Related papers: Fast Online Distributionally Robust Optimization v…
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…
We study distributionally robust online learning, where a risk-averse learner updates decisions sequentially to guard against worst-case distributions drawn from a Wasserstein ambiguity set centered at past observations. While this paradigm…
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…
We consider data-driven approaches that integrate a machine learning prediction model within distributionally robust optimization (DRO) given limited joint observations of uncertain parameters and covariates. Our framework is flexible in…
Distributionally Robust Optimization (DRO) provides a framework for decision-making under distributional uncertainty, yet its effectiveness can be compromised by outliers in the training data. This paper introduces a principled approach to…
In recent years, Wasserstein Distributionally Robust Optimization (DRO) has garnered substantial interest for its efficacy in data-driven decision-making under distributional uncertainty. However, limited research has explored the…
Distributionally robust optimization (DRO) has become a powerful framework for estimation under uncertainty, offering strong out-of-sample performance and principled regularization. In this paper, we propose a DRO-based method for linear…
This paper focuses on the contextual optimization problem where a decision is subject to some uncertain parameters and covariates that have some predictive power on those parameters are available before the decision is made. More…
We consider decision-making problems under decision-dependent uncertainty (DDU), where the distribution of uncertain parameters depends on the decision variables and is only observable through a finite offline dataset. To address this…
In this paper, we propose a practical online method for solving a class of distributionally robust optimization (DRO) with non-convex objectives, which has important applications in machine learning for improving the robustness of neural…
We present a computationally efficient framework, called $\texttt{FlowDRO}$, for solving flow-based distributionally robust optimization (DRO) problems with Wasserstein uncertainty sets while aiming to find continuous worst-case…
This monograph develops a comprehensive statistical learning framework that is robust to (distributional) perturbations in the data using Distributionally Robust Optimization (DRO) under the Wasserstein metric. Beginning with fundamental…
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…
To train machine learning models that are robust to distribution shifts in the data, distributionally robust optimization (DRO) has been proven very effective. However, the existing approaches to learning a distributionally robust model…
This paper studies Distributionally Robust Optimization (DRO), a fundamental framework for enhancing the robustness and generalization of statistical learning and optimization. An effective ambiguity set for DRO must involve distributions…
Wasserstein distributionally robust optimization (\textsf{WDRO}) is a popular model to enhance the robustness of machine learning with ambiguous data. However, the complexity of \textsf{WDRO} can be prohibitive in practice since solving its…
Despite superior performance in many situations, deep neural networks are often vulnerable to adversarial examples and distribution shifts, limiting model generalization ability in real-world applications. To alleviate these problems,…
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…
Digital Twin (DT) is a transformative technology poised to revolutionize a wide range of applications. This advancement has led to the emergence of digital twin as a service (DTaaS), enabling users to interact with DT models that accurately…
Structuring ambiguity sets in Wasserstein-based distributionally robust optimization (DRO) can improve their statistical properties when the uncertainty consists of multiple independent components. The aim of this paper is to solve…