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We present a computationally efficient framework, called $\texttt{FlowDRO}$, for solving flow-based distributionally robust optimization (DRO) problems with Wasserstein uncertainty sets while aiming to find continuous worst-case…
Graphs are playing a crucial role in different fields since they are powerful tools to unveil intrinsic relationships among signals. In many scenarios, an accurate graph structure representing signals is not available at all and that…
We consider decision-making problems under decision-dependent uncertainty (DDU), where the distribution of uncertain parameters depends on the decision variables and is only observable through a finite offline dataset. To address this…
We present a Distributionally Robust Optimization (DRO) approach to estimate a robustified regression plane in a linear regression setting, when the observed samples are potentially contaminated with adversarially corrupted outliers. Our…
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…
In recent years, there has been a growing research interest in decision-focused learning, which embeds optimization problems as a layer in learning pipelines and demonstrates a superior performance than the prediction-focused approach.…
Distributionally robust stochastic optimization (DRSO) is a framework for decision-making problems under certainty, which finds solutions that perform well for a chosen set of probability distributions. Many different approaches for…
We consider a minimax problem motivated by distributionally robust optimization (DRO) when the worst-case distribution is continuous, leading to significant computational challenges due to the infinite-dimensional nature of the optimization…
Distributionally robust optimization (DRO) studies decision problems under uncertainty where the probability distribution governing the uncertain problem parameters is itself uncertain. A key component of any DRO model is its ambiguity set,…
This paper provides a non-robust interpretation of the distributionally robust optimization (DRO) problem by relating the distributional uncertainties to the chance probabilities. Our analysis allows a decision-maker to interpret the size…
Distributionally robust chance constrained programs minimize a deterministic cost function subject to the satisfaction of one or more safety conditions with high probability, given that the probability distribution of the uncertain problem…
We refer to recent inference methodology and formulate a framework for solving the distributionally robust optimization problem, where the true probability measure is inside a Wasserstein ball around the empirical measure and the radius of…
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…
We introduce a new framework, Bayesian Distributionally Robust Optimization (Bayesian-DRO), for data-driven stochastic optimization where the underlying distribution is unknown. Bayesian-DRO contrasts with most of the existing DRO…
We consider a residuals-based distributionally robust optimization (DRO) model, where the underlying uncertainty depends on both covariate information and our decisions. We adopt both parametric and nonparametric regression models to learn…
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)…
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…
Distributionally robust optimization (DRO) is a powerful framework for training robust models against data distribution shifts. This paper focuses on constrained DRO, which has an explicit characterization of the robustness level. Existing…
We suggest that the tools of contraction analysis for deterministic systems can be applied towards studying the convergence behavior of stochastic dynamical systems in the Wasserstein metric. In particular, we consider the case of Ito…
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,…