Related papers: Robust Estimation under the Wasserstein Distance
We study a variety of Wasserstein distributionally robust optimization (WDRO) problems where the distributions in the ambiguity set are chosen by constraining their Wasserstein discrepancies to the empirical distribution. Using the notion…
The problem of quickest detection of a change in the distribution of a sequence of independent observations is considered. It is assumed that the pre-change distribution is known (accurately estimated), while the only information about the…
We introduce Primal-Dual Wasserstein GAN, a new learning algorithm for building latent variable models of the data distribution based on the primal and the dual formulations of the optimal transport (OT) problem. We utilize the primal…
This paper proposes a data-driven distributionally robust shortest path (DRSP) model where the distribution of the travel time in the transportation network can only be partially observed through a finite number of samples. Specifically, we…
Optimal transportation theory and the related $p$-Wasserstein distance ($W_p$, $p\geq 1$) are widely-applied in statistics and machine learning. In spite of their popularity, inference based on these tools has some issues. For instance, it…
Wasserstein GAN(WGAN) is a model that minimizes the Wasserstein distance between a data distribution and sample distribution. Recent studies have proposed stabilizing the training process for the WGAN and implementing the Lipschitz…
Distributionally robust optimization (DRO) is an effective approach for data-driven decision-making in the presence of uncertainty. Geometric uncertainty due to sampling or localized perturbations of data points is captured by Wasserstein…
This paper presents a novel distribution-agnostic Wasserstein distance-based estimation framework. The goal is to determine an optimal map combining prior estimate with measurement likelihood such that posterior estimation error optimally…
Robustness to adversarial attacks is an important concern due to the fragility of deep neural networks to small perturbations and has received an abundance of attention in recent years. Distributionally Robust Optimization (DRO), a…
Data-driven distributionally robust optimization is a recently emerging paradigm aimed at finding a solution that is driven by sample data but is protected against sampling errors. An increasingly popular approach, known as Wasserstein…
Discriminating between distributions is an important problem in a number of scientific fields. This motivated the introduction of Linear Optimal Transportation (LOT), which embeds the space of distributions into an $L^2$-space. The…
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…
When a population exhibits heterogeneity, we often model it via a finite mixture: decompose it into several different but homogeneous subpopulations. Contemporary practice favors learning the mixtures by maximizing the likelihood for…
This paper proposes a distributionally robust approach to regret optimal control of discrete-time linear dynamical systems with quadratic costs subject to a stochastic additive disturbance on the state process. The underlying probability…
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…
Multi-marginal optimal transport enables one to compare multiple probability measures, which increasingly finds application in multi-task learning problems. One practical limitation of multi-marginal transport is computational scalability…
Minimum distance estimation (MDE) gained recent attention as a formulation of (implicit) generative modeling. It considers minimizing, over model parameters, a statistical distance between the empirical data distribution and the model. This…
This paper discusses a class of combinatorial optimization problems with uncertain costs in the objective function. It is assumed that a sample of the cost realizations is available, which defines an empirical probability distribution for…
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 propose a new statistical model, the spiked transport model, which formalizes the assumption that two probability distributions differ only on a low-dimensional subspace. We study the minimax rate of estimation for the Wasserstein…