncertainties in the data-generating distributions, we formulate two data-driven ambiguity sets based on the Wasserstein distance,…

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…

Input variables in numerical models are often subject to several levels of uncertainty, usually modeled by probability distributions. In the context of uncertainty quantification applied to these models, studying the robustness of output…

This paper addresses a novel \emph{cost-sensitive} distributionally robust log-optimal portfolio problem, where the investor faces \emph{ambiguous} return distributions, and a general convex transaction cost model is incorporated. The…

Construction of ambiguity set in robust optimization relies on the choice of divergences between probability distributions. In distribution learning, choosing appropriate probability distributions based on observed data is critical for…

We study distributionally robust optimization (DRO) problems where the ambiguity set is defined using the Wasserstein metric. We show that this class of DRO problems can be reformulated as semi-infinite programs. We give an exchange method…

The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well-informed decisions. In this paper, we quantify, for the class of distortion risk measures with…

Stochastic programs where the uncertainty distribution must be inferred from noisy data samples are considered. The stochastic programs are approximated with distributionally-robust optimizations that minimize the worst-case expected cost…