Related papers: Bayesian Distributionally Robust Optimization
A large class of stochastic programs involve optimizing an expectation taken with respect to an underlying distribution that is unknown in practice. One popular approach to addressing the distributional uncertainty, known as the…
In this work, we develop a novel data-driven Bayesian nonparametric Wasserstein distributionally robust optimization (BNWDRO) framework for decision-making under uncertainty. The proposed framework unifies a Bayesian nonparametric method…
The study of robustness has received much attention due to its inevitability in data-driven settings where many systems face uncertainty. One such example of concern is Bayesian Optimization (BO), where uncertainty is multi-faceted, yet…
Data-driven distributionally robust optimization is a recently emerging paradigm aimed at finding a solution that is driven by sample data but is protected against sampling errors. An increasingly popular approach, known as Wasserstein…
Distributionally Robust Optimisation (DRO) protects risk-averse decision-makers by considering the worst-case risk within an ambiguity set of distributions based on the empirical distribution or a model. To further guard against finite,…
Decision making under uncertainty is challenging since the data-generating process (DGP) is often unknown. Bayesian inference proceeds by estimating the DGP through posterior beliefs about the model's parameters. However, minimising the…
We study decision problems under uncertainty, where the decision-maker has access to $K$ data sources that carry {\em biased} information about the underlying risk factors. The biases are measured by the mismatch between the risk factor…
Distributionally robust optimization (DRO) studies decision problems under uncertainty where the probability distribution governing the uncertain problem parameters is itself uncertain. A key component of any DRO model is its ambiguity set,…
We consider data-driven approaches that integrate a machine learning prediction model within distributionally robust optimization (DRO) given limited joint observations of uncertain parameters and covariates. Our framework is flexible in…
Decision making under uncertainty is challenging as the data-generating process (DGP) is often unknown. Bayesian inference proceeds by estimating the DGP through posterior beliefs on the model's parameters. However, minimising the expected…
This monograph develops a comprehensive statistical learning framework that is robust to (distributional) perturbations in the data using Distributionally Robust Optimization (DRO) under the Wasserstein metric. Beginning with fundamental…
We consider a residuals-based distributionally robust optimization (DRO) model, where the underlying uncertainty depends on both covariate information and our decisions. We adopt both parametric and nonparametric regression models to learn…
Distributionally robust optimization (DRO) has been introduced for solving stochastic programs where the distribution of the random parameters is unknown and must be estimated by samples from that distribution. A key element of DRO is the…
This paper studies Distributionally Robust Optimization (DRO), a fundamental framework for enhancing the robustness and generalization of statistical learning and optimization. An effective ambiguity set for DRO must involve distributions…
In problems that involve input parameter information gathered from multiple data sources with varying reliability, incorporating decision makers' trust on different sources in optimization models can potentially improve solution…
Distributionally robust optimization (DRO) has become a powerful framework for estimation under uncertainty, offering strong out-of-sample performance and principled regularization. In this paper, we propose a DRO-based method for linear…
Trustworthy machine learning aims at combating distributional uncertainties in training data distributions compared to population distributions. Typical treatment frameworks include the Bayesian approach, (min-max) distributionally robust…
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…
In stochastic optimal control (SOC), uncertainty may arise from incomplete knowledge of the true probability distribution of the underlying environment, which is known as Knightian or epistemic uncertainty. Distributionally robust optimal…
Distributionally robust optimization (DRO) is an effective approach for data-driven decision-making in the presence of uncertainty. Geometric uncertainty due to sampling or localized perturbations of data points is captured by Wasserstein…