Wasserstein Distributionally Robust Nonparametric Regression

• URL: http://arxiv.org/abs/2505.07967v1
• Date: Mon, 12 May 2025 18:07:37 GMT
• Title: Wasserstein Distributionally Robust Nonparametric Regression
• Authors: Changyu Liu, Yuling Jiao, Junhui Wang, Jian Huang,
• Abstract summary: This paper studies the generalization properties of Wasserstein distributionally robust nonparametric estimators.<n>We establish non-asymptotic error bounds for the excess local worst-case risk.<n>The robustness of the proposed estimator is evaluated through simulation studies and illustrated with an application to the MNIST dataset.
• Score: 9.65010022854885
• License: http://creativecommons.org/licenses/by/4.0/
• Abstract: Distributionally robust optimization has become a powerful tool for prediction and decision-making under model uncertainty. By focusing on the local worst-case risk, it enhances robustness by identifying the most unfavorable distribution within a predefined ambiguity set. While extensive research has been conducted in parametric settings, studies on nonparametric frameworks remain limited. This paper studies the generalization properties of Wasserstein distributionally robust nonparametric estimators, with particular attention to the impact of model misspecification, where non-negligible discrepancies between the estimation function space and target function can impair generalization performance. We establish non-asymptotic error bounds for the excess local worst-case risk by analyzing the regularization effects induced by distributional perturbations and employing feedforward neural networks with Lipschitz constraints. These bounds illustrate how uncertainty levels and neural network structures influence generalization performance and are applicable to both Lipschitz and quadratic loss functions. Furthermore, we investigate the Lagrangian relaxation of the local worst-case risk and derive corresponding non-asymptotic error bounds for these estimators. The robustness of the proposed estimator is evaluated through simulation studies and illustrated with an application to the MNIST dataset.

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