Related papers: Distributionally Robust Multiclass Classification …
One key challenge for multi-task Reinforcement learning (RL) in practice is the absence of task indicators. Robust RL has been applied to deal with task ambiguity, but may result in over-conservative policies. To balance the worst-case…
We propose a distributionally robust classification model with a fairness constraint that encourages the classifier to be fair in view of the equality of opportunity criterion. We use a type-$\infty$ Wasserstein ambiguity set centered at…
We propose two distributionally robust optimization (DRO) models for a mobile facility (MF) fleet sizing, routing, and scheduling problem (MFRSP) with time-dependent and random demand, as well as methodologies for solving these models.…
In this work, we present an algorithmically tractable safe approximation of distributionally robust optimization (DRO) problems that contain univariate indicator functions. The latter appear in different applications, but render the model…
When training and evaluating machine learning models on a large number of tasks, it is important to not only look at average task accuracy -- which may be biased by easy or redundant tasks -- but also worst-case accuracy (i.e. the…
We study the distributionally robust optimization (DRO) in a dynamic context where the model uncertainty is captured by penalizing potential models in function of their adapted Wasserstein distance to a given reference model. We consider…
Deep neural networks trained by minimizing the average risk can achieve strong average performance. Still, their performance for a subgroup may degrade if the subgroup is underrepresented in the overall data population. Group…
We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open case of static hedging with second-period maturity vanilla…
Robust self-training (RST) can augment the adversarial robustness of image classification models without significantly sacrificing models' generalizability. However, RST and other state-of-the-art defense approaches failed to preserve the…
Out-of-distribution (OOD) generalization is a challenging machine learning problem yet highly desirable in many high-stake applications. Existing methods suffer from overly pessimistic modeling with low generalization confidence. As…
Wasserstein \textbf{D}istributionally \textbf{R}obust \textbf{O}ptimization (DRO) is concerned with finding decisions that perform well on data that are drawn from the worst-case probability distribution within a Wasserstein ball centered…
Asset Liability Management (ALM) represents a fundamental challenge for financial institutions, particularly pension funds, which must navigate the tension between generating competitive investment returns and ensuring the solvency of…
We propose a framework for distributed robust statistical learning on {\em big contaminated data}. The Distributed Robust Learning (DRL) framework can reduce the computational time of traditional robust learning methods by several orders of…
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…
We study distributionally robust online learning, where a risk-averse learner updates decisions sequentially to guard against worst-case distributions drawn from a Wasserstein ambiguity set centered at past observations. While this paradigm…
Deep learning models for vision tasks are trained on large datasets under the assumption that there exists a universal representation that can be used to make predictions for all samples. Whereas high complexity models are proven to be…
Submodular functions have applications throughout machine learning, but in many settings, we do not have direct access to the underlying function $f$. We focus on stochastic functions that are given as an expectation of functions over a…
We introduce a novel class of algorithms to efficiently approximate the unknown return distributions in policy evaluation problems from distributional reinforcement learning (DRL). The proposed distributional dynamic programming algorithms…
Structuring ambiguity sets in Wasserstein-based distributionally robust optimization (DRO) can improve their statistical properties when the uncertainty consists of multiple independent components. The aim of this paper is to solve…
We study the causal distributionally robust optimization (DRO) in both discrete- and continuous- time settings. The framework captures model uncertainty, with potential models penalized in function of their adapted Wasserstein distance to a…