Related papers: When AUC meets DRO: Optimizing Partial AUC for Dee…

We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not necessarily discrete. We derive primal and dual formulations…

A novel distributed algorithm is proposed for finite-time converging to a feasible consensus solution satisfying global optimality to a certain accuracy of the distributed robust convex optimization problem (DRCO) subject to bounded…

Distributionally robust optimization (DRO) provides a framework for training machine learning models that are able to perform well on a collection of related data distributions (the "uncertainty set"). This is done by solving a min-max…

The policy represented by the deep neural network can overfit the spurious features in observations, which hamper a reinforcement learning agent from learning effective policy. This issue becomes severe in high-dimensional state, where the…

This paper presents a deep reinforcement learning (DRL) framework for dynamic portfolio optimization under market uncertainty and risk. The proposed model integrates a Sharpe ratio-based reward function with direct risk control mechanisms,…

Adversarially robust optimization (ARO) has emerged as the *de facto* standard for training models that hedge against adversarial attacks in the test stage. While these models are robust against adversarial attacks, they tend to suffer…

This paper studies the distributed minimax optimization problem over networks. To enhance convergence performance, we propose a distributed optimistic gradient tracking method, termed DOGT, which solves a surrogate function that captures…

We consider a non-convex constrained Lagrangian formulation of a fundamental bi-criteria optimization problem for variable selection in statistical learning; the two criteria are a smooth (possibly) nonconvex loss function, measuring the…

Limiting failures of machine learning systems is of paramount importance for safety-critical applications. In order to improve the robustness of machine learning systems, Distributionally Robust Optimization (DRO) has been proposed as a…

With an extensive increment of computation demands, the aerial multi-access edge computing (MEC), mainly based on unmanned aerial vehicles (UAVs) and high altitude platforms (HAPs), plays significant roles in future network scenarios. In…

Approximate bi-level optimization (ABLO) consists of (outer-level) optimization problems, involving numerical (inner-level) optimization loops. While ABLO has many applications across deep learning, it suffers from time and memory…

Distributionally robust optimisation (DRO) minimises the worst-case expected loss over an ambiguity set that can capture distributional shifts in out-of-sample environments. While Huber (linear-vacuous) contamination is a classical…

Data-based optimization (DBO) offers a promising approach for efficiently optimizing shape for better aerodynamic performance by leveraging a pretrained surrogate model for offline evaluations during iterations. However, DBO heavily relies…

We consider a distributionally robust formulation of stochastic optimization problems arising in statistical learning, where robustness is with respect to uncertainty in the underlying data distribution. Our formulation builds on…

This paper focuses on the contextual optimization problem where a decision is subject to some uncertain parameters and covariates that have some predictive power on those parameters are available before the decision is made. More…

Autonomous UAV inspection of confined industrial infrastructure, such as ventilation ducts, demands robust navigation policies where collisions are unacceptable. While Deep Reinforcement Learning (DRL) offers a powerful paradigm for…

To address the needs of modeling uncertainty in sensitive machine learning applications, the setup of distributionally robust optimization (DRO) seeks good performance uniformly across a variety of tasks. The recent multi-distribution…

PDE-Constrained Optimization (PDECO) problems can be accelerated significantly by employing gradient-based methods with surrogate models like neural operators compared to traditional numerical solvers. However, this approach faces two key…

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…

Proximal policy optimization (PPO) is a widely-used algorithm for on-policy reinforcement learning. This work offers an alternative perspective of PPO, in which it is decomposed into the inner-loop estimation of update vectors, and the…