Related papers: Data-Driven Bayesian Nonparametric Wasserstein Dis…
Distributionally robust optimization (DRO) has become a powerful framework for estimation under uncertainty, offering strong out-of-sample performance and principled regularization. In this paper, we propose a DRO-based method for linear…
The effects of treatments are often heterogeneous, depending on the observable characteristics, and it is necessary to exploit such heterogeneity to devise individualized treatment rules (ITRs). Existing estimation methods of such ITRs…
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…
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…
We consider statistical methods which invoke a min-max distributionally robust formulation to extract good out-of-sample performance in data-driven optimization and learning problems. Acknowledging the distributional uncertainty in learning…
We study distributionally robust optimization (DRO) problems where the ambiguity set is defined using the Wasserstein metric. We show that this class of DRO problems can be reformulated as semi-infinite programs. We give an exchange method…
In recent years, Wasserstein Distributionally Robust Optimization (DRO) has garnered substantial interest for its efficacy in data-driven decision-making under distributional uncertainty. However, limited research has explored the…
Noisy data are often viewed as a challenge for decision-making. This paper studies a distributionally robust optimization (DRO) that shows how such noise can be systematically incorporated. Rather than applying DRO to the noisy empirical…
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…
A novel data-driven stochastic robust optimization (DDSRO) framework is proposed for optimization under uncertainty leveraging labeled multi-class uncertainty data. Uncertainty data in large datasets are often collected from various…
Despite of its importance for safe machine learning, uncertainty quantification for neural networks is far from being solved. State-of-the-art approaches to estimate neural uncertainties are often hybrid, combining parametric models with…
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…
Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of…
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…
We consider a two-stage distributionally robust optimization (DRO) model with multimodal uncertainty, where both the mode probabilities and uncertainty distributions could be affected by the first-stage decisions. To address this setting,…
Distributionally robust optimization (DRO) has emerged as a powerful paradigm for reliable decision-making under uncertainty. This paper focuses on DRO with ambiguity sets defined via the Sinkhorn discrepancy: an entropy-regularized…
The performance of machine learning (ML) models critically depends on the quality and representativeness of the training data. In applications with multiple heterogeneous data generating sources, standard ML methods often learn spurious…
In this paper we wish to tackle stochastic programs affected by ambiguity about the probability law that governs their uncertain parameters. Using optimal transport theory, we construct an ambiguity set that exploits the knowledge about the…
A large class of stochastic programs involve optimizing an expectation taken with respect to an underlying distribution that is unknown in practice. One popular approach to addressing the distributional uncertainty, known as the…
Wasserstein distributionally robust optimization (DRO) has gained prominence in operations research and machine learning as a powerful method for achieving solutions with favorable out-of-sample performance. Two compelling explanations for…