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This paper presents a distributionally robust Q-Learning algorithm (DrQ) which leverages Wasserstein ambiguity sets to provide idealistic probabilistic out-of-sample safety guarantees during online learning. First, we follow past work by…
While many distributed optimization algorithms have been proposed for solving smooth or convex problems over the networks, few of them can handle non-convex and non-smooth problems. Based on a proximal primal-dual approach, this paper…
This paper studies adaptive distributionally robust dispatch (DRD) of the multi-energy microgrid under supply and demand uncertainties. A Wasserstein ambiguity set is constructed to support data-driven decision-making. By fully leveraging…
We present a distributionally robust optimization (DRO) approach for the transmission expansion planning problem, considering both long- and short-term uncertainties on the system demand and non-dispatchable renewable generation. On the…
Many core problems in robotics can be framed as constrained optimization problems. Often on these problems, the robotic system has uncertainty, or it would be advantageous to identify multiple high quality feasible solutions. To enable…
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…
We study the problem of multiclass classification for settings where data features $\mathbf{x}$ and their labels $\mathbf{y}$ are uncertain. We identify that distributionally robust one-vs-all (OVA) classifiers often struggle in settings…
Wasserstein distributionally robust optimization (WDRO) provides a framework for adversarial robustness, yet existing methods based on global Lipschitz continuity or strong duality often yield loose upper bounds or require prohibitive…
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…
Distributionally robust optimization (DRO) has attracted attention in machine learning due to its connections to regularization, generalization, and robustness. Existing work has considered uncertainty sets based on phi-divergences and…
We study finite-sample statistical performance guarantees for distributionally robust optimization (DRO) with optimal transport (OT) and OT-regularized divergence model neighborhoods. Specifically, we derive concentration inequalities for…
Standard rare-event simulation techniques require exact distributional specifications, which limits their effectiveness in the presence of distributional uncertainty. To address this, we develop a novel framework for estimating rare-event…
In this work, we propose Wasserstein distributionally robust shallow convex neural networks (WaDiRo-SCNNs) to provide reliable nonlinear predictions when subject to adverse and corrupted datasets. Our approach is based on the reformulation…
We provide new convergence guarantees in Wasserstein distance for diffusion-based generative models, covering both stochastic (DDPM-like) and deterministic (DDIM-like) sampling methods. We introduce a simple framework to analyze…
We study stochastic decentralized optimization for the problem of training machine learning models with large-scale distributed data. We extend the widely used EXTRA and DIGing methods with variance reduction (VR), and propose two methods:…
Statistical inference based on optimal transport offers a different perspective from that of maximum likelihood, and has increasingly gained attention in recent years. In this paper, we study univariate nonparametric shape-constrained…
Real-world multiobjective optimization problems usually involve conflicting objectives that change over time, which requires the optimization algorithms to quickly track the Pareto optimal front (POF) when the environment changes. In recent…
We consider the problem of computing a Wasserstein barycenter for a set of discrete probability distributions with finite supports, which finds many applications in areas such as statistics, machine learning and image processing. When the…
Score-based diffusion models, while achieving remarkable empirical performance, often suffer from low sampling speed, due to extensive function evaluations needed during the sampling phase. Despite a flurry of recent activities towards…
The Wasserstein barycenter is a geometric construct which captures the notion of centrality among probability distributions, and which has found many applications in machine learning. However, most algorithms for finding even an approximate…