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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…
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…
We study the infinite-horizon distributionally robust (DR) control of linear systems with quadratic costs, where disturbances have unknown, possibly time-correlated distribution within a Wasserstein-2 ambiguity set. We aim to minimize the…
We study the problem of resource provisioning under stringent reliability or service level requirements, which arise in applications such as power distribution, emergency response, cloud server provisioning, and regulatory risk management.…
In this paper, we consider a distributionally robust optimization (DRO) model in which the ambiguity set is defined as the set of distributions whose Kullback-Leibler (KL) divergence to an empirical distribution is bounded. Utilizing the…
Structuring ambiguity sets in Wasserstein-based distributionally robust optimization (DRO) can improve their statistical properties when the uncertainty consists of multiple independent components. The aim of this paper is to solve…
Wasserstein distributionally robust optimization (\textsf{WDRO}) is a popular model to enhance the robustness of machine learning with ambiguous data. However, the complexity of \textsf{WDRO} can be prohibitive in practice since solving its…
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market information and its dependence with tradable assets is…
We consider a general class of two-stage distributionally robust optimization (DRO) problems where the ambiguity set is constrained by fixed marginal probability laws that are not necessarily discrete. We derive primal and dual formulations…
We propose and analyze a new data-driven trade-off (TRO) approach for modeling uncertainty that serves as a middle ground between the optimistic approach, which adopts a distributional belief, and the pessimistic distributionally robust…
Distributionally Robust Optimization (DRO), which aims to find an optimal decision that minimizes the worst case cost over the ambiguity set of probability distribution, has been widely applied in diverse applications, e.g., network…
As machine learning models are deployed ever more broadly, it becomes increasingly important that they are not only able to perform well on their training distribution, but also yield accurate predictions when confronted with distribution…
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…
In many real-world applications, ensuring the robustness and stability of deep neural networks (DNNs) is crucial, particularly for image classification tasks that encounter various input perturbations. While data augmentation techniques…
Decision making under uncertainty is challenging since the data-generating process (DGP) is often unknown. Bayesian inference proceeds by estimating the DGP through posterior beliefs about the model's parameters. However, minimising the…
Adversarially robust optimization (ARO) has emerged as the *de facto* standard for training models that hedge against adversarial attacks in the test stage. While these models are robust against adversarial attacks, they tend to suffer…
Large language models are highly sensitive to prompt wording. However, popular automatic prompt search methods, including InstructZero, often degrade under distribution shift and adversarial evaluation because they optimize expected…
Offline reinforcement learning aims to learn from pre-collected datasets without active exploration. This problem faces significant challenges, including limited data availability and distributional shifts. Existing approaches adopt a…
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…
Distributionally robust optimization (DRO) incorporates robustness against uncertainty in the specification of probabilistic models. This paper focuses on mitigating the curse of dimensionality in data-driven DRO problems with optimal…