Related papers: Distributionally Robust Optimization with Moment A…

Inspired by its success for their continuous counterparts, the standard approach to deal with mixed-integer recourse (MIR) models under distributional uncertainty is to use distributionally robust optimization (DRO). We argue, however, that…

Conventional supervised learning methods are often vulnerable to spurious correlations, particularly under distribution shifts in test data. To address this issue, several approaches, most notably Group DRO, have been developed. While these…

Distributionally Robust Optimal Control (DROC) is a framework that enables robust control in a stochastic setting where the true disturbance distribution is unknown. Traditional DROC approaches require given ambiguity sets and KL divergence…

In this paper, we present a branch and bound algorithm for extracting approximate solutions to Global Polynomial Optimization (GPO) problems with bounded feasible sets. The algorithm is based on a combination of SOS/Moment relaxations and…

The discrete moment problem is a foundational problem in distribution-free robust optimization, where the goal is to find a worst-case distribution that satisfies a given set of moments. This paper studies the discrete moment problems with…

Adversarially robust optimization (ARO) has emerged as the *de facto* standard for training models that hedge against adversarial attacks in the test stage. While these models are robust against adversarial attacks, they tend to suffer…

We introduce a new framework, Bayesian Distributionally Robust Optimization (Bayesian-DRO), for data-driven stochastic optimization where the underlying distribution is unknown. Bayesian-DRO contrasts with most of the existing DRO…

We consider distributionally robust optimization (DRO) problems, reformulated as distributionally robust feasibility (DRF) problems, with multiple expectation constraints. We propose a generic stochastic first-order meta-algorithm, where…

We examine the scaling limit of multi-period distributionally robust optimization (DRO) problems via a semigroup approach. Each period involves a worst-case maximization over distributions in a Wasserstein ball around the transition…

We review distributionally robust optimization (DRO), a principled approach for constructing statistical estimators that hedge against the impact of deviations in the expected loss between the training and deployment environments. Many…

A robust-to-dynamics optimization (RDO) problem is an optimization problem specified by two pieces of input: (i) a mathematical program (an objective function $f:\mathbb{R}^n\rightarrow\mathbb{R}$ and a feasible set…

A central goal of machine learning is to learn robust representations that capture the causal relationship between inputs features and output labels. However, minimizing empirical risk over finite or biased datasets often results in models…

Regularized estimators in the context of group variables have been applied successfully in model and feature selection in order to preserve interpretability. We formulate a Distributionally Robust Optimization (DRO) problem which recovers…

There are numerous industrial settings in which a decision maker must decide whether to enter into long-term contracts to guarantee price (and hence cash flow) stability or to participate in more volatile spot markets. In this paper, we…

This manuscript introduces the idea of using Distributionally Robust Optimization (DRO) for the Counterfactual Risk Minimization (CRM) problem. Tapping into a rich existing literature, we show that DRO is a principled tool for…

In this paper, we study a bivariate distributionally robust optimization problem with mean-covariance ambiguity set and half-space support. Under a conventional type of objective function widely adopted in inventory management, option…

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…

Limiting failures of machine learning systems is of paramount importance for safety-critical applications. In order to improve the robustness of machine learning systems, Distributionally Robust Optimization (DRO) has been proposed as a…

A framework for risk-averse optimization problems is introduced that is resilient to ambiguities in the true form of the underlying probability distribution. The focus is on problems with partial differential equations (PDEs) as…

The goal of this paper is to develop distributionally robust optimization (DRO) estimators, specifically for multidimensional Extreme Value Theory (EVT) statistics. EVT supports using semi-parametric models called max-stable distributions…