相关论文: A Bayesian Risk Approach to Data-driven Stochastic…

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…

While Bayesian Optimization (BO) is a very popular method for optimizing expensive black-box functions, it fails to leverage the experience of domain experts. This causes BO to waste function evaluations on bad design choices (e.g., machine…

Optimizing expensive black-box objectives over mixed search spaces is a common challenge across the natural sciences. Bayesian optimization (BO) offers sample-efficient strategies through probabilistic surrogate models and acquisition…

This paper considers a distributed adaptive optimization problem, where all agents only have access to their local cost functions with a common unknown parameter, whereas they mean to collaboratively estimate the true parameter and find the…

In black-box function optimization, we need to consider not only controllable design variables but also uncontrollable stochastic environment variables. In such cases, it is necessary to solve the optimization problem by taking into account…

Distributionally robust stochastic optimization (DRSO) is a framework for decision-making problems under certainty, which finds solutions that perform well for a chosen set of probability distributions. Many different approaches for…

Within a Bayesian decision theoretic framework we investigate some asymptotic optimality properties of a large class of multiple testing rules. A parametric setup is considered, in which observations come from a normal scale mixture model…

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…

We establish a connection between distributionally robust optimization (DRO) and classical robust statistics. We demonstrate that this connection arises naturally in the context of estimation under data corruption, where the goal is to…

Distributionally Robust Optimization (DRO), which aims to find an optimal decision that minimizes the worst case cost over the ambiguity set of probability distribution, has been widely applied in diverse applications, e.g., network…

This paper deals with the identification of linear stochastic dynamical systems, where the unknowns include system coefficients and noise variances. Conventional approaches that rely on the maximum likelihood estimation (MLE) require…

This paper considers Bayesian optimization (BO) for problems with known outer problem structure. In contrast to the classic BO setting, where the objective function itself is unknown and needs to be iteratively estimated from noisy…

This paper investigates group distributionally robust optimization (GDRO) with the goal of learning a model that performs well over $m$ different distributions. First, we formulate GDRO as a stochastic convex-concave saddle-point problem,…

Bayesian Optimization (BO) is a popular framework for optimizing black-box functions. Despite its effectiveness, BO is often inefficient for high-dimensional problems due to the exponential growth of the search space, heterogeneity of the…

A body of work has been done to automate machine learning algorithm to highlight the importance of model choice. Automating the process of choosing the best forecasting model and its corresponding parameters can result to improve a wide…

Performative prediction aims to model scenarios where predictive outcomes subsequently influence the very systems they target. The pursuit of a performative optimum (PO) -- minimizing performative risk -- is generally reliant on modeling of…

To address the needs of modeling uncertainty in sensitive machine learning applications, the setup of distributionally robust optimization (DRO) seeks good performance uniformly across a variety of tasks. The recent multi-distribution…

Inverse optimization (IO) is used to estimate unknown parameters of an optimization model from observed decisions. In the data-driven context, the estimated parameters are inherently uncertain, yet quantifying this uncertainty has received…

Bayesian optimization (BO) is a class of sample-efficient global optimization methods, where a probabilistic model conditioned on previous observations is used to determine future evaluations via the optimization of an acquisition function.…

We study a single-server appointment scheduling problem with a fixed sequence of appointments, for which we must determine the arrival time for each appointment. We specifically examine two stochastic models. In the first model, we assume…