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Combining data-drivenness and robustness in machine learning

Lightbulb with small designs surrounding it

Machine learning and optimization are two key technologies driving analytics in industry. The increasing availability of large datasets has motivated the design of new machine learning and optimization models that can better exploit data. 

Telfer professor Jonathan Li has received a Natural Sciences and Jonathan LiEngineering Research Council of Canada (NSERC) Discovery grant for a project titled “An analytic framework for the simultaneous pursuit of data drivenness and robustness in machine learning and optimization.” 

Central to machine learning and optimization models are the principles of data-drivenness and robustness. The former refers to capturing information and the latter to protection against sampling errors and unforeseen data.

Li wishes to establish a data-driven distributionally robust optimization (DD-DRO) framework that can resolve, or at least lessen, the trade-off between data-drivenness and robustness.

Expected contribution to knowledge

Distributionally robust optimization (DRO) has emerged in the past decade as arguably one of the most high-impact methodologies across many fields of study, including statistics, computer science, finance and operations research. The increasing availability of large datasets has stimulated many studies on how to best incorporate data into DRO. 

Li’s research seeks to enhance DRO applicability and adoption in many fields. It could offer financial institutions a means to capitalize on the power of analytics in portfolio management, to build more efficient, resilient and equitable portfolios, furthering economic stability and offering financial resources to the disadvantaged.


About the Author

Zoï Coucopoulos a occupé le poste de coordonnatrice des initiatives stratégiques, où elle soutenait la croissance de la qualité et de l'intensité de la recherche de l’École de gestion Telfer en aidant les chercheurs et les groupes de recherche à élaborer des programmes de recherche interdisciplinaires et des activités de sensibilisation. De plus, elle travaillait à faciliter le développement de groupes de recherche stratégiques et à aider les membres du corps professoral et les étudiantes et étudiants diplômés à contribuer au développement d'une culture solide basée sur la recherche.</br></br>Zoï Coucopoulos previously held the position of Coordinator of Strategic Initiatives, where she supported the growth of the Telfer School of Management’s research quality and intensity by assisting researchers and research groups in developing interdisciplinary research programs and outreach activities. She also facilitated the development of strategic research groups and helped faculty members and research-based graduate students contribute to the development of a strong research culture.