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We study decision problems under uncertainty, where the decision-maker has access to $K$ data sources that carry {\em biased} information about the underlying risk factors. The biases are measured by the mismatch between the risk factor…
We present a novel framework for distributionally robust optimization (DRO), called cost-aware DRO (CADRO). The key idea of CADRO is to exploit the cost structure in the design of the ambiguity set to reduce conservatism. Particularly, the…
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…
Noisy data are often viewed as a challenge for decision-making. This paper studies a distributionally robust optimization (DRO) that shows how such noise can be systematically incorporated. Rather than applying DRO to the noisy empirical…
In this paper we wish to tackle stochastic programs affected by ambiguity about the probability law that governs their uncertain parameters. Using optimal transport theory, we construct an ambiguity set that exploits the knowledge about the…
We establish a connection between distributionally robust optimization (DRO) and classical robust statistics. We demonstrate that this connection arises naturally in the context of estimation under data corruption, where the goal is to…
The study of robustness has received much attention due to its inevitability in data-driven settings where many systems face uncertainty. One such example of concern is Bayesian Optimization (BO), where uncertainty is multi-faceted, yet…
We study decision dependent distributionally robust optimization models, where the ambiguity sets of probability distributions can depend on the decision variables. These models arise in situations with endogenous uncertainty. The developed…
Distributionally robust optimization is used to tackle decision making problems under uncertainty where the distribution of the uncertain data is ambiguous. Many ambiguity sets have been proposed for continuous uncertainty that build on…
Optimal-Transport Distributionally Robust Optimization (OT-DRO) robustifies data-driven decision-making under uncertainty by capturing the sampling-induced statistical error via optimal transport ambiguity sets. The standard OT-DRO pipeline…
Utility preference robust optimization (PRO) has recently been proposed to deal with optimal decision making problems where the decision maker's (DM) preference over gains and losses is ambiguous. In this paper, we take a step further to…
A large class of stochastic programs involve optimizing an expectation taken with respect to an underlying distribution that is unknown in practice. One popular approach to addressing the distributional uncertainty, known as the…
The distributionally robust Markov Decision Process (MDP) approach asks for a distributionally robust policy that achieves the maximal expected total reward under the most adversarial distribution of uncertain parameters. In this paper, we…
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…
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…
Robust MDPs (RMDPs) can be used to compute policies with provable worst-case guarantees in reinforcement learning. The quality and robustness of an RMDP solution are determined by the ambiguity set---the set of plausible transition…
When performing the resilience enhancement for distribution networks, there are two obstacles to reliably model the uncertain contingencies: 1) decision-dependent uncertainty (DDU) due to various line hardening decisions, and 2)…
We propose a Distributionally Robust Optimization (DRO) formulation with a Wasserstein-based uncertainty set for selecting grouped variables under perturbations on the data for both linear regression and classification problems. The…
Distributionally Robust Optimization (DRO), which aims to find an optimal decision that minimizes the worst case cost over the ambiguity set of probability distribution, has been widely applied in diverse applications, e.g., network…
In stochastic optimal control (SOC), uncertainty may arise from incomplete knowledge of the true probability distribution of the underlying environment, which is known as Knightian or epistemic uncertainty. Distributionally robust optimal…