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stat.ML2025
Decision Making under Model Misspecification: DRO with Robust Bayesian Ambiguity Sets
Charita Dellaporta, Patrick O'Hara, Theodoros Damoulas
Distributionally Robust Optimisation (DRO) protects risk-averse decision-makers by considering the worst-case risk within an ambiguity set of distributions based on the empirical d…
stat.ML2024
Distributionally Robust Optimisation with Bayesian Ambiguity Sets
Charita Dellaporta, Patrick O'Hara, Theodoros Damoulas
Decision making under uncertainty is challenging since the data-generating process (DGP) is often unknown. Bayesian inference proceeds by estimating the DGP through posterior belie…