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Data-driven Distributionally Robust Optimization (DD-DRO) via optimal transport has been shown to encompass a wide range of popular machine learning algorithms. The distributional uncertainty size is often shown to correspond to the…
We study distributionally robust optimization (DRO) problems where the ambiguity set is defined using the Wasserstein metric. We show that this class of DRO problems can be reformulated as semi-infinite programs. We give an exchange method…
In this paper, we develop a two-stage data-driven approach to address the adjustable robust optimization problem, where the uncertainty set is adjustable to manage infeasibility caused by significant or poorly quantified uncertainties. In…
Distributionally-robust optimization is often studied for a fixed set of distributions rather than time-varying distributions that can drift significantly over time (which is, for instance, the case in finance and sociology due to…
Many stochastic optimization problems include chance constraints that enforce constraint satisfaction with a specific probability; however, solving an optimization problem with chance constraints assumes that the solver has access to the…
This paper studies a data-driven predictive control for a class of control-affine systems which is subject to uncertainty. With the accessibility to finite sample measurements of the uncertain variables, we aim to find controls which are…
We introduce a novel approach for analyzing the performance of first-order black-box optimization methods. We focus on smooth unconstrained convex minimization over the Euclidean space $R^d$. Our approach relies on the observation that by…
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…
The performance of machine learning (ML) models critically depends on the quality and representativeness of the training data. In applications with multiple heterogeneous data generating sources, standard ML methods often learn spurious…
We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance constraints hold with respect to all probability distributions in a Wasserstein ball centered at the…
We study a variety of Wasserstein distributionally robust optimization (WDRO) problems where the distributions in the ambiguity set are chosen by constraining their Wasserstein discrepancies to the empirical distribution. Using the notion…
We develop and analyze algorithms for distributionally robust optimization (DRO) of convex losses. In particular, we consider group-structured and bounded $f$-divergence uncertainty sets. Our approach relies on an accelerated method that…
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…
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 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…
In recent years, two prominent paradigms have shaped distributionally robust optimization (DRO), modeling distributional ambiguity through $\phi$-divergences and Wasserstein distances, respectively. While the former focuses on ambiguity in…
We study finite-sample statistical performance guarantees for distributionally robust optimization (DRO) with optimal transport (OT) and OT-regularized divergence model neighborhoods. Specifically, we derive concentration inequalities for…
We present in this paper some worst-case datasets of deterministic first-order methods for solving large-scale binary logistic regression problems. Under the assumption that the number of algorithm iterations is much smaller than the…
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)…
Standard stochastic control methods assume that the probability distribution of uncertain variables is available. Unfortunately, in practice, obtaining accurate distribution information is a challenging task. To resolve this issue, we…