Related papers: Stochastic Constrained DRO with a Complexity Indep…
In this paper, we consider learning scenarios where the learned model is evaluated under an unknown test distribution which potentially differs from the training distribution (i.e. distribution shift). The learner has access to a family of…
Machine learning models are often required to perform well across several pre-defined settings, such as a set of user groups. Worst-case performance is a common metric to capture this requirement, and is the objective of group…
This paper considers power distribution networks with distributed energy resources and designs an incentive-based algorithm that allows the network operator and customers to pursue given operational and economic objectives while…
Trust Region Policy Optimization (TRPO) and Proximal Policy Optimization (PPO), as the widely employed policy based reinforcement learning (RL) methods, are prone to converge to a sub-optimal solution as they limit the policy representation…
We propose a distributionally robust approach to learning hyperparameters for first-order methods in convex optimization. Given a dataset of problem instances, we minimize a Wasserstein distributionally robust version of the performance…
This article extends the optimal covariance steering (CS) problem for discrete time linear stochastic systems modeled using moment-based ambiguity sets. To hedge against the uncertainty in the state distributions while performing covariance…
We study differentially private (DP) algorithms for stochastic convex optimization: the problem of minimizing the population loss given i.i.d. samples from a distribution over convex loss functions. A recent work of Bassily et al. (2019)…
Many machine learning algorithms minimize a regularized risk, and stochastic optimization is widely used for this task. When working with massive data, it is desirable to perform stochastic optimization in parallel. Unfortunately, many…
This paper proposes a framework to study the convergence of stochastic optimization and learning algorithms. The framework is modeled over the different challenges that these algorithms pose, such as (i) the presence of random additive…
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…
Distributionally Robust Optimization (DRO) is a worst-case approach to decision making when there is model uncertainty. It is also well known that for certain uncertainty sets, DRO is approximated by a regularized nominal problem. We show…
We study distributed optimization problems over a network when the communication between the nodes is constrained, and so information that is exchanged between the nodes must be quantized. This imperfect communication poses a fundamental…
In this paper, we consider robust control using randomized algorithms. We extend the existing order statistics distribution theory to the general case in which the distribution of population is not assumed to be continuous and the order…
Distributionally robust supervised learning (DRSL) is emerging as a key paradigm for building reliable machine learning systems for real-world applications -- reflecting the need for classifiers and predictive models that are robust to the…
Time-varying stochastic optimization problems frequently arise in machine learning practice (e.g. gradual domain shift, object tracking, strategic classification). Although most problems are solved in discrete time, the underlying process…
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…
Topology design is a critical task for the reliability, economic operation, and resilience of distribution systems. This paper proposes a distributionally robust optimization (DRO) model for designing the topology of a new distribution…
The recently developed Distributed Block Proximal Method, for solving stochastic big-data convex optimization problems, is studied in this paper under the assumption of constant stepsizes and strongly convex (possibly non-smooth) local…
Quick response is a widely adopted strategy to mitigate overproduction in the manufacturing industry, yet recent research reveals a counter-intuitive paradox: while it reduces waste from unsold finished goods, it may incentivize firms to…
Distributionally Robust Optimisation (DRO) protects risk-averse decision-makers by considering the worst-case risk within an ambiguity set of distributions based on the empirical distribution or a model. To further guard against finite,…