Showing 1–10 of 10 results for author: Aolaritei, L

Diffusion-Robust Optimization over Graphs

Authors: Liviu Aolaritei, Ricky Huang, Michael I. Jordan, Paul Grigas

Abstract: We introduce a diffusion-based uncertainty model for robust optimization on directed graphs, in which perturbations of edge weights propagate along adjacent edges and satisfy conservation constraints at nodes. This topology-aware structure is natural in networked systems where uncertainty is induced by flows and local interactions, including transportation, logistics, communication, and energy net… ▽ More We introduce a diffusion-based uncertainty model for robust optimization on directed graphs, in which perturbations of edge weights propagate along adjacent edges and satisfy conservation constraints at nodes. This topology-aware structure is natural in networked systems where uncertainty is induced by flows and local interactions, including transportation, logistics, communication, and energy networks. We analyze how such diffusive uncertainty reshapes the computational landscape of robust graph optimization. We focus on two canonical combinatorial graph problems, shortest path and the traveling salesman problem (TSP), which provide complementary benchmarks: shortest path is polynomial-time solvable in the nominal setting, whereas TSP is already NP-hard. We show that, for shortest path, propagation depth induces a sharp transition between tractable and intractable robust counterparts. For the traveling salesman problem, robustness often adds no computational complexity beyond ordinary TSP, because the structure of Hamiltonian cycles makes the fixed-tour adversarial problem collapse to explicit formulas. Together, these results show that topology-aware uncertainty can fundamentally change robust combinatorial optimization, with tractability governed by the interaction between propagation, budget geometry, and the structure of feasible solutions. △ Less

Submitted 19 June, 2026; v1 submitted 29 May, 2026; originally announced May 2026.

Comments: 46 pages, 6 figures

Stopping Rules for Stochastic Gradient Descent via Anytime-Valid Confidence Sequences

Authors: Liviu Aolaritei, Michael I. Jordan

Abstract: The problem of stopping stochastic gradient descent (SGD) in an online manner, based solely on the observed trajectory, is a challenging theoretical problem with significant consequences for applications. While SGD is routinely monitored as it runs, the classical theory of SGD provides guarantees only at pre-specified iteration horizons and offers no valid way to decide, based on the observed traj… ▽ More The problem of stopping stochastic gradient descent (SGD) in an online manner, based solely on the observed trajectory, is a challenging theoretical problem with significant consequences for applications. While SGD is routinely monitored as it runs, the classical theory of SGD provides guarantees only at pre-specified iteration horizons and offers no valid way to decide, based on the observed trajectory, when further computation is justified. We address this longstanding gap by developing anytime-valid confidence sequences for stochastic gradient methods, which remain valid under continuous monitoring and directly induce statistically valid, trajectory-dependent stopping rules: stop as soon as the current upper confidence bound on an appropriate performance measure falls below a user-specified tolerance. The confidence sequences are constructed using nonnegative supermartingales, are time-uniform, and depend only on observable quantities along the SGD trajectory, without requiring prior knowledge of the optimization horizon. In convex optimization, this yields anytime-valid certificates for weighted suboptimality of projected SGD under general stepsize schedules, without assuming smoothness or strong convexity. In nonconvex optimization, it yields time-uniform certificates for weighted first-order stationarity under smoothness assumptions. We further characterize the stopping-time complexity of the resulting stopping rules under standard stepsize schedules. To the best of our knowledge, this is the first framework that provides statistically valid, time-uniform stopping rules for SGD across both convex and nonconvex settings based solely on its observed trajectory. △ Less

Submitted 20 February, 2026; v1 submitted 15 December, 2025; originally announced December 2025.

