Related papers: A local squared Wasserstein-2 method for efficient…
In this work, we propose and analyze a new local time-decoupled squared Wasserstein-2 method for reconstructing the distribution of unknown parameters in dynamical systems. Specifically, we show that a stochastic neural network model, which…
In this work, we propose a novel generalized Wasserstein-2 distance approach for efficiently training stochastic neural networks to reconstruct random field models, where the target random variable comprises both continuous and categorical…
We analyze the Wasserstein distance ($W$-distance) between two probability distributions associated with two multidimensional jump-diffusion processes. Specifically, we analyze a temporally decoupled squared $W_2$-distance, which provides…
We provide an analysis of the squared Wasserstein-2 ($W_2$) distance between two probability distributions associated with two stochastic differential equations (SDEs). Based on this analysis, we propose the use of a squared $W_2$…
We perform a mathematical and statistical analysis of the Wasserstein least squares problem, a regression method for vector-valued covariates and distribution-valued responses. Our proposal contrasts with other distributional regression…
We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a $p$-dimensional Gaussian random vector from $n$ independent samples. The proposed model…
Despite of its importance for safe machine learning, uncertainty quantification for neural networks is far from being solved. State-of-the-art approaches to estimate neural uncertainties are often hybrid, combining parametric models with…
This work characterizes, analytically and numerically, two major effects of the quadratic Wasserstein ($W_2$) distance as the measure of data discrepancy in computational solutions of inverse problems. First, we show, in the…
We address the problem of efficiently computing Wasserstein distances for multiple pairs of distributions drawn from a meta-distribution. To this end, we propose a fast estimation method based on regressing Wasserstein distance on sliced…
We propose using the Wasserstein loss for training in inverse problems. In particular, we consider a learned primal-dual reconstruction scheme for ill-posed inverse problems using the Wasserstein distance as loss function in the learning.…
We consider a data-driven robust hypothesis test where the optimal test will minimize the worst-case performance regarding distributions that are close to the empirical distributions with respect to the Wasserstein distance. This leads to a…
This paper is focused on the statistical analysis of data consisting of a collection of multiple series of probability measures that are indexed by distinct time instants and supported over a bounded interval of the real line. By modeling…
We present a novel $Q$-learning algorithm tailored to solve distributionally robust Markov decision problems where the corresponding ambiguity set of transition probabilities for the underlying Markov decision process is a Wasserstein ball…
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…
Wasserstein barycenters provide a geometric notion of the weighted average of probability measures based on optimal transport. In this paper, we present a scalable algorithm to compute Wasserstein-2 barycenters given sample access to the…
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…
A multiscale numerical method is proposed for the solution of semi-linear elliptic stochastic partial differential equations with localized uncertainties and non-linearities, the uncertainties being modeled by a set of random parameters. It…
Wasserstein distributionally robust optimization (WDRO) strengthens statistical learning under model uncertainty by minimizing the local worst-case risk within a prescribed ambiguity set. Although WDRO has been extensively studied in…
Computing the Wasserstein barycenter of a set of probability measures under the optimal transport metric can quickly become prohibitive for traditional second-order algorithms, such as interior-point methods, as the support size of the…
We study the estimation problem of distribution-on-distribution regression, where both predictors and responses are probability measures. Existing approaches typically rely on a global optimal transport map or tangent-space linearization,…