Related papers: A Short and General Duality Proof for Wasserstein …
We study distributionally robust quantile regression using type-$p$ Wasserstein ambiguity sets. We derive a closed-form expression for the worst-case quantile regression loss under general $p$-Wasserstein uncertainty. We further give a…
Structuring ambiguity sets in Wasserstein-based distributionally robust optimization (DRO) can improve their statistical properties when the uncertainty consists of multiple independent components. The aim of this paper is to solve…
Causal optimal transport and adapted Wasserstein distance have applications in different fields from optimization to mathematical finance and machine learning. The goal of this article is to provide equivalent formulations of these concepts…
In this paper, we want to establish some general results in the Lorentzian optimal transport theory that have well-known Riemannian counterparts. As a first result, we will provide non-trivial assumptions on the measures to ensure strong…
This paper focuses on the performance and the robustness analysis of stochastic jump linear systems. The state trajectory under stochastic jump process becomes random variables, which brings forth the probability distributions in the system…
We consider the Monge-Kantorovich problem between two random measuress. More precisely, given probability measures $\mathbb{P}_1,\mathbb{P}_2\in\mathcal{P}(\mathcal{P}(M))$ on the space $\mathcal{P}(M)$ of probability measures on a smooth…
We introduce and study the permanence properties of the class of linear transfers between probability measures. This class contains all cost minimizing mass transports, but also martingale mass transports, the Schrodinger bridge associated…
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…
By using the fact that the space of all probability measures with finite support can be somehow completed in two different fashions, one generating the Arens-Eells space and another generating the Kantorovich-Wasserstein (Wasserstein-1)…
We study distribution-on-distribution regression problems in which a response distribution depends on multiple distributional predictors. Such settings arise naturally in applications where the outcome distribution is driven by several…
This paper presents a novel algorithmic study with extensive numerical experiments of distributionally robust multistage convex optimization (DR-MCO). Following the previous work on dual dynamic programming (DDP) algorithmic framework for…
We investigate a simple approximation scheme, based on overlapping linear decision rules, for solving data-driven two-stage distributionally robust optimization problems with the type-$\infty$ Wasserstein ambiguity set. Our main result…
This paper focuses on solving a data-driven distributionally robust optimization problem over a network of agents. The agents aim to minimize the worst-case expected cost computed over a Wasserstein ambiguity set that is centered at the…
We consider the problem of solving the optimal transport problem between two empirical distributions with missing values. Our main assumption is that the data is missing completely at random (MCAR), but we allow for heterogeneous…
The classical Kantorovich-Rubinstein duality theorem establishes a significant connection between Monge optimal transport and maximization of a linear form on the set of 1-Lipschitz functions. This result has been widely used in various…
We present a data-driven approach for distributionally robust chance constrained optimization problems (DRCCPs). We consider the case where the decision maker has access to a finite number of samples or realizations of the uncertainty. The…
We study the robust quickest change detection under unknown pre- and post-change distributions. To deal with uncertainties in the data-generating distributions, we formulate two data-driven ambiguity sets based on the Wasserstein distance,…
We study distributionally robust optimization (DRO) problems where the ambiguity set is defined using the Wasserstein metric. We show that this class of DRO problems can be reformulated as semi-infinite programs. We give an exchange method…
In this paper, we show that interventionally robust optimization problems in causal models are continuous under the $G$-causal Wasserstein distance, but may be discontinuous under the standard Wasserstein distance. This highlights the…
Distributionally robust optimization has been shown to offer a principled way to regularize learning models. In this paper, we find that Tikhonov regularization is distributionally robust in an optimal transport sense (i.e., if an adversary…