Valid Selection among Conformal Sets

Authors: Mahmoud Hegazy, Liviu Aolaritei, Michael I. Jordan, Aymeric Dieuleveut

Abstract: Conformal prediction offers a distribution-free framework for constructing prediction sets with coverage guarantees. In practice, multiple valid conformal prediction sets may be available, arising from different models or methodologies. However, selecting the most desirable set, such as the smallest, can invalidate the coverage guarantees. To address this challenge, we propose a stability-based ap… ▽ More Conformal prediction offers a distribution-free framework for constructing prediction sets with coverage guarantees. In practice, multiple valid conformal prediction sets may be available, arising from different models or methodologies. However, selecting the most desirable set, such as the smallest, can invalidate the coverage guarantees. To address this challenge, we propose a stability-based approach that ensures coverage for the selected prediction set. We extend our results to the online conformal setting, propose several refinements in settings where additional structure is available, and demonstrate its effectiveness through experiments. △ Less

Submitted 25 June, 2025; originally announced June 2025.

Revisiting mean estimation over $\ell_p$ balls: Is the MLE optimal?

Authors: Liviu Aolaritei, Michael I. Jordan, Reese Pathak, Annie Ulichney

Abstract: We revisit the problem of mean estimation in the Gaussian sequence model with $\ell_p$ constraints for $p \in [0, \infty]$. We demonstrate two phenomena for the behavior of the maximum likelihood estimator (MLE), which depend on the noise level, the radius of the (quasi)norm constraint, the dimension, and the norm index $p$. First, if $p$ lies between $0$ and $1 + Θ(\tfrac{1}{\log d})$, inclusive,… ▽ More We revisit the problem of mean estimation in the Gaussian sequence model with $\ell_p$ constraints for $p \in [0, \infty]$. We demonstrate two phenomena for the behavior of the maximum likelihood estimator (MLE), which depend on the noise level, the radius of the (quasi)norm constraint, the dimension, and the norm index $p$. First, if $p$ lies between $0$ and $1 + Θ(\tfrac{1}{\log d})$, inclusive, or if it is greater than or equal to $2$, the MLE is minimax rate-optimal for all noise levels and all constraint radii. On the other hand, for the remaining norm indices -- namely, if $p$ lies between $1 + Θ(\tfrac{1}{\log d})$ and $2$ -- here is a more striking behavior: the MLE is minimax rate-suboptimal, despite its nonlinearity in the observations, for essentially all noise levels and constraint radii for which nonlinear estimates are necessary for minimax-optimal estimation. Our results imply that when given $n$ independent and identically distributed Gaussian samples, the MLE can be suboptimal by a polynomial factor in the sample size. Our lower bounds are constructive: whenever the MLE is rate-suboptimal, we provide explicit instances on which the MLE provably incurs suboptimal risk. Finally, in the non-convex case -- namely when $p < 1$ -- we develop sharp local Gaussian width bounds, which may be of independent interest. △ Less

Submitted 1 July, 2025; v1 submitted 12 June, 2025; originally announced June 2025.

Comments: 43 pages, 3 figures

Stochastic Optimization with Optimal Importance Sampling

Authors: Liviu Aolaritei, Bart P. G. Van Parys, Henry Lam, Michael I. Jordan

Abstract: Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applications. Despite its effectiveness, the performance of IS is highly sensitive to the choice of the proposal distribution and often requires stochastic calibration. While the design and analysis of IS have been extensively… ▽ More Importance Sampling (IS) is a widely used variance reduction technique for enhancing the efficiency of Monte Carlo methods, particularly in rare-event simulation and related applications. Despite its effectiveness, the performance of IS is highly sensitive to the choice of the proposal distribution and often requires stochastic calibration. While the design and analysis of IS have been extensively studied in estimation settings, applying IS within stochastic optimization introduces a lesser-known fundamental challenge: the decision variable and the importance sampling distribution are mutually dependent, creating a circular optimization structure. This interdependence complicates both convergence analysis and variance control. In this paper, we consider the generic setting of convex stochastic optimization with linear constraints. We propose a single-loop stochastic approximation algorithm, based on a variant of Nesterov's dual averaging, that jointly updates the decision variable and the importance sampling distribution, notably without time-scale separation or nested optimization. The method is globally convergent and achieves the minimal asymptotic variance among stochastic gradient schemes, which moreover matches the performance of an oracle sampler adapted to the optimal solution and thus effectively resolves the circular optimization challenge. △ Less

Submitted 10 February, 2026; v1 submitted 4 April, 2025; originally announced April 2025.

