robust machine learning – Optimization Online

Robust Regression over Averaged Uncertainty

Published: 2023/11/12

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-squared regression problem. We show that this formulation surprisingly recovers ridge regression and establishes the missing link between robust optimization and the mean squared error approaches … 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