A new framework for performative prediction robust to distributional misspecification.
problem Performative prediction models can be influenced by their own predictions, leading to suboptimal outcomes.
method Introduces distributionally robust performative prediction (DRPO) to approximate the true performative optimum (PO) robustly.
result DRPO provides provable guarantees as a robust approximation to the true PO when the nominal distribution map is misspecified.
Develops robust learning framework under distributional perturbations.
problem Learning robust to data distributional changes.
method Distributionally Robust Optimization (DRO) under Wasserstein metric.
result Establishes performance guarantees and tractable formulations.
End-to-end portfolio system accounts for model risk.
problem Model risk in portfolio selection.
method Distributionally robust optimization with convex duality.
result Explicitly accounts for model risk in portfolio selection.
Novel causal effect estimators and distributionally robust prediction methods.
problem Estimating causal effects and distributional robustness in statistical models.
method Developed novel estimators and proposed a general framework for distributional robustness.
result Mean squared error improvements in causal effect estimation compared to existing methods.
Enhances survival analysis predictions with a robust learning approach.
problem Improving robustness and accuracy in survival analysis predictions.
method Integrates Distributionally Robust Learning (DRL) into Cox regression using Wasserstein distance-based ambiguity set.
result Demonstrates superior performance in prediction accuracy and robustness compared to traditional methods.
Extends ML fairness to handle minority groups over time.
problem Limitations of existing fairness criteria.
method Performative Distributionally Robust Optimization.
result Improves fairness for minority groups over time.
Paper proves robust estimators' generalization guarantees without dimensionality issues.
problem Generalization guarantees for Wasserstein distributionally robust models.
method Analyzes and extends existing guarantees to broader classes of models and regularized versions.
result Generalization guarantees hold without dimensionality issues and cover distribution shifts.
Flexible framework integrates machine learning and DRO for uncertain parameter prediction.
problem Limited joint observations of uncertain parameters and covariates.
method Wasserstein, sample robust optimization, and phi-divergence-based ambiguity sets.
result Validation of theoretical and practical benefits in limited data scenarios.
Proposes a method to learn adaptive ambiguity sets for robust optimization.
problem Misspecification in distributionally robust optimization (DRO).
method Learned predictive ambiguity sets (LPAS) using deep contextual models.
result Significantly improves portfolio optimization performance compared to baselines.
CreDRO learns credal ensembles via distributionally robust optimization, improving EU quantification.
problem Quantifying predictive epistemic uncertainty in credal models.
method Distributionally robust optimization to capture EU from training randomness and potential distribution shifts.
result Empirically, CreDRO outperforms existing credal methods on various tasks.
A general duality proof for Wasserstein distributionally robust optimization.
problem Optimizing under uncertainty with Wasserstein distance.
method One-dimensional convex analysis and interchangeability principle.
result General duality result holds for various distributions and costs.
Improved robustness in multivariate regression and classification with DRO under Wasserstein metric.
problem Outliers in covariates and responses.
method Distributionally Robust Optimization (DRO) with Wasserstein metric ambiguity set and regularization.
result Significant improvement in predictive error and robustness.
This paper improves active learning for Gaussian process regression to handle distributional uncertainty.
problem Active learning for Gaussian process regression does not guarantee accurate predictions for target distributions.
method Proposes two methods to reduce worst-case expected error for Gaussian process regression.
result Shows an upper bound of the worst-case expected squared error, suggesting finite data labels can achieve arbitrarily small error.
Wasserstein distributionally robust optimization estimators are obtained as solutions of min-max problems in which the statistician selects a parameter minimizing the worst-case loss among all probability models within a certain distance (in a Wasserstein sense) from the underlying empirical measure. While motivated by…
Proposes a fair classification model using robust optimization.
problem Preventing discrimination in classification models.
method Distributionally robust logistic regression with Wasserstein ball and convex unfairness measure.
result Improves fairness with minimal loss in predictive accuracy.
DRFLM improves federated learning by handling data heterogeneity and noise.
problem Data heterogeneity and noise in federated learning.
method Distributionally robust optimization and mixup techniques.
result Enhanced global model prediction accuracy through robust optimization and local mixup.
