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Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization

Nguyen, Viet Anh  
•
Shafieezadeh Abadeh, Soroosh  
•
Kuhn, Daniel  
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2023
Mathematics of Operations Research

We introduce a distributionally robust minimium mean square error estimation model with a Wasserstein ambiguity set to recover an unknown signal from a noisy observation. The proposed model can be viewed as a zero-sum game between a statistician choosing an estimator---that is, a measurable function of the observation---and a fictitious adversary choosing a prior---that is, a pair of signal and noise distributions ranging over independent Wasserstein balls---with the goal to minimize and maximize the expected squared estimation error, respectively. We show that if the Wasserstein balls are centered at normal distributions, then the zero-sum game admits a Nash equilibrium, where the players' optimal strategies are given by an affine estimator and a normal prior, respectively. We further prove that this Nash equilibrium can be computed by solving a tractable convex program. Finally, we develop a Frank-Wolfe algorithm that can solve this convex program orders of magnitude faster than state-of-the-art general purpose solvers. We show that this algorithm enjoys a linear convergence rate and that its direction-finding subproblems can be solved in quasi-closed form.

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