Minimum Volume Conformal Sets for Multivariate Regression

Authors: Sacha Braun, Liviu Aolaritei, Michael I. Jordan, Francis Bach

Abstract: Conformal prediction provides a principled framework for constructing predictive sets with finite-sample validity. While much of the focus has been on univariate response variables, existing multivariate methods either impose rigid geometric assumptions or rely on flexible but computationally expensive approaches that do not explicitly optimize prediction set volume. We propose an optimization-dri… ▽ More Conformal prediction provides a principled framework for constructing predictive sets with finite-sample validity. While much of the focus has been on univariate response variables, existing multivariate methods either impose rigid geometric assumptions or rely on flexible but computationally expensive approaches that do not explicitly optimize prediction set volume. We propose an optimization-driven framework based on a novel loss function that directly learns minimum-volume covering sets while ensuring valid coverage. This formulation naturally induces a new nonconformity score for conformal prediction, which adapts to the residual distribution and covariates. Our approach optimizes over prediction sets defined by arbitrary norm balls, including single and multi-norm formulations. Additionally, by jointly optimizing both the predictive model and predictive uncertainty, we obtain prediction sets that are tight, informative, and computationally efficient, as demonstrated in our experiments on real-world datasets. △ Less

Submitted 18 March, 2026; v1 submitted 24 March, 2025; originally announced March 2025.

Learn to Bid as a Price-Maker Wind Power Producer

Authors: Shobhit Singhal, Marta Fochesato, Liviu Aolaritei, Florian Dörfler

Abstract: Wind power producers (WPPs) participating in short-term power markets face significant imbalance costs due to their non-dispatchable and variable production. While some WPPs have a large enough market share to influence prices with their bidding decisions, existing optimal bidding methods rarely account for this aspect. Price-maker approaches typically model bidding as a bilevel optimization probl… ▽ More Wind power producers (WPPs) participating in short-term power markets face significant imbalance costs due to their non-dispatchable and variable production. While some WPPs have a large enough market share to influence prices with their bidding decisions, existing optimal bidding methods rarely account for this aspect. Price-maker approaches typically model bidding as a bilevel optimization problem, but these methods require complex market models, estimating other participants' actions, and are computationally demanding. To address these challenges, we propose an online learning algorithm that leverages contextual information to optimize WPP bids in the price-maker setting. We formulate the strategic bidding problem as a contextual multi-armed bandit, ensuring provable regret minimization. The algorithm's performance is evaluated against various benchmark strategies using a numerical simulation of the German day-ahead and real-time markets. △ Less

Submitted 8 October, 2025; v1 submitted 20 March, 2025; originally announced March 2025.

Conformal Prediction under Levy-Prokhorov Distribution Shifts: Robustness to Local and Global Perturbations

Authors: Liviu Aolaritei, Zheyu Oliver Wang, Julie Zhu, Michael I. Jordan, Youssef Marzouk

