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We present a distributionally robust formulation of a stochastic optimization problem for non-i.i.d vector autoregressive data. We use the Wasserstein distance to define robustness in the space of distributions and we show, using duality…
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…
This brief note aims to introduce the recent paradigm of distributional robustness in the field of shape and topology optimization. Acknowledging that the probability law of uncertain physical data is rarely known beyond a rough…
We consider a class of stochastic optimal control problems for discrete-time stochastic linear systems which seek for control policies that will steer the probability distribution of the terminal state of the system close to a desired…
In problems that involve input parameter information gathered from multiple data sources with varying reliability, incorporating decision makers' trust on different sources in optimization models can potentially improve solution…
This paper studies adaptive distributionally robust dispatch (DRD) of the multi-energy microgrid under supply and demand uncertainties. A Wasserstein ambiguity set is constructed to support data-driven decision-making. By fully leveraging…
Wasserstein distributionally robust optimization (WDRO) attempts to learn a model that minimizes the local worst-case risk in the vicinity of the empirical data distribution defined by Wasserstein ball. While WDRO has received attention as…
Discrete-time stochastic systems are an essential modelling tool for many engineering systems. We consider stochastic control systems that are evolving over continuous spaces. For this class of models, methods for the formal verification…
Robustness to adversarial attacks is an important concern due to the fragility of deep neural networks to small perturbations and has received an abundance of attention in recent years. Distributionally Robust Optimization (DRO), a…
Off-policy evaluation and learning are concerned with assessing a given policy and learning an optimal policy from offline data without direct interaction with the environment. Often, the environment in which the data are collected differs…
This paper expands the notion of robust moment problems to incorporate distributional ambiguity using Wasserstein distance as the ambiguity measure. The classical Chebyshev-Cantelli (zeroth partial moment) inequalities, Scarf and Lo (first…
We study the optimal control of general stochastic McKean-Vlasov equation. Such problem is motivated originally from the asymptotic formulation of cooperative equilibrium for a large population of particles (players) in mean-field…
Wasserstein distributionally robust optimization (DRO) has recently achieved empirical success for various applications in operations research and machine learning, owing partly to its regularization effect. Although connection between…
Distributionally robust optimization (DRO) is a powerful technique to train robust models against data distribution shift. This paper aims to solve regularized nonconvex DRO problems, where the uncertainty set is modeled by a so-called…
We consider a class of stochastic interdiction games between an upper-level decision-maker (the leader) and a lower-level decision-maker (the follower), where uncertainty lies in the follower's objective function coefficients. Specifically,…
This paper studies a class of multiagent stochastic optimization problems where the objective is to minimize the expected value of a function which depends on a random variable. The probability distribution of the random variable is unknown…
This paper considers the problem of regression over distributions, which is becoming increasingly important in machine learning. Existing approaches often ignore the geometry of the probability space or are computationally expensive. To…
In this paper we present a dynamic programing approach to stochastic optimal control problems with dynamic, time-consistent risk constraints. Constrained stochastic optimal control problems, which naturally arise when one has to consider…
This paper proposes a distributionally robust approach to logistic regression. We use the Wasserstein distance to construct a ball in the space of probability distributions centered at the uniform distribution on the training samples. If…
In Bayesian statistics, posterior contraction rates (PCRs) quantify the speed at which the posterior distribution concentrates on arbitrarily small neighborhoods of a true model, in a suitable way, as the sample size goes to infinity. In…