用生成模型应对数据分布变化,提升决策鲁棒性
Generative models for decision-making under distributional shift

- 基于流与得分模型构建可转化的分布表示,通过映射和动态过程实现分布调整
- 能学习名义不确定性,生成压力场景或最不利分布以增强决策稳健性
- 适合做风险评估、不确定性量化及部分观测下的条件决策问题
许多数据驱动的决策问题依赖于从历史数据估计的名义分布,但实际部署时的分布可能因环境变化、观测不全或极端情况而发生偏移。本教程介绍现代生成模型(尤其是流模型和得分模型)作为数学工具,用于构建与决策相关的分布。从运筹学视角看,其核心价值不在于无约束采样,而在于通过传输映射、速度场、得分场和引导随机动力学来表示与变换分布。我们提出一个统一框架,融合前向映射、连续性、福克-普朗克方程、Wasserstein几何及概率空间优化。在此框架下,生成模型可用于学习名义不确定性,构造压力或最不利分布以实现鲁棒性,以及在附加信息或部分观测条件下生成条件或后验分布。我们还强调了代表性理论保证:迭代流模型的正反向收敛性、传输映射空间中的一阶极小极大分析,以及使用生成先验进行后验采样的误差传递界。本教程为在分布偏移下进行情景生成、鲁棒决策、不确定性量化等提供了严谨方法。
原文摘要 · Abstract (English)
Many data-driven decision problems are formulated using a nominal distribution estimated from historical data, while performance is ultimately determined by a deployment distribution that may be shifted, context-dependent, partially observed, or stress-induced. This tutorial presents modern generative models, particularly flow- and score-based methods, as mathematical tools for constructing decision-relevant distributions. From an operations research perspective, their primary value lies not in unconstrained sample synthesis but in representing and transforming distributions through transport maps, velocity fields, score fields, and guided stochastic dynamics. We present a unified framework based on pushforward maps, continuity, Fokker-Planck equations, Wasserstein geometry, and optimization in probability space. Within this framework, generative models can be used to learn nominal uncertainty, construct stressed or least-favorable distributions for robustness, and produce conditional or posterior distributions under side information and partial observation. We also highlight representative theoretical guarantees, including forward-reverse convergence for iterative flow models, first-order minimax analysis in transport-map space, and error-transfer bounds for posterior sampling with generative priors. The tutorial provides a principled introduction to using generative models for scenario generation, robust decision-making, uncertainty quantification, and related problems under distributional shift.
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