Abstract: Conformal prediction provides a powerful framework for constructing prediction intervals with finite-sample guarantees, yet its robustness under distribution shifts remains a significant challenge. This paper addresses this limitation by modeling distribution shifts using Levy-Prokhorov (LP) ambiguity sets, which capture both local and global perturbations. We provide a self-contained overview of… ▽ More Conformal prediction provides a powerful framework for constructing prediction intervals with finite-sample guarantees, yet its robustness under distribution shifts remains a significant challenge. This paper addresses this limitation by modeling distribution shifts using Levy-Prokhorov (LP) ambiguity sets, which capture both local and global perturbations. We provide a self-contained overview of LP ambiguity sets and their connections to popular metrics such as Wasserstein and Total Variation. We show that the link between conformal prediction and LP ambiguity sets is a natural one: by propagating the LP ambiguity set through the scoring function, we reduce complex high-dimensional distribution shifts to manageable one-dimensional distribution shifts, enabling exact quantification of worst-case quantiles and coverage. Building on this analysis, we construct robust conformal prediction intervals that remain valid under distribution shifts, explicitly linking LP parameters to interval width and confidence levels. Experimental results on real-world datasets demonstrate the effectiveness of the proposed approach. △ Less

Submitted 18 May, 2025; v1 submitted 19 February, 2025; originally announced February 2025.

Nash Equilibria, Regularization and Computation in Optimal Transport-Based Distributionally Robust Optimization

Authors: Soroosh Shafiee, Liviu Aolaritei, Florian Dörfler, Daniel Kuhn

Abstract: We study optimal transport-based distributionally robust optimization problems where a fictitious adversary, often envisioned as nature, can choose the distribution of the uncertain problem parameters by reshaping a prescribed reference distribution at a finite transportation cost. In this framework, we show that robustification is intimately related to various forms of variation and Lipschitz reg… ▽ More We study optimal transport-based distributionally robust optimization problems where a fictitious adversary, often envisioned as nature, can choose the distribution of the uncertain problem parameters by reshaping a prescribed reference distribution at a finite transportation cost. In this framework, we show that robustification is intimately related to various forms of variation and Lipschitz regularization even if the transportation cost function fails to be (some power of) a metric. We also derive conditions for the existence and the computability of a Nash equilibrium between the decision-maker and nature, and we demonstrate numerically that nature's Nash strategy can be viewed as a distribution that is supported on remarkably deceptive adversarial samples. Finally, we identify practically relevant classes of optimal transport-based distributionally robust optimization problems that can be addressed with efficient gradient descent algorithms even if the loss function or the transportation cost function are nonconvex (but not both at the same time). △ Less

Submitted 14 October, 2025; v1 submitted 7 March, 2023; originally announced March 2023.

Wasserstein Distributionally Robust Estimation in High Dimensions: Performance Analysis and Optimal Hyperparameter Tuning

Authors: Liviu Aolaritei, Soroosh Shafiee, Florian Dörfler

Abstract: Distributionally robust optimization (DRO) has become a powerful framework for estimation under uncertainty, offering strong out-of-sample performance and principled regularization. In this paper, we propose a DRO-based method for linear regression and address a central question: how to optimally choose the robustness radius, which controls the trade-off between robustness and accuracy. Focusing o… ▽ More Distributionally robust optimization (DRO) has become a powerful framework for estimation under uncertainty, offering strong out-of-sample performance and principled regularization. In this paper, we propose a DRO-based method for linear regression and address a central question: how to optimally choose the robustness radius, which controls the trade-off between robustness and accuracy. Focusing on high-dimensional settings where the dimension and the number of samples are both large and comparable in size, we employ tools from high-dimensional asymptotic statistics to precisely characterize the estimation error of the resulting estimator. Remarkably, this error can be recovered by solving a simple convex-concave optimization problem involving only four scalar variables. This characterization enables efficient selection of the radius that minimizes the estimation error. In doing so, it achieves the same effect as cross-validation, but at a fraction of the computational cost. Numerical experiments confirm that our theoretical predictions closely match empirical performance and that the optimal radius selected through our method aligns with that chosen by cross-validation, highlighting both the accuracy and the practical benefits of our approach. △ Less

Submitted 2 May, 2025; v1 submitted 27 June, 2022; originally announced June 2022.

Comments: This paper was previously titled "The Performance of Wasserstein Distributionally Robust M-Estimators in High Dimensions"