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The maximum mean discrepancy and Wasserstein distance are popular distance measures between distributions and play important roles in many machine learning problems such as metric learning, generative modeling, domain adaption, and…
We propose an adjusted Wasserstein distributionally robust estimator -- based on a nonlinear transformation of the Wasserstein distributionally robust (WDRO) estimator in statistical learning. The classic WDRO estimator is asymptotically…
Wasserstein distributionally robust optimization offers a framework for model fitting in machine learning under potential shifts in the data distribution. We study a regularized variant of this problem in which entropic smoothing produces a…
Single-level reformulations of (non-convex) distributionally robust optimization (DRO) problems are often intractable, as they contain semiinfinite dual constraints. Based on such a semiinfinite reformulation, we present a safe…
This work presents a new Distributionally Robust Optimization approach, using $p$-Wasserstein metrics, to analyze a stochastic program in a general context. The ambiguity set in this approach depends on the decision variable and is…
Group distributionally robust optimization (GDRO) aims to develop models that perform well across $m$ distributions simultaneously. Existing GDRO algorithms can only process a fixed number of samples per iteration, either 1 or $m$, and…
We consider the distributionally robust optimization (DRO) problem with spectral risk-based uncertainty set and $f$-divergence penalty. This formulation includes common risk-sensitive learning objectives such as regularized condition…
This paper proposes a novel approach to construct data-driven online solutions to optimization problems (P) subject to a class of distributionally uncertain dynamical systems. The introduced framework allows for the simultaneous learning of…
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 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…
Modern machine learning models may be susceptible to learning spurious correlations that hold on average but not for the atypical group of samples. To address the problem, previous approaches minimize the empirical worst-group risk. Despite…
We address the challenge of sequential data-driven decision-making under context distributional uncertainty. This problem arises in numerous real-world scenarios where the learner optimizes black-box objective functions in the presence of…
Domain adaptation (DA) is an important and emerging field of machine learning that tackles the problem occurring when the distributions of training (source domain) and test (target domain) data are similar but different. Current theoretical…
Stochastic Optimization (SO) is a classical approach for optimization under uncertainty that typically requires knowledge about the probability distribution of uncertain parameters. As the latter is often unknown, Distributionally Robust…
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.…
Domain adaptation aims to generalise a high-performance learner on target domain (non-labelled data) by leveraging the knowledge from source domain (rich labelled data) which comes from a different but related distribution. Assuming the…
We study the causal distributionally robust optimization (DRO) in both discrete- and continuous- time settings. The framework captures model uncertainty, with potential models penalized in function of their adapted Wasserstein distance to 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…
We study the distributionally robust optimization (DRO) in a dynamic context where the model uncertainty is captured by penalizing potential models in function of their adapted Wasserstein distance to a given reference model. We consider…
In recent years, two prominent paradigms have shaped distributionally robust optimization (DRO), modeling distributional ambiguity through $\phi$-divergences and Wasserstein distances, respectively. While the former focuses on ambiguity in…