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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…
Distributionally robust optimization (DRO) problems are increasingly seen as a viable method to train machine learning models for improved model generalization. These min-max formulations, however, are more difficult to solve. We therefore…
The goal of this paper is to develop distributionally robust optimization (DRO) estimators, specifically for multidimensional Extreme Value Theory (EVT) statistics. EVT supports using semi-parametric models called max-stable distributions…
The reliability of machine learning systems critically assumes that the associations between features and labels remain similar between training and test distributions. However, unmeasured variables, such as confounders, break this…
Stochastic and (distributionally) robust optimization problems often become computationally challenging as the number of scenarios or data points increases. Scenario reduction is therefore a key technique for improving tractability. We…
The goal of robust constrained reinforcement learning (RL) is to optimize an agent's performance under the worst-case model uncertainty while satisfying safety or resource constraints. In this paper, we demonstrate that strong duality does…
We consider the penalized distributionally robust optimization (DRO) problem with a closed, convex uncertainty set, a setting that encompasses learning using $f$-DRO and spectral/$L$-risk minimization. We present Drago, a stochastic…
Robustness to distributional shift is one of the key challenges of contemporary machine learning. Attaining such robustness is the goal of distributionally robust optimization, which seeks a solution to an optimization problem that is…
We present a novel framework for distributionally robust optimization (DRO), called cost-aware DRO (CADRO). The key idea of CADRO is to exploit the cost structure in the design of the ambiguity set to reduce conservatism. Particularly, the…
This paper provides a non-robust interpretation of the distributionally robust optimization (DRO) problem by relating the distributional uncertainties to the chance probabilities. Our analysis allows a decision-maker to interpret the size…
We study risk-sensitive Reinforcement Learning (RL), where we aim to maximize the Conditional Value at Risk (CVaR) with a fixed risk tolerance $\tau$. Prior theoretical work studying risk-sensitive RL focuses on the tabular Markov Decision…
Machine learning models often have uneven performance among subpopulations (a.k.a., groups) in the data distributions. This poses a significant challenge for the models to generalize when the proportions of the groups shift during…
Task-free continual learning (CL) aims to learn a non-stationary data stream without explicit task definitions and not forget previous knowledge. The widely adopted memory replay approach could gradually become less effective for long data…
Federated learning faces challenges due to the heterogeneity in data volumes and distributions at different clients, which can compromise model generalization ability to various distributions. Existing approaches to address this issue based…
Neural networks produced by standard training are known to suffer from poor accuracy on rare subgroups despite achieving high accuracy on average, due to the correlations between certain spurious features and labels. Previous approaches…
We study the problem of Distributionally Robust Constrained RL (DRC-RL), where the goal is to maximize the expected reward subject to environmental distribution shifts and constraints. This setting captures situations where training and…
Machine learning models often perform poorly under subpopulation shifts in the data distribution. Developing methods that allow machine learning models to better generalize to such shifts is crucial for safe deployment in real-world…
In subpopulation shift scenarios, a Curriculum Learning (CL) approach would only serve to imprint the model weights, early on, with the easily learnable spurious correlations featured. To the best of our knowledge, none of the current…
Despite the high performance achieved by deep neural networks on various tasks, extensive studies have demonstrated that small tweaks in the input could fail the model predictions. This issue of deep neural networks has led to a number of…
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…