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Wasserstein distance-based distributionally robust optimization (DRO) has received much attention lately due to its ability to provide a robustness interpretation of various learning models. Moreover, many of the DRO problems that arise in…
In an effort to improve the accuracy of credit lending decisions, many financial intuitions are now using predictions from machine learning models. While such predictions enjoy many advantages, recent research has shown that the predictions…
Markov decision processes (MDPs) are known to be sensitive to parameter specification. Distributionally robust MDPs alleviate this issue by allowing for \emph{ambiguity sets} which give a set of possible distributions over parameter sets.…
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)…
This paper presents a novel algorithmic study with extensive numerical experiments of distributionally robust multistage convex optimization (DR-MCO). Following the previous work on dual dynamic programming (DDP) algorithmic framework for…
We investigate the problem of synthesizing distributionally robust control policies for stochastic systems under safety and reach-avoid specifications. Using a game-theoretical framework, we consider the setting where the probability…
To mitigate the bias exhibited by machine learning models, fairness criteria can be integrated into the training process to ensure fair treatment across all demographics, but it often comes at the expense of model performance. Understanding…
We propose a new minimum-distance estimator for linear random coefficient models. This estimator integrates the recently advanced sliced Wasserstein distance with the nearest neighbor methods, both of which enhance computational efficiency.…
In this paper we propose tight upper and lower bounds for the Wasserstein distance between any two {{univariate continuous distributions}} with probability densities $p_1$ and $p_2$ having nested supports. These explicit bounds are…
In many applications in statistics and machine learning, the availability of data samples from multiple possibly heterogeneous sources has become increasingly prevalent. On the other hand, in distributionally robust optimization, we seek…
Wasserstein-Fisher-Rao (WFR) gradient flows have been recently proposed as a powerful sampling tool that combines the advantages of pure Wasserstein (W) and pure Fisher-Rao (FR) gradient flows. Existing algorithmic developments implicitly…
We consider the optimization problem of minimizing a functional defined over a family of probability distributions, where the objective functional is assumed to possess a variational form. Such a distributional optimization problem arises…
Score-based Generative Models (SGMs) approximate a data distribution by perturbing it with Gaussian noise and subsequently denoising it via a learned reverse diffusion process. These models excel at modeling complex data distributions and…
Inspired by recent advances in distributed algorithms for approximating Wasserstein barycenters, we propose a novel distributed algorithm for this problem. The main novelty is that we consider time-varying computational networks, which are…
Distribution data refers to a data set where each sample is represented as a probability distribution, a subject area receiving burgeoning interest in the field of statistics. Although several studies have developed…
We introduce a new online algorithm for expected log-likelihood maximization in situations where the objective function is multi-modal and/or has saddle points, that we term G-PFSO. The key element underpinning G-PFSO is a probability…
We present a data-driven approach for distributionally robust chance constrained optimization problems (DRCCPs). We consider the case where the decision maker has access to a finite number of samples or realizations of the uncertainty. The…
We consider distributionally robust optimization problems where the uncertainty is modeled via a structured Wasserstein ambiguity set. Specifically, the ambiguity is restricted to product measures $P^{\otimes N}$, where $P$ lies within a…
Transfer learning is a popular strategy to leverage external knowledge and improve statistical efficiency, particularly with a limited target sample. We propose a novel knowledge-guided Wasserstein Distributionally Robust Optimization…
This paper studies a class of multiagent stochastic optimization problems where the objective is to minimize the expected value of a function which depends on a random variable. The probability distribution of the random variable is unknown…