Related papers: A Robust Quantile Huber Loss With Interpretable Pa…
This paper studies M-estimators with gradient-Lipschitz loss function regularized with convex penalty in linear models with Gaussian design matrix and arbitrary noise distribution. A practical example is the robust M-estimator constructed…
Quantiles and expectiles are determined by different loss functions: asymmetric least absolute deviation for quantiles and asymmetric squared loss for expectiles. This distinction ensures that quantile regression methods are robust to…
We propose a distributionally robust approach to learning hyperparameters for first-order methods in convex optimization. Given a dataset of problem instances, we minimize a Wasserstein distributionally robust version of the performance…
The Wasserstein distance, rooted in optimal transport (OT) theory, is a popular discrepancy measure between probability distributions with various applications to statistics and machine learning. Despite their rich structure and…
Chaotic dynamical systems pose a fundamental challenge for Reinforcement Learning (RL): exponential sensitivity to initial conditions induces high-variance bootstrap targets and poorly conditioned gradient updates. Chaotic dynamics arise…
This paper establishes a novel role for Gaussian-mixture models (GMMs) as functional approximators of Q-function losses in reinforcement learning (RL). Unlike the existing RL literature, where GMMs play their typical role as estimates of…
Neural networks are vulnerable to adversarial examples and researchers have proposed many heuristic attack and defense mechanisms. We address this problem through the principled lens of distributionally robust optimization, which guarantees…
In the field of modern high-energy physics research, there is a growing emphasis on utilizing deep learning techniques to optimize event simulation, thereby expanding the statistical sample size for more accurate physical analysis.…
As one of the triumphs and milestones of robust statistics, Huber regression plays an important role in robust inference and estimation. It has also been finding a great variety of applications in machine learning. In a parametric setup, it…
Distributionally Robust Optimization (DRO) provides a framework for decision-making under distributional uncertainty, yet its effectiveness can be compromised by outliers in the training data. This paper introduces a principled approach to…
In a reinforcement learning (RL) setting, the agent's optimal strategy heavily depends on her risk preferences and the underlying model dynamics of the training environment. These two aspects influence the agent's ability to make…
Recent advancements in Distributional Reinforcement Learning (DRL) for modeling loss distributions have shown promise in developing hedging strategies in derivatives markets. A common approach in DRL involves learning the quantiles of loss…
Recent developments on deep learning established some theoretical properties of deep neural networks estimators. However, most of the existing works on this topic are restricted to bounded loss functions or (sub)-Gaussian or bounded input.…
We develop a Distributionally Robust Optimization (DRO) formulation for Multiclass Logistic Regression (MLR), which could tolerate data contaminated by outliers. The DRO framework uses a probabilistic ambiguity set defined as a ball of…
We develop a Distributionally Robust Optimization (DRO) formulation for Multiclass Logistic Regression (MLR), which could tolerate data contaminated by outliers. The DRO framework uses a probabilistic ambiguity set defined as a ball of…
Wasserstein distributionally robust optimization estimators are obtained as solutions of min-max problems in which the statistician selects a parameter minimizing the worst-case loss among all probability models within a certain distance…
Recent advances in reinforcement learning (RL) have led to a growing interest in applying RL to classical planning domains or applying classical planning methods to some complex RL domains. However, the long-horizon goal-based problems…
While Distributional Reinforcement Learning (DRL) methods have demonstrated strong performance in online settings, its success in offline scenarios remains limited. We hypothesize that a key limitation of existing offline DRL methods lies…
Specifying a Reinforcement Learning (RL) task involves choosing a suitable planning horizon, which is typically modeled by a discount factor. It is known that applying RL algorithms with a lower discount factor can act as a regularizer,…
Composite quantile regression has been used to obtain robust estimators of regression coefficients in linear models with good statistical efficiency. By revealing an intrinsic link between the composite quantile regression loss function and…