2024/03/21 by Jie Wang, Rui Gao, Wang, Jie +3 · 1 citation
Decision Sciences · Engineering · #Advanced Statistical Process Monitoring #FOS: Computer and information sciences #FOS: Mathematics #Fault Detection and Control Systems #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Optimization and Control (math.OC)
paper · pdf · doi:10.48550/arxiv.2403.14822
openalex publication_date 2024/03/21 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/01
We present a new framework to address the non-convex robust hypothesis testing problem, wherein the goal is to seek the optimal detector that minimizes the maximum of worst-case type-I and type-II risk functions. The distributional uncertainty sets are constructed to center around the empirical distribution derived from samples based on Sinkhorn discrepancy. Given that the objective involves non-convex, non-smooth probabilistic functions that are often intractable to optimize, existing methods resort to approximations rather than exact solutions. To tackle the challenge, we introduce an exact mixed-integer exponential conic reformulation of the problem, which can be solved into a global optimum with a moderate amount of input data. Subsequently, we propose a convex approximation, demonstrating its superiority over current state-of-the-art methodologies in literature. Furthermore, we establish connections between robust hypothesis testing and regularized formulations of non-robust risk functions, offering insightful interpretations. Our numerical study highlights the satisfactory testing performance and computational efficiency of the proposed framework.