Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization
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.
Cite this item
Nguyen, V. A., Shafieezadeh Abadeh, S., Kuhn, D., & Mohajerin Esfahani, P. (2023). Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization. Mathematics of Operations Research, 48(1), 1–37. https://doi.org/10.1287/moor.2021.1176
Click Copy to copy the citation, or select the text manually.
1911.03539
2023
48
1
1
37
View record in ArXiv
REVIEWED
EPFL