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We consider statistical methods which invoke a min-max distributionally robust formulation to extract good out-of-sample performance in data-driven optimization and learning problems. Acknowledging the distributional uncertainty in learning…
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…
Many decision problems in science, engineering and economics are affected by uncertain parameters whose distribution is only indirectly observable through samples. The goal of data-driven decision-making is to learn a decision from finitely…
Off-policy evaluation and learning are concerned with assessing a given policy and learning an optimal policy from offline data without direct interaction with the environment. Often, the environment in which the data are collected differs…
Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of…
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…
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…
Data-driven distributionally robust optimization is a recently emerging paradigm aimed at finding a solution that is driven by sample data but is protected against sampling errors. An increasingly popular approach, known as Wasserstein…
The effects of treatments are often heterogeneous, depending on the observable characteristics, and it is necessary to exploit such heterogeneity to devise individualized treatment rules (ITRs). Existing estimation methods of such ITRs…
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…
We consider a data-driven robust hypothesis test where the optimal test will minimize the worst-case performance regarding distributions that are close to the empirical distributions with respect to the Wasserstein distance. This leads to a…
We investigate a stochastic program with expected value constraints, addressing the problem in a general context through Distributionally Robust Optimization (DRO) approach using Wasserstein distances, where the ambiguity set depends on the…
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…
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 study distributionally robust optimization (DRO) problems with uncertainty sets consisting of high-dimensional random vectors that are close in the multivariate Wasserstein distance to a reference random vector. We give conditions when…
Distributionally robust optimization (DRO) has emerged as a powerful paradigm for reliable decision-making under uncertainty. This paper focuses on DRO with ambiguity sets defined via the Sinkhorn discrepancy: an entropy-regularized…
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…
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) is an effective approach for data-driven decision-making in the presence of uncertainty. Geometric uncertainty due to sampling or localized perturbations of data points is captured by Wasserstein…