We propose a robust estimator to improve maximum likelihood in probabilistic models.
problem Overfitting and sensitivity to noise in maximum likelihood estimation.
method Distributionally robust maximum likelihood estimator that minimizes worst-case expected log-loss.
result The robust estimator is statistically consistent and performs well in regression and classification tasks.
Paper develops robust OPF method using contextual information.
problem Optimal Power Flow problem under incomplete uncertainty knowledge.
method Distributionally robust chance-constrained formulation with probability trimmings and optimal transport.
result Distributional robustness improves expected cost and system reliability.
Improves domain adaptation by combining multiple source domains and target domain data.
problem Poor performance of empirical risk minimization in distributionally shifted target domains.
method Distributionally robust model optimizing adversarial reward based on explained variance across multiple source domains.
result The robust model is a weighted average of conditional outcome models from source domains.
Develops a robust multiclass classification method for deep image classifiers.
problem Tackles data contamination and robustness to outliers in deep image classifiers.
method Uses Distributionally Robust Optimization (DRO) with Wasserstein metric ambiguity sets and regularized learning.
result Reduces test error rate by up to 83.5% and loss by up to 91.3% in image classification tasks.
The paper tackles skeptical binary inferences in multi-label problems with sets of probabilities.
problem Making distributionally robust, skeptical inferences for multi-label problems.
method Study of distributionally robust, skeptical inferences for multi-label problems using Hamming loss.
result Skeptical inferences provide partial predictions for a sufficiently big set of probability distributions.
New scalable methods for robust model learning from large datasets.
problem Training robust models resistant to data distribution shifts.
method Composite optimization for distributionally robust optimization (DRO).
result Scalable methods for learning robust models from large datasets.
Tikhonov regularization is robust under specific martingale constraints in distributionally robust optimization.
problem Distributionally robust optimization and regularization of learning models.
method Optimal transport approach with martingale constraints.
result Tikhonov regularization is optimal transport robust under specified martingale constraints.
New method improves model explainability and accuracy with low computational cost.
problem Improving model explainability and accuracy in classification models.
method Distributionally robust optimization to learn sparse ensembles of rule sets.
result Improves model performance on various metrics compared to competing methods.
New approach improves model generalization through distributionally robust learning.
problem Improving model generalization in machine learning.
method Stochastic gradient descent applied to the outer minimization problem, with gradient estimation through multi-level Monte Carlo randomization.
result Our approach yields significant benefits over previous work in numerical experiments.
New algorithms improve DRSL for large-scale problems.
problem Distributionally robust learning for real-world applications.
method Variance-reduced stochastic extra-gradient algorithms for min-max optimization.
result Provable faster convergence rates than existing approaches.
Proposes a robust optimization method for selecting grouped variables robustly.
problem Selecting grouped variables under data perturbations for regression and classification.
method Distributionally Robust Optimization (DRO) with Wasserstein uncertainty set.
result Coefficients in the same group converge to the same value as sample correlation approaches 1.
New algorithm improves RL performance across different environments.
problem Improving reinforcement learning performance across various environments.
method Designing a fully model-free DRRL algorithm that learns from a single trajectory.
result Demonstrates superior robustness and sample efficiency compared to existing methods.
New regularizer for machine learning using private data.
problem Machine learning with private data.
method Distributionally-robust optimization with locally-differentially-private datasets.
result New regularizer for training linear regression models.
The paper connects three machine learning methods to reduce generalization errors.
problem Reducing generalization errors in machine learning models.
method Distributionally robust optimization, Bayesian methods, and regularization.
result Machine learning models can be characterized using distributional uncertainty and robustness measures.
Proposes using Wasserstein barycenters for robust optimization with multiple data sources.
problem Distributionally robust optimization with multiple heterogeneous data sources.
method Construct nominal distribution through Wasserstein barycenter of multiple data samples, reformulates as a finite convex program.
result Proposed scheme outperforms other estimators in sparse inverse covariance matrix estimation.
Robustness to distributional shift is one of the key challenges of contemporary machine learning. Attaining such robustness is the goal of distributionally robust optimization, which seeks a solution to an optimization problem that is worst-case robust under a specified distributional shift of an uncontrolled covariate…
Improved estimator reduces bias in statistical learning models.
problem Asymptotic bias in classic WDRO estimator.
method Adjusted Wasserstein distributionally robust estimator.
result Asymptotic unbiased estimator with smaller MSE.
