Related papers: Nearly Minimax Optimal Wasserstein Conditional Ind…

Let $\pi\in \Pi(\mu,\nu)$ be a coupling between two probability measures $\mu$ and $\nu$ on a Polish space. In this article we propose and study a class of nonparametric measures of association between $\mu$ and $\nu$, which we call…

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…

Over the last 25 years, techniques based on drift and minorization (d&m) have been mainstays in the convergence analysis of MCMC algorithms. However, results presented herein suggest that d&m may be less useful in the emerging area of…

We establish asymptotic upper and lower bounds for the Wasserstein distance of any order $p\ge 1$ between the empirical measure of a fractional Brownian motion on a flat torus and the uniform Lebesgue measure. Our inequalities reveal an…

This article deals with the problem of testing conditional independence between two random vectors ${\bf X}$ and ${\bf Y}$ given a confounding random vector ${\bf Z}$. Several authors have considered this problem for multivariate data.…

A nonparametric variant of the Kiefer--Weiss problem is proposed and investigated. In analogy to the classical Kiefer--Weiss problem, the objective is to minimize the maximum expected sample size of a sequential test. However, instead of…

In this paper, we address the classification of instances each characterized not by a singular point, but by a distribution on a vector space. We employ the Wasserstein metric to measure distances between distributions, which are then used…

We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where…

We consider random walks $X,Y$ on a finite graph $G$ with respective lazinesses $\alpha, \beta \in [0,1]$. Let $\mu_k$ and $\nu_k$ be the $k$-step transition probability measures of $X$ and $Y$. In this paper, we study the Wasserstein…

Optimal transport distances are powerful tools to compare probability distributions and have found many applications in machine learning. Yet their algorithmic complexity prevents their direct use on large scale datasets. To overcome this…

We provide some non asymptotic bounds, with explicit constants, that measure the rate of convergence, in expected Wasserstein distance, of the empirical measure associated to an i.i.d. $N$-sample of a given probability distribution on…

Recently, Chatterjee (2021) introduced a new rank-based correlation coefficient which can be used to measure the strength of dependence between two random variables. This coefficient has already attracted much attention as it converges to…

We consider the problem of comparing probability densities between two groups. A new probabilistic tensor product smoothing spline framework is developed to model the joint density of two variables. Under such a framework, the probability…

We derive the optimal measurement for quantum state discrimination without a priori probabilities, i.e. in a minimax strategy instead of the usually considered Bayesian one. We consider both minimal-error and unambiguous discrimination…

The Wasserstein distance is an attractive tool for data analysis but statistical inference is hindered by the lack of distributional limits. To overcome this obstacle, for probability measures supported on finitely many points, we derive…

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…

We propose a new conditional dependence measure and a statistical test for conditional independence. The measure is based on the difference between analytic kernel embeddings of two well-suited distributions evaluated at a finite set of…

This paper presents a novel Wasserstein distributionally robust control and state estimation algorithm for partially observable linear stochastic systems, where the probability distributions of disturbances and measurement noises are…

Let $M$ be a connected compact Riemannian manifold possibly with a boundary, let $V\in C^2(M)$ such that $\mu(\d x):=\e^{V(x)}\d x$ is a probability measure, where $\d x$ is the volume measure, and let $L=\Delta+\nabla V$. The exact…

Wasserstein distributionally robust optimization offers a framework for model fitting in machine learning under potential shifts in the data distribution. We study a regularized variant of this problem in which entropic smoothing produces a…