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The effects of treatments are often heterogeneous, depending on the observable characteristics, and it is necessary to exploit such heterogeneity to devise individualized treatment rules (ITRs). Existing estimation methods of such ITRs…
Wasserstein distributionally robust optimization (DRO) aims to find robust and generalizable solutions by hedging against data perturbations in Wasserstein distance. Despite its recent empirical success in operations research and machine…
Transfer learning is a popular strategy to leverage external knowledge and improve statistical efficiency, particularly with a limited target sample. We propose a novel knowledge-guided Wasserstein Distributionally Robust Optimization…
We study control of constrained linear systems with only partial statistical information about the uncertainty affecting the system dynamics and the sensor measurements. Specifically, given a finite collection of disturbance realizations…
There are numerous industrial settings in which a decision maker must decide whether to enter into long-term contracts to guarantee price (and hence cash flow) stability or to participate in more volatile spot markets. In this paper, we…
Robust optimization is a tractable and expressive technique for decision-making under uncertainty, but it can lead to overly conservative decisions when pessimistic assumptions are made on the uncertain parameters. Wasserstein…
In this paper, we develop a two-stage data-driven approach to address the adjustable robust optimization problem, where the uncertainty set is adjustable to manage infeasibility caused by significant or poorly quantified uncertainties. In…
This paper studies distributionally robust regret-optimal (DRRO) control with purified output feedback for linear systems subject to additive disturbances and measurement noise. These uncertainties (including the initial system state) are…
Many decision problems in science, engineering and economics are affected by uncertain parameters whose distribution is only indirectly observable through samples. The goal of data-driven decision-making is to learn a decision from finitely…
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…
We propose a Distributionally Robust Optimization (DRO) formulation with a Wasserstein-based uncertainty set for selecting grouped variables under perturbations on the data for both linear regression and classification problems. The…
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…
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…
This study addresses a class of linear mixed-integer programming (MILP) problems that involve uncertainty in the objective function parameters. The parameters are assumed to form a random vector, whose probability distribution can only be…
We consider the distributionally robust optimization (DRO) model of principal component analysis (PCA) to account for uncertainty in the underlying probability distribution. The resulting formulation leads to a nonsmooth constrained min-max…
We propose an online data compression approach for efficiently solving distributionally robust optimization (DRO) problems with streaming data while maintaining out-of-sample performance guarantees. Our method dynamically constructs…
In recent years, two prominent paradigms have shaped distributionally robust optimization (DRO), modeling distributional ambiguity through $\phi$-divergences and Wasserstein distances, respectively. While the former focuses on ambiguity in…
We study a single-server appointment scheduling problem with a fixed sequence of appointments, for which we must determine the arrival time for each appointment. We specifically examine two stochastic models. In the first model, we assume…
Despite superior performance in many situations, deep neural networks are often vulnerable to adversarial examples and distribution shifts, limiting model generalization ability in real-world applications. To alleviate these problems,…
This paper studies the expected optimal value of a mixed 0-1 programming problem with uncertain objective coefficients following a joint distribution. We assume that the true distribution is not known exactly, but a set of independent…