markovian data – Optimization Online

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

Published: 2026/05/28, Updated: 2026/07/05

Optimization in Data Science, Robust Optimization, Stochastic Programming distributionally robust optimization, heavy-tailed distributions, incomplete data, integral probability metrics, markovian data, outlier-corrupted data, semi-infinite programming

Distributionally robust optimization (DRO) provides a principled framework for decision-making under distributional uncertainty. Classical data-driven DRO frameworks typically construct ambiguity sets from distributional information, such as moment constraints, divergence neighborhoods, or Wasserstein balls, specified before the downstream loss is considered. We propose a task-aware DRO framework based on targeted integral probability metrics. The ambiguity set … Read more

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

Published: 2019/11/11

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