markovian data – Optimization Online

Distributionally Robust Optimization via Targeted Integral Probability Metrics for General Data Processes

Published: 2026/05/28

Optimization in Data Science, Robust Optimization, Stochastic Programming Contextual optimization, corrupted and missing data, curse of dimensionality, distributionally robust optimization, heavy-tailed distributions, integral probability metrics, markovian data

Distributionally robust optimization (DRO) has been successful in addressing decision-making problems under uncertainty when the underlying distribution is unknown. Existing data-driven DRO frameworks, however, often impose restrictive assumptions on the data-generating process. We propose a new DRO framework based on targeted integral probability metrics. The ambiguity set is defined directly through the loss functions induced … Read more

Online matrix factorization for Markovian data and applications to Network Dictionary Learning

Published: 2019/11/11

Laura Balzano

Hanbaek Lyu

Deanna Needell

Data-Mining, Nonlinear Optimization convergence analysis, dictionary learning, markovian data, non-negative matrix factorization, online matrix factorization

Online Matrix Factorization (OMF) is a fundamental tool for dictionary learning problems, giving an approximate representation of complex data sets in terms of a reduced number of extracted features. Convergence guarantees for most of the OMF algorithms in the literature assume independence between data matrices, and the case of a dependent data stream remains largely … Read more