Related papers: On Affine Policies for Wasserstein Distributionall…
We study the distributionally robust optimization (DRO) in a dynamic context where the model uncertainty is captured by penalizing potential models in function of their adapted Wasserstein distance to a given reference model. We consider…
Distributionally Robust Optimization (DRO) has enabled to prove the equivalence between robustness and regularization in classification and regression, thus providing an analytical reason why regularization generalizes well in statistical…
Distributionally robust optimization (DRO) has emerged as a powerful paradigm for reliable decision-making under uncertainty. This paper focuses on DRO with ambiguity sets defined via the Sinkhorn discrepancy: an entropy-regularized…
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…
We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a $p$-dimensional Gaussian random vector from $n$ independent samples. The proposed model…
We propose a distributionally robust data-driven predictive control framework for stochastic linear time-invariant systems with unknown dynamics and disturbance distributions. We use an offline trajectory to fit the subspace predictive…
Federated learning (FL) enables collaborative model training without direct data sharing, but its performance can degrade significantly in the presence of data distribution perturbations. Distributionally robust optimization (DRO) provides…
Wasserstein distance-based distributionally robust optimization (DRO) has received much attention lately due to its ability to provide a robustness interpretation of various learning models. Moreover, many of the DRO problems that arise in…
This study addresses the stochastic Model Predictive Control (MPC) problem for linear time-invariant systems subjected to unknown disturbance distributions. By leveraging the most recent disturbance data, we construct a set of distributions…
Wasserstein distributionally robust control (DRC) recently emerges as a principled paradigm for handling uncertainty in stochastic dynamical systems. However, it constructs data-driven ambiguity sets via uniform distribution shifts before…
Distributionally robust optimization (DRO) is an effective framework for controlling real-world systems with various uncertainties, typically modeled using distributional uncertainty balls. However, DRO problems often involve infinitely…
Standard stochastic control methods assume that the probability distribution of uncertain variables is available. Unfortunately, in practice, obtaining accurate distribution information is a challenging task. To resolve this issue, we…
Distributionally robust optimization (DRO) studies decision problems under uncertainty where the probability distribution governing the uncertain problem parameters is itself uncertain. A key component of any DRO model is its ambiguity set,…
Wasserstein distributionally robust optimization (DRO) has gained prominence in operations research and machine learning as a powerful method for achieving solutions with favorable out-of-sample performance. Two compelling explanations for…
We propose a data-based method to solve a multi-stage stochastic optimal power flow (OPF) problem based on limited information about forecast error distributions. The framework explicitly combines multi-stage feedback policies with any…
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…
Wasserstein Policy Optimization (WPO) is a recently proposed reinforcement learning algorithm that leverages Wasserstein gradient flows to optimize stochastic policies in continuous action spaces. Despite its empirical success, the…
Wasserstein \textbf{D}istributionally \textbf{R}obust \textbf{O}ptimization (DRO) is concerned with finding decisions that perform well on data that are drawn from the worst-case probability distribution within a Wasserstein ball centered…
We propose an adjusted Wasserstein distributionally robust estimator -- based on a nonlinear transformation of the Wasserstein distributionally robust (WDRO) estimator in statistical learning. The classic WDRO estimator is asymptotically…
We study data-driven decision problems where historical observations are generated by a time-evolving distribution whose consecutive shifts are bounded in Wasserstein distance. We address this nonstationarity using a distributionally robust…