arXiv Machine Learning

Wasserstein Policy Learning for Distributional Outcomes

arXiv:2606. 19117v1 Announce Type: cross Abstract: Offline policy learning has received growing attention in causal inference.

arXiv Machine Learning
Aug 12

Risk-Averse Wasserstein Distributionally Robust Online Learning

arXiv:2602. 20403v2 Announce Type: replace Abstract: We study distributionally robust online learning, where a risk-averse learner updates decisions sequentially to guard against worst-case distributions drawn from a Wasserstein ambiguity set centered at past observations.

By Guixian Chen, Salar Fattahi, Soroosh Shafiee
arXiv Machine Learning
Jun 30

Wasserstein Distributionally Robust Regret Optimization

arXiv:2504. 10796v4 Announce Type: replace-cross Abstract: Distributionally robust optimization (DRO) is widely used for decision-making under uncertainty, but its adversarial focus on worst-case loss can lead to overly conservative policies.

By Lukas-Benedikt Fiechtner, Jose Blanchet
arXiv Machine Learning
Jun 9

Asymptotic Optimality of Thompson Sampling for Risk-Averse Bandits with Sub-Gaussian Rewards

arXiv:2606. 09191v1 Announce Type: new Abstract: We prove that $\rho\text{-}\mathrm{NPTS}_{\mathrm{SG}}$, an anchor-free nonparametric Thompson Sampling algorithm for risk-averse bandits, achieves regret matching the instance-dependent lower bound to leading order in $\log n$, establishing it as asymptotically optimal for any continuous risk functional $\rho$ (CVaR, mean-variance, Sharpe ratio, distortion risk measures, and more) on the class of distributions with bounded density and sub-Gaussian tails, including Gaussian arms.

By Joel Q. L. Chang
arXiv Machine Learning
Aug 4

Tail-Aware Information-Theoretic Bounds for LLM Alignment under Heavy-Tailed Rewards

arXiv:2604. 10727v2 Announce Type: replace-cross Abstract: Classical information-theoretic learning bounds typically rely on KL mutual information and moment-generating-function (MGF) arguments, which are well matched to bounded or sub-Gaussian losses but can be ineffective when losses or rewards are heavy-tailed.

By Huiming Zhang, Binghan Li, Wan Tian, Qiang Sun