Related papers: Distributionally Robust Data Join
The best subset selection (or "best subsets") estimator is a classic tool for sparse regression, and developments in mathematical optimization over the past decade have made it more computationally tractable than ever. Notwithstanding its…
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…
We consider a data-driven robust hypothesis test where the optimal test will minimize the worst-case performance regarding distributions that are close to the empirical distributions with respect to the Wasserstein distance. This leads to a…
Distributionally robust optimization (DRO) is a powerful tool for decision making under uncertainty. It is particularly appealing because of its ability to leverage existing data. However, many practical problems call for decision-making…
We consider a class of stochastic interdiction games between an upper-level decision-maker (the leader) and a lower-level decision-maker (the follower), where uncertainty lies in the follower's objective function coefficients. Specifically,…
In this study we analyze linear mixed-integer programming problems, in which the distribution of the cost vector is only observable through a finite training data set. In contrast to the related studies, we assume that the number of random…
Distributionally robust optimization (DRO) has attracted attention in machine learning due to its connections to regularization, generalization, and robustness. Existing work has considered uncertainty sets based on phi-divergences and…
We consider the problem of analyzing the probabilistic performance of first-order methods when solving convex optimization problems drawn from an unknown distribution only accessible through samples. By combining performance estimation…
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…
We present DUAL-LOCO, a communication-efficient algorithm for distributed statistical estimation. DUAL-LOCO assumes that the data is distributed according to the features rather than the samples. It requires only a single round of…
Distinguishability and, by extension, observability are key properties of dynamical systems. Establishing these properties is challenging, especially when no analytical model is available and they are to be inferred directly from…
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,…
In this paper we wish to tackle stochastic programs affected by ambiguity about the probability law that governs their uncertain parameters. Using optimal transport theory, we construct an ambiguity set that exploits the knowledge about the…
Established approaches to obtain generalization bounds in data-driven optimization and machine learning mostly build on solutions from empirical risk minimization (ERM), which depend crucially on the functional complexity of the hypothesis…
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…
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…
In prescriptive analytics, the decision-maker observes historical samples of $(X, Y)$, where $Y$ is the uncertain problem parameter and $X$ is the concurrent covariate, without knowing the joint distribution. Given an additional covariate…
Logistic regression models are widely used in the social and behavioral sciences and in high-stakes domains, due to their simplicity and interpretability properties. At the same time, such domains are permeated by distribution shifts, where…
We present a computationally efficient framework, called $\texttt{FlowDRO}$, for solving flow-based distributionally robust optimization (DRO) problems with Wasserstein uncertainty sets while aiming to find continuous worst-case…
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…