The Rashomon set is the set of models that are approximately as good as the best model in the class. That is, it is the set of all good models.

Distributionally robust optimisation (DRO) minimises the worst-case expected loss over an ambiguity set that can capture distributional shifts in out-of-sample environments. While Huber (linear-vacuous) contamination is a classical minimal-assumption model for an $\varepsilon$-fraction of arbitrary perturbations, including it in an ambiguity set can make the worst-case risk infinite and the DRO objective vacuous unless one imposes strong boundedness or support assumptions. We address these challenges by introducing bulk-calibrated credal ambiguity sets: we learn a high-mass bulk set from data while considering contamination inside the bulk and bounding the remaining tail contribution separately. This leads to a closed-form, finite $\mathrm{mean}+\sup$ robust objective and tractable linear or second-order cone programs for common losses and bulk geometries. Through this framework, we highlight and exploit the equivalence between the imprecise probability (IP) notion of upper expectation and the worst-case risk, demonstrating how IP credal sets translate into DRO objectives with interpretable tolerance levels. Experiments on heavy-tailed inventory control, geographically shifted house-price regression, and demographically shifted text classification show competitive robustness-accuracy trade-offs and efficient optimisation times, using Bayesian, frequentist, or empirical reference distributions.

Linearly parametrized models are widely used in control and signal processing, with the least-squares (LS) estimate being the archetypical solution. When the input is insufficiently exciting, the LS problem may be unsolvable or numerically unstable. This issue can be resolved through regularization, typically with ridge regression. Although regularized estimators reduce the variance error, it remains important to quantify their estimation uncertainty. A possible approach for linear regression is to construct confidence ellipsoids with the Sign-Perturbed Sums (SPS) ellipsoidal outer approximation (EOA) algorithm. The SPS EOA builds non-asymptotic confidence ellipsoids under the assumption that the noises are independent and symmetric about zero. This paper introduces an extension of the SPS EOA algorithm to ridge regression, and derives probably approximately correct (PAC) upper bounds for the resulting region sizes. Compared with previous analyses, our result explicitly show how the regularization parameter affects the region sizes, and provide tighter bounds under weaker excitation assumptions. Finally, the practical effect of regularization is also demonstrated via simulation experiments.

Empirical risk minimization (ERM) may be used to generalize the result from train to test data.

In this paper, we focus on finding "bases" that allow us to represent a given set of vectors using

In many applications in machine learning and signal processing, it is important to find the right "representation" for a collection of data points or signals.

In real applications, interaction between machine learning models and domain experts is critical; however, the classical machine learning paradigm that usually produces only a single model does not facilitate such interaction. Approximating and exploring the Rashomon set, i.e., the set of all near-optimal models, addresses this practical challenge by providing the user with a searchable space containing a diverse set of models from which domain experts can choose. We present algorithms to efficiently and accurately approximate the Rashomon set of sparse, generalized additive models with ellipsoids for fixed support sets and use these ellipsoids to approximate Rashomon sets for many different support sets. The approximated Rashomon set serves as a cornerstone to solve practical challenges such as (1) studying the variable importance for the model class; (2) finding models under user-specified constraints (monotonicity, direct editing); and (3) investigating sudden changes in the shape functions. Experiments demonstrate the fidelity of the approximated Rashomon set and its effectiveness in solving practical challenges.

Quantifying the uncertainty of an object's pose estimate is essential for robust control and planning. Although pose estimation is a well-studied robotics problem, attaching statistically rigorous uncertainty is not well understood without strict distributional assumptions. We develop distribution-free pose uncertainty bounds about a given pose estimate in the monocular setting. Our pose uncertainty only requires high probability noise bounds on pixel detections of 2D semantic keypoints on a known object. This noise model induces an implicit, non-convex set of pose uncertainty constraints. Our key contribution is SLUE (S-Lemma Uncertainty Estimation), a convex program to reduce this set to a single ellipsoidal uncertainty bound that is guaranteed to contain the true object pose with high probability. SLUE solves a relaxation of the minimum volume bounding ellipsoid problem inspired by the celebrated S-lemma. It requires no initial guess of the bound's shape or size and is guaranteed to contain the true object pose with high probability. For tighter uncertainty bounds at the same confidence, we extend SLUE to a sum-of-squares relaxation hierarchy which is guaranteed to converge to the minimum volume ellipsoidal uncertainty bound for a given set of keypoint constraints. We show this pose uncertainty bound can easily be projected to independent translation and axis-angle orientation bounds. We evaluate SLUE on two pose estimation datasets and a real-world drone tracking scenario. Compared to prior work, SLUE generates substantially smaller translation bounds and competitive orientation bounds. We release code at https://github.com/MIT-SPARK/PoseUncertaintySets.