Publications de Viet Anh Nguyen

Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization

Peyman Mohajerin Esfahani, Viet Anh Nguyen, Daniel Kuhn, Soroosh Shafieezadeh Abadeh

We introduce a distributionally robust minimium mean square error estimation model with a Wasserstein ambiguity set to recover an unknown signal from a noisy observation. The proposed model can be viewed as a zero-sum game between a statistician choosing a ...

2023

Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator

Peyman Mohajerin Esfahani, Viet Anh Nguyen, Daniel Kuhn

We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a p-dimensional Gaussian random vector from n independent samples. The proposed model minimizes the worst ...

2022

A Statistical Test for Probabilistic Fairness

Viet Anh Nguyen, Daniel Kuhn, Bahar Taskesen

Algorithms are now routinely used to make consequential decisions that affect human lives. Examples include college admissions, medical interventions or law enforcement. While algorithms empower us to harness all information hidden in vast amounts of data, ...

2021

Sequential Domain Adaptation by Synthesizing Distributionally Robust Experts

Viet Anh Nguyen, Daniel Kuhn, Bahar Taskesen

Least squares estimators, when trained on a few target domain samples, may predict poorly. Supervised domain adaptation aims to improve the predictive accuracy by exploiting additional labeled training samples from a source distribution that is close to th ...

JMLR-JOURNAL MACHINE LEARNING RESEARCH2021

Energy and Reserve Dispatch with Distributionally Robust Joint Chance Constraints

Christos Ordoudis, Viet Anh Nguyen, Daniel Kuhn

We develop a two-stage stochastic program for energy and reserve dispatch of a joint power and gas system with a high penetration of renewables. Data-driven distributionally robust chance constraints ensure that there is no load shedding and renewable spil ...

2021

Calculating Optimistic Likelihoods Using (Geodesically) Convex Optimization

Viet Anh Nguyen, Daniel Kuhn, Soroosh Shafieezadeh Abadeh, Wolfram Wiesemann

A fundamental problem arising in many areas of machine learning is the evaluation of the likelihood of a given observation under different nominal distributions. Frequently, these nominal distributions are themselves estimated from data, which makes them s ...

2019

Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation

Viet Anh Nguyen, Daniel Kuhn, Soroosh Shafieezadeh Abadeh, Wolfram Wiesemann

The likelihood function is a fundamental component in Bayesian statistics. However, evaluating the likelihood of an observation is computationally intractable in many applications. In this paper, we propose a non-parametric approximation of the likelihood ...

2019

Adversarial Analytics

Viet Anh Nguyen

Adversarial learning is an emergent technique that provides better security to machine learning systems by deliberately protecting them against specific vulnerabilities of the learning algorithms. Many adversarial learning problems can be cast equivalently ...

EPFL2019

Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning

Peyman Mohajerin Esfahani, Viet Anh Nguyen, Daniel Kuhn, Soroosh Shafieezadeh Abadeh

Many decision problems in science, engineering and economics are affected by uncertain parameters whose distribution is only indirectly observable through samples. The goal of data-driven decision-making is to learn a decision from finitely many training s ...

2019

A Linear-Quadratic Gaussian Approach to Dynamic Information Acquisition

Thomas Alois Weber, Viet Anh Nguyen

We consider optimal information acquisition for the control of linear discrete-time random systems with noisy observations and apply the findings to the problem of dynamically implementing emissions-reduction targets. The optimal policy, which is provided ...

2018

Wasserstein Distributionally Robust Kalman Filtering

Peyman Mohajerin Esfahani, Viet Anh Nguyen, Daniel Kuhn, Soroosh Shafieezadeh Abadeh

We study a distributionally robust mean square error estimation problem over a nonconvex Wasserstein ambiguity set containing only normal distributions. We show that the optimal estimator and the least favorable distribution form a Nash equilibrium. Despit ...

2018