Soroosh Shafieezadeh-Abadeh – Page 2

Data-Driven Inverse Optimization with Imperfect Information

Published: 2015/12/11, Updated: 2017/07/21

In data-driven inverse optimization an observer aims to learn the preferences of an agent who solves a parametric optimization problem depending on an exogenous signal. Thus, the observer seeks the agent’s objective function that best explains a historical sequence of signals and corresponding optimal actions. We focus here on situations where the observer has imperfect … Read more

Distributionally Robust Logistic Regression

Published: 2015/09/30, Updated: 2015/12/01

Daniel Kuhn

Peyman Mohajerin Esfahani

Soroosh Shafieezadeh-Abadeh

Robust Optimization, Stochastic Programming distributionally robust optimization, logistic regression, wasserstein distance

This paper proposes a distributionally robust approach to logistic regression. We use the Wasserstein distance to construct a ball in the space of probability distributions centered at the uniform distribution on the training samples. If the radius of this ball is chosen judiciously, we can guarantee that it contains the unknown data-generating distribution with high … Read more