Related papers: Distributionally Robust Optimization with Adversar…

We consider a two-stage distributionally robust optimization (DRO) model with multimodal uncertainty, where both the mode probabilities and uncertainty distributions could be affected by the first-stage decisions. To address this setting,…

In contextual optimization, a decision-maker leverages contextual information, often referred to as covariates, to better resolve uncertainty and make informed decisions. In this paper, we examine the challenges of contextual…

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…

We propose kernel distributionally robust optimization (Kernel DRO) using insights from the robust optimization theory and functional analysis. Our method uses reproducing kernel Hilbert spaces (RKHS) to construct a wide range of convex…

Wasserstein distributionally robust optimization (WDRO) provides a framework for adversarial robustness, yet existing methods based on global Lipschitz continuity or strong duality often yield loose upper bounds or require prohibitive…

We consider optimal transport based distributionally robust optimization (DRO) problems with locally strongly convex transport cost functions and affine decision rules. Under conventional convexity assumptions on the underlying loss…

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…

Machine learning algorithms minimizing average risk are susceptible to distributional shifts. Distributionally Robust Optimization (DRO) addresses this issue by optimizing the worst-case risk within an uncertainty set. However, DRO suffers…

This paper introduces Inverse Distributionally Robust Optimization (I-DRO) as a method to infer the conservativeness level of a decision-maker, represented by the size of a Wasserstein metric-based ambiguity set, from the optimal decisions…

We propose a mathematically principled PDE gradient flow framework for distributionally robust optimization (DRO). Exploiting the recent advances in the intersection of Markov Chain Monte Carlo sampling and gradient flow theory, we show…

We show that several machine learning estimators, including square-root LASSO (Least Absolute Shrinkage and Selection) and regularized logistic regression can be represented as solutions to distributionally robust optimization (DRO)…

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…

Distributionally robust optimization (DRO) has been introduced for solving stochastic programs where the distribution of the random parameters is unknown and must be estimated by samples from that distribution. A key element of DRO is the…

Robust generalization aims to tackle the most challenging data distributions which are rare in the training set and contain severe noises, i.e., photon-limited corruptions. Common solutions such as distributionally robust optimization (DRO)…

Algorithmic robust statistics has traditionally focused on the contamination model where a small fraction of the samples are arbitrarily corrupted. We consider a recent contamination model that combines two kinds of corruptions: (i) small…

This paper presents a novel algorithmic study with extensive numerical experiments of distributionally robust multistage convex optimization (DR-MCO). Following the previous work on dual dynamic programming (DDP) algorithmic framework for…

This paper focuses on solving a data-driven distributionally robust optimization problem over a network of agents. The agents aim to minimize the worst-case expected cost computed over a Wasserstein ambiguity set that is centered at the…

Machine learning algorithms in high-dimensional settings are highly susceptible to the influence of even a small fraction of structured outliers, making robust optimization techniques essential. In particular, within the…

Neural networks are vulnerable to adversarial examples and researchers have proposed many heuristic attack and defense mechanisms. We address this problem through the principled lens of distributionally robust optimization, which guarantees…

Assigning importance weights to adversarial data has achieved great success in training adversarially robust networks under limited model capacity. However, existing instance-reweighted adversarial training (AT) methods heavily depend on…