Related papers: Wasserstein Distributionally Robust Optimization w…
A data-driven MPC scheme is proposed to safely control constrained stochastic linear systems using distributionally robust optimization. Distributionally robust constraints based on the Wasserstein metric are imposed to bound the state…
This short paper presents a general approach for computing robust Wasserstein barycenters of persistence diagrams. The classical method consists in computing assignment arithmetic means after finding the optimal transport plans between the…
Wasserstein distributionally robust optimization (WDRO) optimizes against worst-case distributional shifts within a specified uncertainty set, leading to enhanced generalization on unseen adversarial examples, compared to standard…
This paper studies distributional model risk in marginal problems, where each marginal measure is assumed to lie in a Wasserstein ball centered at a fixed reference measure with a given radius. Theoretically, we establish several…
Communication is one of the bottlenecks of distributed optimisation and learning. To overcome this bottleneck, we propose a novel quantization method that transforms a vector into a sample of components' indices drawn from a categorical…
Distributionally robust optimization has emerged as an attractive way to train robust machine learning models, capturing data uncertainty and distribution shifts. Recent statistical analyses have proved that generalization guarantees of…
Suppose we are given two metric spaces and a family of continuous transformations from one to the other. Given a probability distribution on each of these two spaces - namely the source and the target measures - the Wasserstein alignment…
Using only retrospective data, we study the problem of predicting treatment effects for the same treatment/policy implemented in a different location or time period. We propose a distributionally robust estimator that minimizes the…
This paper builds on classical distributionally robust optimization techniques to construct a comprehensive framework that can be used for solving inverse problems. Given an estimated distribution of inputs in $X$ and outputs in $Y$, an…
Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of…
We propose a distributionally robust logistic regression model with an unfairness penalty that prevents discrimination with respect to sensitive attributes such as gender or ethnicity. This model is equivalent to a tractable convex…
We consider the problem of computing a Wasserstein barycenter for a set of discrete probability distributions with finite supports, which finds many applications in areas such as statistics, machine learning and image processing. When the…
We investigate a stochastic program with expected value constraints, addressing the problem in a general context through Distributionally Robust Optimization (DRO) approach using Wasserstein distances, where the ambiguity set depends on the…
Computing Wasserstein barycenters (a.k.a. Optimal Transport barycenters) is a fundamental problem in geometry which has recently attracted considerable attention due to many applications in data science. While there exist polynomial-time…
We refer to recent inference methodology and formulate a framework for solving the distributionally robust optimization problem, where the true probability measure is inside a Wasserstein ball around the empirical measure and the radius of…
Standard rare-event simulation techniques require exact distributional specifications, which limits their effectiveness in the presence of distributional uncertainty. To address this, we develop a novel framework for estimating rare-event…
This paper considers a security constrained dispatch problem involving generation and line contingencies in the presence of the renewable generation. The uncertainty due to renewables is modeled using joint chance-constraint and the…
This paper introduces a new nonlinear dictionary learning method for histograms in the probability simplex. The method leverages optimal transport theory, in the sense that our aim is to reconstruct histograms using so-called displacement…
In this work clustering schemes for uncertain and structured data are considered relying on the notion of Wasserstein barycenters, accompanied by appropriate clustering indices based on the intrinsic geometry of the Wasserstein space where…
We study stochastic Nash equilibrium problems subject to heterogeneous uncertainty on the expected valued cost functions of the individual agents, where we assume no prior knowledge of the underlying probability distributions of the…