Related papers: On the KL-Divergence-based Robust Satisficing Mode…

We consider model-based reinforcement learning in finite Markov De- cision Processes (MDPs), focussing on so-called optimistic strategies. In MDPs, optimism can be implemented by carrying out extended value it- erations under a constraint…

This paper addresses a new interpretation of the traditional optimization method in reinforcement learning (RL) as optimization problems using reverse Kullback-Leibler (KL) divergence, and derives a new optimization method using forward KL…

Estimating Kullback Leibler (KL) divergence from samples of two distributions is essential in many machine learning problems. Variational methods using neural network discriminator have been proposed to achieve this task in a scalable…

The deepening penetration of renewable resources into power systems entails great difficulties that have not been surmounted satisfactorily. An issue that merits special attention is the short-term planning of power systems under net load…

Transfer learning, or domain adaptation, is concerned with machine learning problems in which training and testing data come from possibly different probability distributions. In this work, we give an information-theoretic analysis of the…

This paper concerns the central issues of model robustness and sample efficiency in offline reinforcement learning (RL), which aims to learn to perform decision making from history data without active exploration. Due to uncertainties and…

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…

Diffusion models are a new class of generative models that revolve around the estimation of the score function associated with a stochastic differential equation. Subsequent to its acquisition, the approximated score function is then…

Several scalable sample-based methods to compute the Kullback Leibler (KL) divergence between two distributions have been proposed and applied in large-scale machine learning models. While they have been found to be unstable, the…

A loss function measures the discrepancy between the true values (observations) and their estimated fits, for a given instance of data. A loss function is said to be proper (unbiased, Fisher consistent) if the fits are defined over a unit…

We study the worst-case probability that $Y$ outperforms a benchmark $X$ when the law of $Y$ lies in a Kullback-Leibler neighbourhood of the benchmark. The max-min problem over couplings admits a tractable dual (via optimal transport),…

We consider the parameter estimation problem of a probabilistic generative model prescribed using a natural exponential family of distributions. For this problem, the typical maximum likelihood estimator usually overfits under limited…

In this paper, we delve deeper into the Kullback-Leibler (KL) Divergence loss and mathematically prove that it is equivalent to the Decoupled Kullback-Leibler (DKL) Divergence loss that consists of (1) a weighted Mean Square Error (wMSE)…

Elicitable functionals and (strictly) consistent scoring functions are of interest due to their utility of determining (uniquely) optimal forecasts, and thus the ability to effectively backtest predictions. However, in practice, assuming…

This paper proposes a distributionally robust unit commitment approach for microgrids under net load and electricity market price uncertainty. The key thrust of the proposed approach is to leverage the Kullback-Leibler divergence to…

Neural Network (Deep Learning) is a modern model in Artificial Intelligence and it has been exploited in Survival Analysis. Although several improvements have been shown by previous works, training an excellent deep learning model requires…

The Kullback-Leibler (KL) divergence is frequently used in data science. For discrete distributions on large state spaces, approximations of probability vectors may result in a few small negative entries, rendering the KL divergence…

The Robust Satisficing (RS) model is an emerging approach to robust optimization, offering streamlined procedures and robust generalization across various applications. However, the statistical theory of RS remains unexplored in the…

In this paper, we study the strong consistency of a bias reduced kernel density estimator and derive a strongly con- sistent Kullback-Leibler divergence (KLD) estimator. As application, we formulate a goodness-of-fit test and an…

This manuscript introduces the idea of using Distributionally Robust Optimization (DRO) for the Counterfactual Risk Minimization (CRM) problem. Tapping into a rich existing literature, we show that DRO is a principled tool for…