Related papers: Distributionally Robust Covariance Steering with O…
We study a class of stochastic optimal design problems for elliptic partial differential equations in divergence form, where the coefficients represent mixtures of two conducting materials. The objective is to minimize a generalized risk…
Distributionally robust optimization (DRO) is a powerful technique to train robust models against data distribution shift. This paper aims to solve regularized nonconvex DRO problems, where the uncertainty set is modeled by a so-called…
This paper studies optimal control problems of unknown linear systems subject to stochastic disturbances of uncertain distribution. Uncertainty about the stochastic disturbances is usually described via ambiguity sets of probability…
In this paper we discuss distributional robustness in the context of stochastic model predictive control (SMPC) for linear time-invariant systems. We derive a simple approximation of the MPC problem under an additive zero-mean i.i.d. noise…
We investigate model risk and distributionally robust optimization (DRO) under marginal and martingale constraints. Building on our previous work, we address the previously open case of static hedging with second-period maturity vanilla…
Distributionally robust optimization (DRO) can improve the robustness and fairness of learning methods. In this paper, we devise stochastic algorithms for a class of DRO problems including group DRO, subpopulation fairness, and empirical…
This manuscript introduces the idea of using Distributionally Robust Optimization (DRO) for the Counterfactual Risk Minimization (CRM) problem. Tapping into a rich existing literature, we show that DRO is a principled tool for…
Distributionally Robust Optimization (DRO), which aims to find an optimal decision that minimizes the worst case cost over the ambiguity set of probability distribution, has been widely applied in diverse applications, e.g., network…
This paper studies distributionally robust optimization (DRO) with polynomial robust constraints. We give a Moment-SOS relaxation approach to solve the DRO. This reduces to solving linear conic optimization with semidefinite constraints.…
Coreset selection, which involves selecting a small subset from an existing training dataset, is an approach to reducing training data, and various approaches have been proposed for this method. In practical situations where these methods…
Machine learning algorithms with empirical risk minimization are vulnerable under distributional shifts due to the greedy adoption of all the correlations found in training data. There is an emerging literature on tackling this problem by…
In this work, we present an algorithmically tractable safe approximation of distributionally robust optimization (DRO) problems that contain univariate indicator functions. The latter appear in different applications, but render the model…
This paper studies Distributionally Robust Optimization (DRO), a fundamental framework for enhancing the robustness and generalization of statistical learning and optimization. An effective ambiguity set for DRO must involve distributions…
Distributionally robust control (DRC) aims to effectively manage distributional ambiguity in stochastic systems. While most existing works address inaccurate distributional information in fully observable settings, we consider a partially…
In this paper, we consider continuous-time stochastic optimal control problems where the cost is evaluated through a coherent risk measure. We provide an explicit gradient descent-ascent algorithm which applies to problems subject to…
General distribution steering is intrinsically an infinite-dimensional problem, when the continuous distributions to steer are arbitrary. We put forward a moment representation of the primal system for control in [42]. However, the system…
We study the cyclic inventory routing problem that involves joint decisions on vehicle routing and inventory replenishment on an infinite, cyclic horizon. It considers a single warehouse and a set of geographically dispersed retailers. We…
Distributionally robust stochastic optimization (DRSO) is a framework for decision-making problems under certainty, which finds solutions that perform well for a chosen set of probability distributions. Many different approaches for…
This letter proposes a two-stage distributionally robust optimization (DRO) framework for secure deployment and beamforming in an aerial reconfigurable intelligent surface (A-RIS) assisted millimeter-wave system. To account for…
Recent development in the data-driven decision science has seen great advances in individualized decision making. Given data with individual covariates, treatment assignments and outcomes, policy makers best individualized treatment rule…