Related papers: A Short and General Duality Proof for Wasserstein …
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…
Optimal transport has recently proved to be a useful tool in various machine learning applications needing comparisons of probability measures. Among these, applications of distributionally robust optimization naturally involve Wasserstein…
In this paper, we establish a Kantorovich duality for weak optimal total variation transport problems. As consequences, we recover a version of duality formula for partial optimal transports established by Caffarelli and McCann; and we also…
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 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…
We present a distributionally robust formulation of a stochastic optimization problem for non-i.i.d vector autoregressive data. We use the Wasserstein distance to define robustness in the space of distributions and we show, using duality…
The classical Kantorovich-Rubinstein duality guarantees coincidence between metrics on the space of probability distributions defined on the one hand via transport plans (couplings) and on the other hand via price functions. Both…
Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from…
We study the problem of robust distribution estimation under the Wasserstein distance, a popular discrepancy measure between probability distributions rooted in optimal transport (OT) theory. Given $n$ samples from an unknown distribution…
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…
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…
We study distributionally robust optimization with Sinkhorn distance -- a variant of Wasserstein distance based on entropic regularization. We derive a convex programming dual reformulation for general nominal distributions, transport…
This brief note aims to introduce the recent paradigm of distributional robustness in the field of shape and topology optimization. Acknowledging that the probability law of uncertain physical data is rarely known beyond a rough…
We consider stochastic programs where the distribution of the uncertain parameters is only observable through a finite training dataset. Using the Wasserstein metric, we construct a ball in the space of (multivariate and non-discrete)…
This work investigates several aspects related to quantitative stability in optimal transport, as well as uniqueness of the dual transport problem. Our main contributions are as follows. Chapter 1: Observations regarding the quantitative…
The Wasserstein distance, rooted in optimal transport (OT) theory, is a popular discrepancy measure between probability distributions with various applications to statistics and machine learning. Despite their rich structure and…
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…
This paper investigates the robust optimal control of sampled-data stochastic systems with multiplicative noise and distributional ambiguity. We consider a class of discrete-time optimal control problems where the controller \emph{jointly}…
We consider statistical methods which invoke a min-max distributionally robust formulation to extract good out-of-sample performance in data-driven optimization and learning problems. Acknowledging the distributional uncertainty in learning…
Wasserstein 1 optimal transport maps provide a natural correspondence between points from two probability distributions, $\mu$ and $\nu$, which is useful in many applications. Available algorithms for computing these maps do not appear to…