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Abstract:The state-of-the-art methods for estimating high-dimensional covariance matrices all shrink the eigenvalues of the sample covariance matrix towards a data-insensitive shrinkage target. The underlying shrinkage transformation is either chosen heuristically - without compelling theoretical justification - or optimally in view of restrictive distributional assumptions. In this paper, we propose a principled approach to construct covariance estimators without imposing restrictive assumptions. That is, we study distributionally robust covariance estimation problems that minimize the worst-case Frobenius error with respect to all data distributions close to a nominal distribution, where the proximity of distributions is measured via a divergence on the space of covariance matrices. We identify mild conditions on this divergence under which the resulting minimizers represent shrinkage estimators. We show that the corresponding shrinkage transformations are intimately related to the geometrical properties of the underlying divergence. We also prove that our robust estimators are efficiently computable and asymptotically consistent and that they enjoy finite-sample performance guarantees. We exemplify our general methodology by synthesizing explicit estimators induced by the Kullback-Leibler, Fisher-Rao, and Wasserstein divergences. Numerical experiments based on synthetic and real data show that our robust estimators are competitive with state-of-the-art estimators.

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Abstract:We derive the first large deviation rate function for the stochastic iterates generated by policy gradient methods with a softmax parametrization and an entropy regularized objective. Leveraging the contraction principle from large deviations theory, we also develop a general recipe for deriving exponential convergence rates for a wide spectrum of other policy parametrizations. This approach unifies several results from the literature and simplifies existing proof techniques.

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Abstract:We introduce contextual stochastic bilevel optimization (CSBO) -- a stochastic bilevel optimization framework with the lower-level problem minimizing an expectation conditioned on some contextual information and the upper-level decision variable. This framework extends classical stochastic bilevel optimization when the lower-level decision maker responds optimally not only to the decision of the upper-level decision maker but also to some side information and when there are multiple or even infinite many followers. It captures important applications such as meta-learning, personalized federated learning, end-to-end learning, and Wasserstein distributionally robust optimization with side information (WDRO-SI). Due to the presence of contextual information, existing single-loop methods for classical stochastic bilevel optimization are unable to converge. To overcome this challenge, we introduce an efficient double-loop gradient method based on the Multilevel Monte-Carlo (MLMC) technique and establish its sample and computational complexities. When specialized to stochastic nonconvex optimization, our method matches existing lower bounds. For meta-learning, the complexity of our method does not depend on the number of tasks. Numerical experiments further validate our theoretical results.

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Abstract:In the past few years, there has been considerable interest in two prominent approaches for Distributionally Robust Optimization (DRO): Divergence-based and Wasserstein-based methods. The divergence approach models misspecification in terms of likelihood ratios, while the latter models it through a measure of distance or cost in actual outcomes. Building upon these advances, this paper introduces a novel approach that unifies these methods into a single framework based on optimal transport (OT) with conditional moment constraints. Our proposed approach, for example, makes it possible for optimal adversarial distributions to simultaneously perturb likelihood and outcomes, while producing an optimal (in an optimal transport sense) coupling between the baseline model and the adversarial model.Additionally, the paper investigates several duality results and presents tractable reformulations that enhance the practical applicability of this unified framework.

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Abstract:We develop a principled approach to end-to-end learning in stochastic optimization. First, we show that the standard end-to-end learning algorithm admits a Bayesian interpretation and trains a posterior Bayes action map. Building on the insights of this analysis, we then propose new end-to-end learning algorithms for training decision maps that output solutions of empirical risk minimization and distributionally robust optimization problems, two dominant modeling paradigms in optimization under uncertainty. Numerical results for a synthetic newsvendor problem illustrate the key differences between alternative training schemes. We also investigate an economic dispatch problem based on real data to showcase the impact of the neural network architecture of the decision maps on their test performance.

