Related papers: A Distributionally Robust Approach to Regret Optim…
Precise control under uncertainty requires a good understanding and characterization of the noise affecting the system. This paper studies the problem of steering state distributions of dynamical systems subject to partially known…
In this paper, we consider the problem of propagating an uncertain distribution by a possibly non-linear function and quantifying the resulting uncertainty. We measure the uncertainty using the Wasserstein distance, and for a given input…
Wasserstein distributionally robust optimization (WDRO) attempts to learn a model that minimizes the local worst-case risk in the vicinity of the empirical data distribution defined by Wasserstein ball. While WDRO has received attention as…
We present a distributionally robust formulation of a stochastic optimization problem for non-i.i.d vector autoregressive data. We use the Wasserstein distance to define robustness in the space of distributions and we show, using duality…
This paper studies distributional model risk in marginal problems, where each marginal measure is assumed to lie in a Wasserstein ball centered at a fixed reference measure with a given radius. Theoretically, we establish several…
In many applications in statistics and machine learning, the availability of data samples from multiple possibly heterogeneous sources has become increasingly prevalent. On the other hand, in distributionally robust optimization, we seek…
Robust optimization is a tractable and expressive technique for decision-making under uncertainty, but it can lead to overly conservative decisions when pessimistic assumptions are made on the uncertain parameters. Wasserstein…
Wasserstein distributionally robust control (DRC) recently emerges as a principled paradigm for handling uncertainty in stochastic dynamical systems. However, it constructs data-driven ambiguity sets via uniform distribution shifts before…
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…
The $\mathcal{H}_{\infty}$ synthesis approach is a cornerstone robust control design technique, but is known to be conservative in some cases. The objective of this paper is to quantify the additional cost the controller incurs planning for…
Distributionally robust optimization (DRO)-based robust adaptive beamforming (RAB) enables enhanced robustness against model uncertainties, such as steering vector mismatches and interference-plus-noise covariance matrix estimation errors.…
This paper presents a new safety specification method that is robust against errors in the probability distribution of disturbances. Our proposed distributionally robust safe policy maximizes the probability of a system remaining in a…
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…
This monograph develops a comprehensive statistical learning framework that is robust to (distributional) perturbations in the data using Distributionally Robust Optimization (DRO) under the Wasserstein metric. Beginning with fundamental…
We present safe control of partially-observed linear time-varying systems in the presence of unknown and unpredictable process and measurement noise. We introduce a control algorithm that minimizes dynamic regret, i.e., that minimizes the…
We present a methodology for predictable and safe covariance steering control of uncertain nonlinear stochastic processes. The systems under consideration are subject to general uncertainties, which include unbounded random disturbances…
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…
We analyse the conservatism and regret of distributionally robust (DR) stochastic model predictive control (SMPC) when using moment-based ambiguity sets for modeling unknown uncertainties. To quantify the conservatism, we compare the…
This paper presents a synthesis method for robust, regret optimal control. The plant is modeled in discrete-time by an uncertain linear time-invariant (LTI) system. An optimal non-causal controller is constructed using the nominal plant…
Performativity means that the deployment of a predictive model incentivizes agents to strategically adapt their behavior, thereby inducing a model-dependent distribution shift. Practitioners often repeatedly retrain the model on data…