robust machine learning – Optimization Online

Robust Regression over Averaged Uncertainty

Published: 2023/11/12, Updated: 2024/10/09

Robust Optimization linear regression, ridge regression, robust machine learning, robust optimization, uncertainty

We propose a new formulation of robust regression by integrating all realizations of the uncertainty set and taking an averaged approach to obtain the optimal solution for the ordinary least squares regression problem. We show that this formulation recovers ridge regression exactly and establishes the missing link between robust optimization and the mean squared error … Read more

Learning Optimal Classification Trees Robust to Distribution Shifts

Published: 2023/10/26

(Mixed) Integer Linear Programming, Robust Optimization decision trees, distribution shift, mixed-integer programming, robust machine learning, robust optimization

We consider the problem of learning classification trees that are robust to distribution shifts between training and testing/deployment data. This problem arises frequently in high stakes settings such as public health and social work where data is often collected using self-reported surveys which are highly sensitive to e.g., the framing of the questions, the time … Read more