Related papers: Scaling limits of multi-period distributionally ro…

Markov decision processes (MDPs) are known to be sensitive to parameter specification. Distributionally robust MDPs alleviate this issue by allowing for \emph{ambiguity sets} which give a set of possible distributions over parameter sets.…

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…

Deep neural networks are known to be vulnerable to adversarial attacks (AA). For an image recognition task, this means that a small perturbation of the original can result in the image being misclassified. Design of such attacks as well as…

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…

A common goal in statistics and machine learning is to learn models that can perform well against distributional shifts, such as latent heterogeneous subpopulations, unknown covariate shifts, or unmodeled temporal effects. We develop and…

We analyze the effect of small changes in the underlying probabilistic model on the value of multi-period stochastic optimization problems and optimal stopping problems. We work in finite discrete time and measure these changes with the…

Noisy data are often viewed as a challenge for decision-making. This paper studies a distributionally robust optimization (DRO) that shows how such noise can be systematically incorporated. Rather than applying DRO to the noisy empirical…

We study portfolio selection with a Conditional Value-at-Risk (CVaR) constraint under distribution shift and serial dependence. While Wasserstein distributionally robust optimization (DRO) offers tractable protection via an ambiguity ball…

In this paper, we study the two-stage distributionally robust optimization (DRO) problem from the primal perspective. Unlike existing approaches, this perspective allows us to build a deeper and more intuitive understanding on DRO, to…

In recent years, there has been a growing research interest in decision-focused learning, which embeds optimization problems as a layer in learning pipelines and demonstrates a superior performance than the prediction-focused approach.…

In this work, we present an algorithmically tractable safe approximation of distributionally robust optimization (DRO) problems that contain univariate indicator functions. The latter appear in different applications, but render the model…

In this paper, we show that interventionally robust optimization problems in causal models are continuous under the $G$-causal Wasserstein distance, but may be discontinuous under the standard Wasserstein distance. This highlights the…

Many machine learning tasks involve subpopulation shift where the testing data distribution is a subpopulation of the training distribution. For such settings, a line of recent work has proposed the use of a variant of empirical risk…

This paper investigates the robust optimal control of sampled-data stochastic systems with multiplicative noise and distributional ambiguity. We consider a class of discrete-time optimal control problems where the controller \emph{jointly}…

Distributionally Robust Optimisation (DRO) protects risk-averse decision-makers by considering the worst-case risk within an ambiguity set of distributions based on the empirical distribution or a model. To further guard against finite,…

We propose a distributionally robust approach to learning hyperparameters for first-order methods in convex optimization. Given a dataset of problem instances, we minimize a Wasserstein distributionally robust version of the performance…

Graphs are playing a crucial role in different fields since they are powerful tools to unveil intrinsic relationships among signals. In many scenarios, an accurate graph structure representing signals is not available at all and that…

Models trained with empirical risk minimization (ERM) are revealed to easily rely on spurious correlations, resulting in poor generalization. Group distributionally robust optimization (group DRO) can alleviate this problem by minimizing…

A central goal of machine learning is to learn robust representations that capture the causal relationship between inputs features and output labels. However, minimizing empirical risk over finite or biased datasets often results in models…

Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributionally robust methodology for high-dimensional mean-variance…