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We show that several machine learning estimators, including square-root LASSO (Least Absolute Shrinkage and Selection) and regularized logistic regression can be represented as solutions to distributionally robust optimization (DRO) problems.
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Trevor Hastie, Robert Tibshirani, Jerome Friedman, and James Franklin · 2005
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Peter J. Bickel, Ya’acov Ritov, and Alexandre B. Tsybakov · 2009
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Nils Lid Hjort, Ian McKeague, and Ingrid Van Keilegom · 2009
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Soroosh Shafieezadeh-Abadeh, Peyman Esfahani, and Daniel Kuhn · 2015
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Sanvesh Srivastava, Volkan Cevher, Quoc Tran-Dinh, and David B Dunson · 2015
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Mai Zhou · 2015
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Jose Blanchet and Yang Kang · 2016
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Jose Blanchet and Karthyek Murthy · 2016
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