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We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a $p$-dimensional Gaussian random vector from $n$ independent samples. The proposed model…
We study first-order optimality conditions for constrained optimization in the Wasserstein space, whereby one seeks to minimize a real-valued function over the space of probability measures endowed with the Wasserstein distance. Our…
There are numerous industrial settings in which a decision maker must decide whether to enter into long-term contracts to guarantee price (and hence cash flow) stability or to participate in more volatile spot markets. In this paper, we…
The optimal power flow (OPF) problem minimizes power system operating cost subject to both engineering and network constraints. With the potential to find global solutions, significant research interest has focused on convex relaxations of…
In this work, we develop a novel data-driven Bayesian nonparametric Wasserstein distributionally robust optimization (BNWDRO) framework for decision-making under uncertainty. The proposed framework unifies a Bayesian nonparametric method…
In this paper, a risk-aware motion control scheme is considered for mobile robots to avoid randomly moving obstacles when the true probability distribution of uncertainty is unknown. We propose a novel model predictive control (MPC) method…
We propose an online data compression approach for efficiently solving distributionally robust optimization (DRO) problems with streaming data while maintaining out-of-sample performance guarantees. Our method dynamically constructs…
This paper presents a novel methodology for tractably solving optimal control and offline reinforcement learning problems for high-dimensional systems. This work is motivated by the ongoing challenges of safety, computation, and optimality…
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…
Convex relaxations of non-convex optimal power flow (OPF) problems have recently attracted significant interest. While existing relaxations globally solve many OPF problems, there are practical problems for which existing relaxations fail…
Distributionally robust supervised learning (DRSL) is emerging as a key paradigm for building reliable machine learning systems for real-world applications -- reflecting the need for classifiers and predictive models that are robust to the…
We suggest that the tools of contraction analysis for deterministic systems can be applied towards studying the convergence behavior of stochastic dynamical systems in the Wasserstein metric. In particular, we consider the case of Ito…
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…
The goal of this paper is to develop methodology for the systematic analysis of asymptotic statistical properties of data driven DRO formulations based on their corresponding non-DRO counterparts. We illustrate our approach in various…
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…
We study optimization problems whereby the optimization variable is a probability measure. Since the probability space is not a vector space, many classical and powerful methods for optimization (e.g., gradients) are of little help. Thus,…
The aim of this paper is to address the challenge of gradual domain adaptation within a class of manifold-constrained data distributions. In particular, we consider a sequence of $T\ge2$ data distributions $P_1,\ldots,P_T$ undergoing a…
The paper studies the robustness properties of discrete-time stochastic optimal control under Wasserstein model approximation for both discounted-cost and average-cost criteria. Specifically, we study the performance loss when applying an…
Modern statistical inference tasks often require iterative optimization methods to compute the solution. Convergence analysis from an optimization viewpoint only informs us how well the solution is approximated numerically but overlooks the…
In many real-world applications, ensuring the robustness and stability of deep neural networks (DNNs) is crucial, particularly for image classification tasks that encounter various input perturbations. While data augmentation techniques…