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Distributionally Robust Optimization (DRO) has enabled to prove the equivalence between robustness and regularization in classification and regression, thus providing an analytical reason why regularization generalizes well in statistical…
Optimization problems routinely depend on uncertain parameters that must be predicted before a decision is made. Classical robust and regret formulations are designed to handle erroneous predictions and can provide statistical error bounds…
Gaussian graphical model is one of the powerful tools to analyze conditional independence between two variables for multivariate Gaussian-distributed observations. When the dimension of data is moderate or high, penalized likelihood methods…
Stability selection represents an attractive approach to identify sparse sets of features jointly associated with an outcome in high-dimensional contexts. We introduce an automated calibration procedure via maximisation of an in-house…
As we aim to control complex systems, use of a simulator in model-based reinforcement learning is becoming more common. However, it has been challenging to overcome the Reality Gap, which comes from nonlinear model bias and susceptibility…
We consider the least-square linear regression problem with regularization by the l1-norm, a problem usually referred to as the Lasso. In this paper, we present a detailed asymptotic analysis of model consistency of the Lasso. For various…
We consider a two-stage distributionally robust optimization (DRO) model with multimodal uncertainty, where both the mode probabilities and uncertainty distributions could be affected by the first-stage decisions. To address this setting,…
Lasso and other regularization procedures are attractive methods for variable selection, subject to a proper choice of shrinkage parameter. Given a set of potential subsets produced by a regularization algorithm, a consistent model…
Distributionally robust stochastic optimization (DRSO) is a framework for decision-making problems under certainty, which finds solutions that perform well for a chosen set of probability distributions. Many different approaches for…
We consider the distributionally robust optimization (DRO) problem with spectral risk-based uncertainty set and $f$-divergence penalty. This formulation includes common risk-sensitive learning objectives such as regularized condition…
In this paper, we introduce a new probability distribution, the Lasso distribution. We derive several fundamental properties of the distribution, including closed-form expressions for its moments and moment-generating function.…
In network congestion games, system operators often utilize latency models, estimated from real-world traffic flow and travel time data, to design monetary incentives which steer equilibrium user behaviors towards lowering system-wide…
The lasso and related sparsity inducing algorithms have been the target of substantial theoretical and applied research. Correspondingly, many results are known about their behavior for a fixed or optimally chosen tuning parameter specified…
This article carries out a large dimensional analysis of standard regularized discriminant analysis classifiers designed on the assumption that data arise from a Gaussian mixture model with different means and covariances. The analysis…
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…
Trust Region Policy Optimization (TRPO) and Proximal Policy Optimization (PPO), as the widely employed policy based reinforcement learning (RL) methods, are prone to converge to a sub-optimal solution as they limit the policy representation…
This article explores the estimation of precision matrices in high-dimensional Gaussian graphical models. We address the challenge of improving the accuracy of maximum likelihood-based precision estimation through penalization.…
We provide a unified analysis of the predictive risk of ridge regression and regularized discriminant analysis in a dense random effects model. We work in a high-dimensional asymptotic regime where $p, n \to \infty$ and $p/n \to \gamma \in…
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…
Robust generalization aims to tackle the most challenging data distributions which are rare in the training set and contain severe noises, i.e., photon-limited corruptions. Common solutions such as distributionally robust optimization (DRO)…