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We introduce a framework for quantifying propagation of uncertainty arising in a dynamic setting. Specifically, we define dynamic uncertainty sets designed explicitly for discrete stochastic processes over a finite time horizon. These…

风险管理 · 定量金融 2024-02-05 Marlon Moresco , Mélina Mailhot , Silvana M. Pesenti

Modeling observations as random distributions embedded within Wasserstein spaces is becoming increasingly popular across scientific fields, as it captures the variability and geometric structure of the data more effectively. However, the…

统计理论 · 数学 2026-04-08 François Bachoc , Alberto González-Sanz , Jean-Michel Loubes , Yisha Yao

The generative adversarial network (GAN) is a well-known model for learning high-dimensional distributions, but the mechanism for its generalization ability is not understood. In particular, GAN is vulnerable to the memorization phenomenon,…

机器学习 · 计算机科学 2026-02-18 Hongkang Yang , Weinan E

Through an uncertainty quantification (UQ) perspective, we show that score-based generative models (SGMs) are provably robust to the multiple sources of error in practical implementation. Our primary tool is the Wasserstein uncertainty…

The analysis of parametric and non-parametric uncertainties of very large dynamical systems requires the construction of a stochastic model of said system. Linear approaches relying on random matrix theory and principal componant analysis…

机器学习 · 统计学 2023-02-02 Hamza Boukraichi , Nissrine Akkari , Fabien Casenave , David Ryckelynck

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…

最优化与控制 · 数学 2021-10-13 Insoon Yang

A machine learning model that generalizes well should obtain low errors on unseen test examples. Thus, if we learn an optimal model in training data, it could have better generalization performance in testing tasks. However, learning such a…

计算机视觉与模式识别 · 计算机科学 2023-02-22 Penghao Jiang , Xin Ke , ZiFeng Wang , Chunxi Li

In this paper, we analyze the scalability of a recent Wasserstein-distance approach for training stochastic neural networks (SNNs) to reconstruct multidimensional random field models. We prove a generalization error bound for reconstructing…

机器学习 · 计算机科学 2025-11-19 Mingtao Xia , Qijing Shen

The robustness of risk measures to changes in underlying loss distributions (distributional uncertainty) is of crucial importance in making well-informed decisions. In this paper, we quantify, for the class of distortion risk measures with…

风险管理 · 定量金融 2023-03-14 Carole Bernard , Silvana M. Pesenti , Steven Vanduffel

It has long been thought that high-dimensional data encountered in many practical machine learning tasks have low-dimensional structure, i.e., the manifold hypothesis holds. A natural question, thus, is to estimate the intrinsic dimension…

机器学习 · 统计学 2022-06-01 Adam Block , Zeyu Jia , Yury Polyanskiy , Alexander Rakhlin

We study quantum neural networks where the generated function is the expectation value of the sum of single-qubit observables across all qubits. In [Girardi \emph{et al.}, arXiv:2402.08726], it is proven that the probability distributions…

We study a class of distributionally robust games where agents are allowed to heterogeneously choose their risk aversion with respect to distributional shifts of the uncertainty. In our formulation, heterogeneous Wasserstein ball…

最优化与控制 · 数学 2025-12-08 Zifan Wang , Georgios Pantazis , Sergio Grammatico , Michael M. Zavlanos , Karl H. Johansson

The Wasserstein distance is an attractive tool for data analysis but statistical inference is hindered by the lack of distributional limits. To overcome this obstacle, for probability measures supported on finitely many points, we derive…

统计方法学 · 统计学 2017-04-27 Max Sommerfeld , Axel Munk

It is well-known that deep neural networks (DNNs) are susceptible to adversarial attacks, exposing a severe fragility of deep learning systems. As the result, adversarial training (AT) method, by incorporating adversarial examples during…

机器学习 · 计算机科学 2022-03-01 Tuan Anh Bui , Trung Le , Quan Tran , He Zhao , Dinh Phung

Wasserstein distributionally robust control (DRC) recently emerges as a principled paradigm for handling uncertainty in stochastic dynamical systems. However, it constructs data-driven ambiguity sets via uniform distribution shifts before…

最优化与控制 · 数学 2025-10-14 Jingyi Wu , Chao Ning , Yang Shi

The paper studies the robustness properties of discrete-time stochastic optimal control under Wasserstein model approximation for both discounted-cost and average-cost criteria. Specifically, we study the performance loss when applying an…

系统与控制 · 电气工程与系统科学 2026-03-10 Yichen Zhou , Yanglei Song , Serdar Yüksel

The Gromov-Wasserstein (GW) distance is an effective measure of alignment between distributions supported on distinct ambient spaces. Calculating essentially the mutual departure from isometry, it has found vast usage in domain translation…

机器学习 · 统计学 2024-12-23 Anish Chakrabarty , Arkaprabha Basu , Swagatam Das

Obtaining deep networks that are robust against adversarial examples and generalize well is an open problem. A recent hypothesis even states that both robust and accurate models are impossible, i.e., adversarial robustness and…

计算机视觉与模式识别 · 计算机科学 2019-04-11 David Stutz , Matthias Hein , Bernt Schiele

Algorithms often have tunable parameters that impact performance metrics such as runtime and solution quality. For many algorithms used in practice, no parameter settings admit meaningful worst-case bounds, so the parameters are made…

机器学习 · 计算机科学 2021-04-27 Maria-Florina Balcan , Dan DeBlasio , Travis Dick , Carl Kingsford , Tuomas Sandholm , Ellen Vitercik

We study the problem of robust distribution estimation under the Wasserstein distance, a popular discrepancy measure between probability distributions rooted in optimal transport (OT) theory. Given $n$ samples from an unknown distribution…

机器学习 · 统计学 2024-09-25 Sloan Nietert , Rachel Cummings , Ziv Goldfeld