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Abstract:We propose a policy gradient algorithm for robust infinite-horizon Markov Decision Processes (MDPs) with non-rectangular uncertainty sets, thereby addressing an open challenge in the robust MDP literature. Indeed, uncertainty sets that display statistical optimality properties and make optimal use of limited data often fail to be rectangular. Unfortunately, the corresponding robust MDPs cannot be solved with dynamic programming techniques and are in fact provably intractable. This prompts us to develop a projected Langevin dynamics algorithm tailored to the robust policy evaluation problem, which offers global optimality guarantees. We also propose a deterministic policy gradient method that solves the robust policy evaluation problem approximately, and we prove that the approximation error scales with a new measure of non-rectangularity of the uncertainty set. Numerical experiments showcase that our projected Langevin dynamics algorithm can escape local optima, while algorithms tailored to rectangular uncertainty fail to do so.

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Abstract:We study optimal transport-based distributionally robust optimization problems where a fictitious adversary, often envisioned as nature, can choose the distribution of the uncertain problem parameters by reshaping a prescribed reference distribution at a finite transportation cost. In this framework, we show that robustification is intimately related to various forms of variation and Lipschitz regularization even if the transportation cost function fails to be (some power of) a metric. We also derive conditions for the existence and the computability of a Nash equilibrium between the decision-maker and nature, and we demonstrate numerically that nature's Nash strategy can be viewed as a distribution that is supported on remarkably deceptive adversarial samples. Finally, we identify practically relevant classes of optimal transport-based distributionally robust optimization problems that can be addressed with efficient gradient descent algorithms even if the loss function or the transportation cost function are nonconvex (but not both at the same time).

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Abstract:We propose a framework for the stability verification of Mixed-Integer Linear Programming (MILP) representable control policies. This framework compares a fixed candidate policy, which admits an efficient parameterization and can be evaluated at a low computational cost, against a fixed baseline policy, which is known to be stable but expensive to evaluate. We provide sufficient conditions for the closed-loop stability of the candidate policy in terms of the worst-case approximation error with respect to the baseline policy, and we show that these conditions can be checked by solving a Mixed-Integer Quadratic Program (MIQP). Additionally, we demonstrate that an outer approximation of the stability region of the candidate policy can be computed by solving an MILP. The proposed framework is sufficiently general to accommodate a broad range of candidate policies including ReLU Neural Networks (NNs), optimal solution maps of parametric quadratic programs, and Model Predictive Control (MPC) policies. We also present an open-source toolbox in Python based on the proposed framework, which allows for the easy verification of custom NN architectures and MPC formulations. We showcase the flexibility and reliability of our framework in the context of a DC-DC power convertor case study and investigate the computational complexity.

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Abstract:We study supervised learning problems for predicting properties of individuals who belong to one of two demographic groups, and we seek predictors that are fair according to statistical parity. This means that the distributions of the predictions within the two groups should be close with respect to the Kolmogorov distance, and fairness is achieved by penalizing the dissimilarity of these two distributions in the objective function of the learning problem. In this paper, we showcase conceptual and computational benefits of measuring unfairness with integral probability metrics (IPMs) other than the Kolmogorov distance. Conceptually, we show that the generator of any IPM can be interpreted as a family of utility functions and that unfairness with respect to this IPM arises if individuals in the two demographic groups have diverging expected utilities. We also prove that the unfairness-regularized prediction loss admits unbiased gradient estimators if unfairness is measured by the squared $\mathcal L^2$-distance or by a squared maximum mean discrepancy. In this case, the fair learning problem is susceptible to efficient stochastic gradient descent (SGD) algorithms. Numerical experiments on real data show that these SGD algorithms outperform state-of-the-art methods for fair learning in that they achieve superior accuracy-unfairness trade-offs -- sometimes orders of magnitude faster. Finally, we identify conditions under which statistical parity can improve prediction accuracy.

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Abstract:We study the computational complexity of the optimal transport problem that evaluates the Wasserstein distance between the distributions of two K-dimensional discrete random vectors. The best known algorithms for this problem run in polynomial time in the maximum of the number of atoms of the two distributions. However, if the components of either random vector are independent, then this number can be exponential in K even though the size of the problem description scales linearly with K. We prove that the described optimal transport problem is #P-hard even if all components of the first random vector are independent uniform Bernoulli random variables, while the second random vector has merely two atoms, and even if only approximate solutions are sought. We also develop a dynamic programming-type algorithm that approximates the Wasserstein distance in pseudo-polynomial time when the components of the first random vector follow arbitrary independent discrete distributions, and we identify special problem instances that can be solved exactly in strongly polynomial time.

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