We study a robust alternative to empirical risk minimization called distributionally robust learning (DRL), in which one learns to perform against an adversary who can choose the data distribution from a specified set of distributions. We illustrate a problem with current DRL formulations, which rely on an overly broad…
A method for robust reinforcement learning in large state spaces.
problem Challenges in RL with large state spaces, costly data, and real-world dynamics deviation.
method Distributionally robust Markov decision processes with Gaussian Processes and maximum variance reduction.
result Efficient learning of multi-output nominal transition dynamics with statistical sample complexity bounds.
This work evaluates risks over time using robust measures and neural networks.
problem Distributionally robust risk evaluation over temporal data.
method Characterizes alternative measures using causal optimal transport, approximates test functions by neural networks, and proves sample complexity.
result Framework outperforms classic counterparts in portfolio selection problems.
Optimizes distributions robustly with Sinkhorn distance.
problem Distributionally robust optimization with Wasserstein distance.
method Convex programming dual reformulation, stochastic mirror descent algorithm.
result Demonstrates superior performance in synthetic and real data.
Study improves adversarial classification using distributionally robust models.
problem Improving robustness against adversarial attacks in classification models.
method Distributionally robust chance constraints with Wasserstein ambiguity, reformulated as a regularized ramp loss minimization problem.
result Standard descent methods can converge to the global minimizer for the distributionally robust adversarial classification model.
DRIVE improves IV estimation by accounting for distributional uncertainties.
problem Challenges in IV estimation due to untestable model assumptions and poor finite sample properties.
method DRIVE is a distributionally robust IV estimation method that minimizes a square root TSLS objective with a Wasserstein ambiguity set.
result DRIVE achieves consistency without requiring regularization parameter to vanish, ensuring robustness to distributional uncertainties.
Paper optimizes hyperparameters for high-dimensional regression models.
problem Optimizing robustness radius in high-dimensional linear regression.
method Distributionally robust optimization (DRO) with high-dimensional asymptotic statistics.
result Optimal hyperparameter selection minimizes estimation error efficiently.
In many structured prediction problems, complex relationships between variables are compactly defined using graphical structures. The most prevalent graphical prediction methods---probabilistic graphical models and large margin methods---have their own distinct strengths but also possess significant drawbacks. Conditio…
Robustly detects and attributes climate change impacts under interventions.
problem Detect and attribute climate change impacts from observations robustly.
method Supervised learning with anchor regression for robust predictions under interventions.
result CO2 forcing can be robustly predicted from temperature patterns under strong solar forcing interventions.
Proposes a risk parity portfolio optimization method that accounts for uncertainty in asset returns.
problem Risk parity portfolio optimization under uncertainty.
method Distributionally robust optimization with ambiguity set for worst-case scenario analysis.
result Distributionally robust risk parity portfolios can yield higher risk-adjusted returns.
Proposes a method to ensure low losses across all subpopulations in large datasets.
problem Standard practice of minimizing average loss fails to guarantee low losses across all subpopulations in heterogeneous datasets.
method Convex procedure that controls worst-case performance over all subpopulations of a given size with finite-sample convergence guarantees.
result Empirically, the worst-case procedure learns models that do well against unseen subpopulations.
We study a distributionally robust mean square error estimation problem over a nonconvex Wasserstein ambiguity set containing only normal distributions. We show that the optimal estimator and the least favorable distribution form a Nash equilibrium. Despite the non-convex nature of the ambiguity set, we prove that the …
KG-WDRO optimizes transfer learning with external knowledge.
problem Over-pessimism in WDRO for small target samples.
method KG-WDRO incorporates multiple sources of external knowledge to construct smaller Wasserstein ambiguity sets.
result KG-WDRO improves transfer learning performance and adaptivity.
Scaff-PD improves fairness and robustness in federated learning with reduced communication.
problem Improving fairness and robustness in federated learning with limited communication.
method Scaff-PD uses a family of distributionally robust objectives and an accelerated primal dual algorithm with bias-corrected steps.
result Scaff-PD achieves significant gains in communication efficiency and convergence speed while maintaining fairness and robustness.
Paper introduces DOO models to outperform SAA out-of-sample.
problem Outperforming SAA in out-of-sample performance.
method Introduces DOO models that consider both worst-case and best-case scenarios.
result DOO models can always outperform SAA out-of-sample.