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We develop Distributionally Robust Optimization (DRO) formulations for Multivariate Linear Regression (MLR) and Multiclass Logistic Regression (MLG) when both the covariates and responses/labels may be contaminated by outliers. The DRO…
We show that several machine learning estimators, including square-root LASSO (Least Absolute Shrinkage and Selection) and regularized logistic regression can be represented as solutions to distributionally robust optimization (DRO)…
Robust generalization aims to tackle the most challenging data distributions which are rare in the training set and contain severe noises, i.e., photon-limited corruptions. Common solutions such as distributionally robust optimization (DRO)…
Stochastic Optimization (SO) is a classical approach for optimization under uncertainty that typically requires knowledge about the probability distribution of uncertain parameters. As the latter is often unknown, Distributionally Robust…
We study decision problems under uncertainty, where the decision-maker has access to $K$ data sources that carry {\em biased} information about the underlying risk factors. The biases are measured by the mismatch between the risk factor…
We consider the problem of training a classification model with group annotated training data. Recent work has established that, if there is distribution shift across different groups, models trained using the standard empirical risk…
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…
Trust Region Policy Optimization (TRPO) and Proximal Policy Optimization (PPO), as the widely employed policy based reinforcement learning (RL) methods, are prone to converge to a sub-optimal solution as they limit the policy representation…
Gaussian Graphical Models (GGMs) are widely used to infer conditional dependence structures in high-dimensional data. However, standard precision matrix estimators are highly sensitive to data contamination, such as extreme outliers and…
Robustness to adversarial attacks is an important concern due to the fragility of deep neural networks to small perturbations and has received an abundance of attention in recent years. Distributionally Robust Optimization (DRO), a…
We study distributionally robust optimization (DRO) problems with uncertainty sets consisting of high-dimensional random vectors that are close in the multivariate Wasserstein distance to a reference random vector. We give conditions when…
Stochastic and (distributionally) robust optimization problems often become computationally challenging as the number of scenarios or data points increases. Scenario reduction is therefore a key technique for improving tractability. We…
Machine learning models (e.g., speech recognizers) are usually trained to minimize average loss, which results in representation disparity---minority groups (e.g., non-native speakers) contribute less to the training objective and thus tend…
We consider the problem of distributionally robust multimodal machine learning. Existing approaches often rely on merging modalities on the feature level (early fusion) or heuristic uncertainty modeling, which downplays modality-aware…
Distributionally robust optimization (DRO) is a worst-case framework for stochastic optimization under uncertainty that has drawn fast-growing studies in recent years. When the underlying probability distribution is unknown and observed…
In multi-source learning with discrete labels, distributional heterogeneity across domains poses a central challenge to developing predictive models that transfer reliably to unseen domains. We study multi-source unsupervised domain…
Data-driven Distributionally Robust Optimization (DD-DRO) via optimal transport has been shown to encompass a wide range of popular machine learning algorithms. The distributional uncertainty size is often shown to correspond to the…
This paper studies Distributionally Robust Optimization (DRO), a fundamental framework for enhancing the robustness and generalization of statistical learning and optimization. An effective ambiguity set for DRO must involve distributions…
We propose a mathematically principled PDE gradient flow framework for distributionally robust optimization (DRO). Exploiting the recent advances in the intersection of Markov Chain Monte Carlo sampling and gradient flow theory, we show…
A central goal of machine learning is to learn robust representations that capture the causal relationship between inputs features and output labels. However, minimizing empirical risk over finite or biased datasets often results in models…