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Estimation of a high dimensional precision matrix is a critical problem to many areas of statistics including Gaussian graphical models and inference on high dimensional data. Working under the structural assumption of sparsity, we propose…
Distributionally robust optimization (DRO) is a widely-used approach to learn models that are robust against distribution shift. Compared with the standard optimization setting, the objective function in DRO is more difficult to optimize,…
Distributionally robust optimization (DRO) is a widely used framework for optimizing objective functionals in the presence of both randomness and model-form uncertainty. A key step in the practical solution of many DRO problems is a…
Many machine learning tasks involve subpopulation shift where the testing data distribution is a subpopulation of the training distribution. For such settings, a line of recent work has proposed the use of a variant of empirical risk…
Distributionally Robust Optimization (DRO) is a worst-case approach to decision making when there is model uncertainty. It is also well known that for certain uncertainty sets, DRO is approximated by a regularized nominal problem. We show…
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…
Gaussian graphical models emerge in a wide range of fields. They model the statistical relationships between variables as a graph, where an edge between two variables indicates conditional dependence. Unfortunately, well-established…
Square-root (loss) regularized models have recently become popular in linear regression due to their nice statistical properties. Moreover, some of these models can be interpreted as the distributionally robust optimization counterparts of…
To train machine learning models that are robust to distribution shifts in the data, distributionally robust optimization (DRO) has been proven very effective. However, the existing approaches to learning a distributionally robust model…
As machine learning models are deployed ever more broadly, it becomes increasingly important that they are not only able to perform well on their training distribution, but also yield accurate predictions when confronted with distribution…
Distributionally robust optimization (DRO) problems are increasingly seen as a viable method to train machine learning models for improved model generalization. These min-max formulations, however, are more difficult to solve. We therefore…
A common goal in statistics and machine learning is to learn models that can perform well against distributional shifts, such as latent heterogeneous subpopulations, unknown covariate shifts, or unmodeled temporal effects. We develop and…
This paper develops a new statistical inference theory for the precision matrix of high-frequency data in a high-dimensional setting. The focus is not only on point estimation but also on interval estimation and hypothesis testing for…
Distributionally Robust Optimization (DRO) provides a framework for decision-making under distributional uncertainty, yet its effectiveness can be compromised by outliers in the training data. This paper introduces a principled approach to…
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…
Machine learning algorithms minimizing average risk are susceptible to distributional shifts. Distributionally Robust Optimization (DRO) addresses this issue by optimizing the worst-case risk within an uncertainty set. However, DRO suffers…
We present a detailed analysis of the class of regression decision tree algorithms which employ a regulized piecewise-linear node-splitting criterion and have regularized linear models at the leaves. From a theoretic standpoint, based on…
Modern machine learning models may be susceptible to learning spurious correlations that hold on average but not for the atypical group of samples. To address the problem, previous approaches minimize the empirical worst-group risk. Despite…
The Gaussian graphical model, a popular paradigm for studying relationship among variables in a wide range of applications, has attracted great attention in recent years. This paper considers a fundamental question: When is it possible to…
We develop a Distributionally Robust Optimization (DRO) formulation for Multiclass Logistic Regression (MLR), which could tolerate data contaminated by outliers. The DRO framework uses a probabilistic ambiguity set defined as a ball of…