Related papers: Robust Stochastic Outperformance under Kullback-Le…
We consider the parameter estimation problem of a probabilistic generative model prescribed using a natural exponential family of distributions. For this problem, the typical maximum likelihood estimator usually overfits under limited…
Empirical risk minimization, a cornerstone in machine learning, is often hindered by the Optimizer's Curse stemming from discrepancies between the empirical and true data-generating distributions.To address this challenge, the robust…
We consider the problem of constructing a least conservative estimator of the expected value $\mu$ of a non-negative heavy-tailed random variable. We require that the probability of overestimating the expected value $\mu$ is kept…
This paper proposes a distributionally robust unit commitment approach for microgrids under net load and electricity market price uncertainty. The key thrust of the proposed approach is to leverage the Kullback-Leibler divergence to…
This paper addresses a new interpretation of the traditional optimization method in reinforcement learning (RL) as optimization problems using reverse Kullback-Leibler (KL) divergence, and derives a new optimization method using forward KL…
The maximum likelihood method is the best-known method for estimating the probabilities behind the data. However, the conventional method obtains the probability model closest to the empirical distribution, resulting in overfitting. Then…
We study a worst-case approach to measure the sensitivity to model misspecification in the performance analysis of stochastic systems. The situation of interest is when only minimal parametric information is available on the form of the…
Optimization problems with stochastic dominance constraints provide a possibility to shape risk by selecting a benchmark random outcome with a desired distribution. The comparison of the relevant random outcomes to the respective benchmarks…
We study the maximum likelihood estimator of density of $n$ independent observations, under the assumption that it is well approximated by a mixture with a large number of components. The main focus is on statistical properties with respect…
We consider the fundamental problem of estimating a discrete distribution on a domain of size $K$ with high probability in Kullback-Leibler divergence. We provide upper and lower bounds on the minimax estimation rate, which show that the…
We consider model-based reinforcement learning in finite Markov De- cision Processes (MDPs), focussing on so-called optimistic strategies. In MDPs, optimism can be implemented by carrying out extended value it- erations under a constraint…
In this paper, we consider a distributionally robust optimization (DRO) model in which the ambiguity set is defined as the set of distributions whose Kullback-Leibler (KL) divergence to an empirical distribution is bounded. Utilizing the…
We consider robust variants of the standard optimal transport, named robust optimal transport, where marginal constraints are relaxed via Kullback-Leibler divergence. We show that Sinkhorn-based algorithms can approximate the optimal cost…
Bi-causal optimal transport (OT) is a natural framework for comparing and coupling stochastic processes under nonanticipative information constraints, with important applications in robust finance, sequential uncertainty quantification, and…
Kullback Leibler (KL) control problems allow for efficient computation of optimal control by solving a principal eigenvector problem. However, direct applicability of such framework to continuous state-action systems is limited. In this…
This paper considers the distributionally robust chance constrained Markov decision process with random reward and ambiguous reward distribution. We consider individual and joint chance constraint cases with Kullback-Leibler divergence…
The problem of estimating the Kullback-Leibler divergence $D(P\|Q)$ between two unknown distributions $P$ and $Q$ is studied, under the assumption that the alphabet size $k$ of the distributions can scale to infinity. The estimation is…
The problem of robust hedging requires to solve the problem of superhedging under a nondominated family of singular measures. Recent progress was achieved by [9,11]. We show that the dual formulation of this problem is valid in a context…
We reformulate a class of non-linear stochastic optimal control problems introduced by Todorov (2007) as a Kullback-Leibler (KL) minimization problem. As a result, the optimal control computation reduces to an inference computation and…
The deepening penetration of renewable resources into power systems entails great difficulties that have not been surmounted satisfactorily. An issue that merits special attention is the short-term planning of power systems under net load…