Related papers: Adjusted Wasserstein Distributionally Robust Estim…

Distributional Reinforcement Learning (RL) estimates return distribution mainly by learning quantile values via minimizing the quantile Huber loss function, entailing a threshold parameter often selected heuristically or via hyperparameter…

We propose a new minimum-distance estimator for linear random coefficient models. This estimator integrates the recently advanced sliced Wasserstein distance with the nearest neighbor methods, both of which enhance computational efficiency.…

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…

The seminal paper of Jordan, Kinderlehrer, and Otto introduced what is now widely known as the JKO scheme, an iterative algorithmic framework for computing distributions. This scheme can be interpreted as a Wasserstein gradient flow and has…

We propose a flexible scenario-based regularized Sample Average Approximation (SBR-SAA) framework for stochastic optimization. This work is motivated by challenges in standard Wasserstein Distributionally Robust Optimization (WDRO), where…

Wasserstein distributionally robust control (WDRC) is an effective method for addressing inaccurate distribution information about disturbances in stochastic systems. It provides various salient features, such as an out-of-sample…

The empirical Wasserstein projection (WP) distance quantifies the Wasserstein distance from the empirical distribution to a set of probability measures satisfying given expectation constraints. The WP is a powerful tool because it mitigates…

Sampling rate offsets (SROs) between devices in a heterogeneous wireless acoustic sensor network (WASN) can hinder the ability of distributed adaptive algorithms to perform as intended when they rely on coherent signal processing. In this…

We develop a novel computationally efficient and general framework for robust hypothesis testing. The new framework features a new way to construct uncertainty sets under the null and the alternative distributions, which are sets centered…

Recently, a Wasserstein analogue of the Cramer--Rao inequality has been developed using the Wasserstein information matrix (Otto metric). This inequality provides a lower bound on the Wasserstein variance of an estimator, which quantifies…

In this paper, we propose improved estimation method for logistic regression based on subsamples taken according the optimal subsampling probabilities developed in Wang et al. 2018 Both asymptotic results and numerical results show that the…

In data-driven optimization, sample average approximation (SAA) is known to suffer from the so-called optimizer's curse that causes an over-optimistic evaluation of the solution performance. We argue that a special type of distributionallly…

We revisit Merton's continuous-time portfolio selection through a data-driven, distributionally robust lens. Our aim is to tap the benefits of frequent trading over short horizons while acknowledging that drift is hard to pin down, whereas…

Doubly robust (DR) estimation is a crucial technique in causal inference and missing data problems. We propose a novel Propensity score Augmentved Doubly robust (PAD) estimator to enhance the commonly used DR estimator for average treatment…

Robust statistics traditionally focuses on outliers, or perturbations in total variation distance. However, a dataset could be corrupted in many other ways, such as systematic measurement errors and missing covariates. We generalize the…

Using only retrospective data, we study the problem of predicting treatment effects for the same treatment/policy implemented in a different location or time period. We propose a distributionally robust estimator that minimizes the…

How should researchers select experimental sites when the deployment population differs from observed data? I formulate the problem of experimental site selection as an optimal transport problem, developing methods to minimize downstream…

We consider stochastic programs conditional on some covariate information, where the only knowledge of the possible relationship between the uncertain parameters and the covariates is reduced to a finite data sample of their joint…

To train machine learning models that are robust to distribution shifts in the data, distributionally robust optimization (DRO) has been proven very effective. However, the existing approaches to learning a distributionally robust model…

In this paper, we propose a local squared Wasserstein-2 (W_2) method to solve the inverse problem of reconstructing models with uncertain latent variables or parameters. A key advantage of our approach is that it does not require prior…