Related papers: Sensitivity analysis under the $f$-sensitivity mod…
Empirical risk minimization (ERM) and distributionally robust optimization (DRO) are popular approaches for solving stochastic optimization problems that appear in operations management and machine learning. Existing generalization error…
We study the out-of-sample properties of robust empirical optimization problems with smooth $\phi$-divergence penalties and smooth concave objective functions, and develop a theory for data-driven calibration of the non-negative "robustness…
We discuss recently developed methods that quantify the stability and generalizability of statistical findings under distributional changes. In many practical problems, the data is not drawn i.i.d. from the target population. For example,…
We provide a functional view of distributional robustness motivated by robust statistics and functional analysis. This results in two practical computational approaches for approximate distributionally robust nonlinear optimization based on…
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…
Mediation analysis assesses the extent to which the exposure affects the outcome indirectly through a mediator and the extent to which it operates directly through other pathways. The popular Baron-Kenny approach estimates the indirect and…
Fairness-aware learning is a novel framework for classification tasks. Like regular empirical risk minimization (ERM), it aims to learn a classifier with a low error rate, and at the same time, for the predictions of the classifier to be…
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,…
Recent work has raised concerns on the risk of spurious correlations and unintended biases in statistical machine learning models that threaten model robustness and fairness. In this paper, we propose a simple and intuitive regularization…
Robust Bayesian analysis has been mainly devoted to detecting and measuring robustness w.r.t. the prior distribution. Many contributions in the literature aim to define suitable classes of priors which allow the computation of variations of…
Domain Adaptation (DA) has recently received significant attention due to its potential to adapt a learning model across source and target domains with mismatched distributions. Since DA methods rely exclusively on the given source and…
Robustness and counterfactual bias are usually evaluated on a test dataset. However, are these evaluations robust? If the test dataset is perturbed slightly, will the evaluation results keep the same? In this paper, we propose a "double…
We propose a general approach for training survival analysis models that minimizes a worst-case error across all subpopulations that are large enough (occurring with at least a user-specified minimum probability). This approach uses a…
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…
Bayesian inference is a popular approach to calibrating uncertainties, but it can underpredict such uncertainties when model misspecification is present, impacting its reliability to inform decision making. Recently, the statistics and…
The American Statistical Association Biopharmaceutical Section (ASA BIOP) scientific working group on real-world evidence (RWE) has been making continuous, extended efforts towards a goal of supporting and advancing regulatory science with…
This study investigates a robust screening problem under distributional ambiguity, where a seller is uncertain about a buyer's true valuation distribution, knowing only that it lies near a reference distribution measured by the Wasserstein…
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…
We present a novel data-driven distributionally robust Model Predictive Control formulation for unknown discrete-time linear time-invariant systems affected by unknown and possibly unbounded additive uncertainties. We use off-line collected…
Unmeasured confounding bias threatens the validity of observational studies. While sensitivity analyses and study designs have been proposed to address this issue, they often overlook the growing availability of auxiliary data. Using…