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1. Nonparametric Estimation of Uncertainty Sets for Robust Optimization

   https://doi.org/10.1109/CDC42340.2020.9303863  

   Alexeenko, Polina; Bitar, Eilyan (January 2021, 2020 59th IEEE Conference on Decision and Control (CDC))

   null (Ed.)

   We investigate a data-driven approach to constructing uncertainty sets for robust optimization problems, where the uncertain problem parameters are modeled as random variables whose joint probability distribution is not known. Relying only on independent samples drawn from this distribution, we provide a nonparametric method to estimate uncertainty sets whose probability mass is guaranteed to approximate a given target mass within a given tolerance with high confidence. The nonparametric estimators that we consider are also shown to obey distribution-free finite-sample performance bounds that imply their convergence in probability to the given target mass. In addition to being efficient to compute, the proposed estimators result in uncertainty sets that yield computationally tractable robust optimization problems for a large family of constraint functions. 

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2. Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach

   https://doi.org/10.1287/moor.2020.1085  

   Duchi, John C.; Glynn, Peter W.; Namkoong, Hongseok (August 2021, Mathematics of Operations Research)

   We study statistical inference and distributionally robust solution methods for stochastic optimization problems, focusing on confidence intervals for optimal values and solutions that achieve exact coverage asymptotically. We develop a generalized empirical likelihood framework—based on distributional uncertainty sets constructed from nonparametric f-divergence balls—for Hadamard differentiable functionals, and in particular, stochastic optimization problems. As consequences of this theory, we provide a principled method for choosing the size of distributional uncertainty regions to provide one- and two-sided confidence intervals that achieve exact coverage. We also give an asymptotic expansion for our distributionally robust formulation, showing how robustification regularizes problems by their variance. Finally, we show that optimizers of the distributionally robust formulations we study enjoy (essentially) the same consistency properties as those in classical sample average approximations. Our general approach applies to quickly mixing stationary sequences, including geometrically ergodic Harris recurrent Markov chains. 

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3. Robust Wasserstein profile inference and applications to machine learning

   https://doi.org/10.1017/jpr.2019.49  

   Blanchet, Jose; Kang, Yang; Murthy, Karthyek (September 2019, Journal of Applied Probability)

   Abstract We show that several machine learning estimators, including square-root least absolute shrinkage and selection and regularized logistic regression, can be represented as solutions to distributionally robust optimization problems. The associated uncertainty regions are based on suitably defined Wasserstein distances. Hence, our representations allow us to view regularization as a result of introducing an artificial adversary that perturbs the empirical distribution to account for out-of-sample effects in loss estimation. In addition, we introduce RWPI (robust Wasserstein profile inference), a novel inference methodology which extends the use of methods inspired by empirical likelihood to the setting of optimal transport costs (of which Wasserstein distances are a particular case). We use RWPI to show how to optimally select the size of uncertainty regions, and as a consequence we are able to choose regularization parameters for these machine learning estimators without the use of cross validation. Numerical experiments are also given to validate our theoretical findings. 

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4. Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances

   Blanchet, Jose; Chen, Lin; Zhou, Xunyu. (January 2020, Management science)

   We revisit Markowitz’s mean-variance portfolio selection model by considering a distributionally robust version, in which the region of distributional uncertainty is around the empirical measure and the discrepancy between probability measures is dictated by the Wasserstein distance. We reduce this problem into an empirical variance minimization problem with an additional regularization term. Moreover, we extend the recently developed inference methodology to our setting in order to select the size of the distributional uncertainty as well as the associated robust target return rate in a data-driven way. Finally, we report extensive back-testing results on S&P 500 that compare the performance of our model with those of several well-known models including the Fama–French and Black–Litterman models. 

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5. A Fixed-Time Stable Adaptation Law for Safety-Critical Control under Parametric Uncertainty

   Black, Mitchell; Arabi, Ehsan; Panagou, Dimitra (January 2021, 2021 European Control Conference)

   We present a novel technique for solving the problem of safe control for a general class of nonlinear, control-affine systems subject to parametric model uncertainty. Invoking Lyapunov analysis and the notion of fixed-time stability (FxTS), we introduce a parameter adaptation law which guarantees convergence of the estimates of unknown parameters in the system dynamics to their true values within a fixed-time independent of the initial parameter estimation error. We then synthesize the adaptation law with a robust, adaptive control barrier function (RaCBF) based quadratic program to compute safe control inputs despite the considered model uncertainty. To corroborate our results, we undertake a comparative case study on the efficacy of this result versus other recent approaches in the literature to safe control under uncertainty, and close by highlighting the value of our method in the context of an automobile overtake scenario. 

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