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In this paper, by proposing two new kinds of distributional uncertainty sets, we explore robustness of distortion risk measures against distributional uncertainty. To be precise, we first consider a distributional uncertainty set which is…
We study a distributionally robust mean square error estimation problem over a nonconvex Wasserstein ambiguity set containing only normal distributions. We show that the optimal estimator and the least favorable distribution form a Nash…
This paper proposes a novel non-parametric multidimensional convex regression estimator which is designed to be robust to adversarial perturbations in the empirical measure. We minimize over convex functions the maximum (over Wasserstein…
Diffusion models have become the most popular approach to deep generative modeling of images, largely due to their empirical performance and reliability. From a theoretical standpoint, a number of recent works have studied the iteration…
We present a novel data-driven distributionally robust Model Predictive Control formulation for unknown discrete-time linear time-invariant systems affected by unknown and possibly unbounded additive uncertainties. We use off-line collected…
We study finite horizon reachable set estimation for unknown discrete-time dynamical systems using only sampled state trajectories. Rather than treating scenario optimization as a black-box tool, we show how it can be tailored to reachable…
Heavy-tail phenomena in stochastic gradient descent (SGD) have been reported in several empirical studies. Experimental evidence in previous works suggests a strong interplay between the heaviness of the tails and generalization behavior of…
We develop a projected Wasserstein distance for the two-sample test, a fundamental problem in statistics and machine learning: given two sets of samples, to determine whether they are from the same distribution. In particular, we aim to…
The analysis of samples of random objects that do not lie in a vector space is gaining increasing attention in statistics. An important class of such object data is univariate probability measures defined on the real line. Adopting the…
This work discusses how to derive upper bounds for the expected generalisation error of supervised learning algorithms by means of the chaining technique. By developing a general theoretical framework, we establish a duality between…
With the tremendous success of deep learning in visual tasks, the representations extracted from intermediate layers of learned models, that is, deep features, attract much attention of researchers. Previous empirical analysis shows that…
Generalization is the ability of a model to predict on unseen domains and is a fundamental task in machine learning. Several generalization bounds, both theoretical and empirical have been proposed but they do not provide tight bounds .In…
Distributionally robust control (DRC) aims to effectively manage distributional ambiguity in stochastic systems. While most existing works address inaccurate distributional information in fully observable settings, we consider a partially…
We develop a general framework for statistical inference with the 1-Wasserstein distance. Recently, the Wasserstein distance has attracted considerable attention and has been widely applied to various machine learning tasks because of its…
We refer to recent inference methodology and formulate a framework for solving the distributionally robust optimization problem, where the true probability measure is inside a Wasserstein ball around the empirical measure and the radius of…
Algorithms often have tunable parameters that impact performance metrics such as runtime and solution quality. For many algorithms used in practice, no parameter settings admit meaningful worst-case bounds, so the parameters are made…
The Wasserstein distance is a metric on a space of probability measures that has seen a surge of applications in statistics, machine learning, and applied mathematics. However, statistical aspects of Wasserstein distances are bottlenecked…
Regularization is a central tool for addressing ill-posedness in inverse problems and statistical estimation, with the choice of a suitable penalty often determining the reliability and interpretability of downstream solutions. While recent…
Diffusion models are one of the most important families of deep generative models. In this note, we derive a quantitative upper bound on the Wasserstein distance between the data-generating distribution and the distribution learned by a…
We propose a distributionally robust logistic regression model with an unfairness penalty that prevents discrimination with respect to sensitive attributes such as gender or ethnicity. This model is equivalent to a tractable convex…