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math.OC2023
Efficient Stochastic Approximation of Minimax Excess Risk Optimization
Lijun Zhang, Haomin Bai, Wei-Wei Tu +2
While traditional distributionally robust optimization (DRO) aims to minimize the maximal risk over a set of distributions, Agarwal and Zhang (2022) recently proposed a variant tha…
cs.LG2023
Stochastic Approximation Approaches to Group Distributionally Robust Optimization and Beyond
Lijun Zhang, Haomin Bai, Peng Zhao +2
This paper investigates group distributionally robust optimization (GDRO) with the goal of learning a model that performs well over different distributions. First, we formulate…