Robust Wasserstein Profile Inference

鲁棒 Wasserstein 轮廓推断

• 批准号: 1915967
• 负责人: Jose Blanchet
• 金额: $ 25万
• 依托单位: Stanford University
• 依托单位国家: 美国
• 项目类别: Continuing Grant
• 财政年份: 2019
• 资助国家: 美国
• 起止时间: 2019-07-01 至 2023-06-30
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1915967&HistoricalAwards=false
• 关键词: Robust; Wasserstein; Profile; Inference

A crucial part of any data-driven decision-making problem under uncertainty involves being able to guarantee, with a high degree of confidence, a desirable performance of estimated decision rules when actually deployed in practice. This, precisely, is the key role of the guarantees given by statistical inference. The goal of this project is to investigate a novel inference methodology that precisely builds from inception data-driven decision-making rules with enhanced out-of-sample properties. This is achieved by introducing a game-theoretic formulation, in which the decision maker optimizes against an adversary that optimally exploits potential weaknesses of a decision when adding perturbations to the data (within reasonable size, yet arbitrary directions). A statistical framework is designed to estimate an optimal amount of data perturbations to obtain robust, yet practical, decision rules. The framework naturally leads to optimal (in certain sense) confidence regions for the underlying decision making parameters. The output of this project has implications in various areas of applied decision making under uncertainty, in particular, machine learning, artificial intelligence, operations management, and transportation are applications of special interest. The graduate student will work on computational methods for large scale optimal transport. The novel inference methodology to be investigated in this project unifies and extends a large class of estimators (such as generalized Lasso and regularized logistic regression among many others), which have been successfully applied in practice. These are encompassed within a distributionally robust optimization (DRO) framework. A DRO formulation is a class of games in which the statistician chooses a parameter or an action to minimize certain expected loss and an adversary chooses a perturbation of the empirical measure against the statistician (maximizing the expected loss) within a certain size (called the distributional uncertainty size). In the context of this proposal, this perturbation is measured in terms of optimal transport costs (or Wasserstein distances). The use of the Wasserstein distance and the DRO formulation justifies the name Robust Wasserstein Profile Inference of this inference methodology. The proposal studies the optimal selection of the distributional uncertainty size and associated optimal confidence regions induced by the DRO formulation. Specific applications, for example, to shape constrained estimation and stochastic optimization problem in engineering will be studied by the PI. The proposed research provides a rich interplay between the theory of optimal transport, statistical inference and convex optimization. Finally, the PI will attempt to recruit high-quality personnel from under-represented groups. The PI will also disseminate the scientific output of this proposal via open access sites, in addition to the standard vehicles (conferences and journal publications).This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.

在不确定的情况下，任何数据驱动的决策问题的一个关键部分是，在实际部署时，能够以高度的置信度保证估计的决策规则的理想性能。这正是统计推断所提供的保证的关键作用。该项目的目标是研究一种新的推理方法，该方法可以精确地从一开始就构建具有增强的样本外属性的数据驱动决策规则。这是通过引入博弈论公式来实现的，在这个公式中，决策者对对手进行优化，对手在向数据添加扰动（在合理的规模内，但在任意的方向上）时，最优地利用了决策的潜在弱点。设计一个统计框架来估计数据扰动的最佳量，以获得稳健而实用的决策规则。该框架自然会为潜在的决策参数带来最优（在某种意义上）置信区域。该项目的产出在不确定性下的应用决策的各个领域都有影响，特别是机器学习，人工智能，运营管理和运输是特别感兴趣的应用。研究生将研究大规模最优运输的计算方法。本课题研究的新推理方法统一并扩展了一大类估计器（如广义Lasso和正则化逻辑回归等），这些估计器已成功应用于实践。这些都包含在分布式鲁棒优化（DRO）框架中。DRO公式是一类博弈，其中统计学家选择一个参数或一个行动来最小化某些预期损失，而对手在一定规模（称为分布不确定性规模）内选择对统计学家的经验测量的扰动（最大化预期损失）。在本建议的背景下，这种扰动是根据最优运输成本（或沃瑟斯坦距离）来衡量的。Wasserstein距离和DRO公式的使用证明了该推理方法的鲁棒Wasserstein剖面推断的名称是正确的。研究了由DRO公式引起的分布不确定性大小和相关最优置信区域的最优选择。具体的应用，例如，形状约束估计和工程中的随机优化问题将由PI研究。该研究提供了最优运输理论、统计推断和凸优化之间丰富的相互作用。最后，PI将设法从代表性不足的群体中征聘高质量的人员。除了标准工具（会议和期刊出版物）之外，PI还将通过开放获取网站传播该提案的科学成果。该奖项反映了美国国家科学基金会的法定使命，并通过使用基金会的知识价值和更广泛的影响审查标准进行评估，被认为值得支持。

项目成果

Quantifying the Empirical Wasserstein Distance to a Set of Measures: Beating the Curse of Dimensionality

量化与一组度量的经验 Wasserstein 距离：打破维数诅咒

• 发表时间: 2020
• 期刊: Quantifying the Empirical Wasserstein Distance to a Set of Measures: Beating the Curse of Dimensionality
• 作者: Si, Nian;Blanchet, Jose;Ghosh, Soumyadip;Squillante, Mark
• 通讯作者: Squillante, Mark

Data-Driven Optimal Transport Cost Selection For Distributionally Robust Optimization

• DOI: 10.1109/wsc40007.2019.9004785
• 发表时间: 2017-05
• 期刊: 2019 Winter Simulation Conference (WSC)
• 作者: J. Blanchet;Yang Kang;Karthyek Murthy;Fan Zhang

Sequential Domain Adaptation by Synthesizing Distributionally Robust Experts

• 发表时间: 2021-06
• 作者: Bahar Taşkesen;Man-Chung Yue;J. Blanchet;D. Kuhn;Viet Anh Nguyen

Wasserstein Distributionally Robust Linear-Quadratic Estimation under Martingale Constraints

• 发表时间: 2023
• 作者: Kyriakos Lotidis;N. Bambos;J. Blanchet;Jiajin Li

Optimal uncertainty size in distributionally robust inverse covariance estimation

分布鲁棒逆协方差估计中的最佳不确定性大小

• DOI: 10.1016/j.orl.2019.10.005
• 发表时间: 2019
• 期刊: Operations Research Letters
• 影响因子: 1.1
• 作者: Blanchet, Jose;Si, Nian
• 通讯作者: Si, Nian