Sinkhorn Distributionally Robust Conditional Quantile Prediction with Fixed Design

Jiang, Guohui; Mao, Tiantian

doi:10.3390/e27060557

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Open AccessArticle

Sinkhorn Distributionally Robust Conditional Quantile Prediction with Fixed Design

by

Guohui Jiang

and

Tiantian Mao

^*

Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230052, China

^*

Author to whom correspondence should be addressed.

Entropy 2025, 27(6), 557; https://doi.org/10.3390/e27060557

Submission received: 7 April 2025 / Revised: 23 May 2025 / Accepted: 23 May 2025 / Published: 25 May 2025

(This article belongs to the Section Information Theory, Probability and Statistics)

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Abstract

This paper proposes a novel data-driven distributionally robust framework for conditional quantile prediction under the fixed design setting of the covariates, which we refer to as Sinkhorn distributionally robust conditional quantile prediction. We derive a convex programming dual reformulation of the proposed problem and further develop a conic optimization reformulation for the case with finite support. Our method’s superior performance is demonstrated through several numerical experiments, highlighting its effectiveness in practical applications.

Keywords: distributionally robust optimization; conditional quantile prediction; Sinkhorn distance

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MDPI and ACS Style

Jiang, G.; Mao, T. Sinkhorn Distributionally Robust Conditional Quantile Prediction with Fixed Design. Entropy 2025, 27, 557. https://doi.org/10.3390/e27060557

AMA Style

Jiang G, Mao T. Sinkhorn Distributionally Robust Conditional Quantile Prediction with Fixed Design. Entropy. 2025; 27(6):557. https://doi.org/10.3390/e27060557

Chicago/Turabian Style

Jiang, Guohui, and Tiantian Mao. 2025. "Sinkhorn Distributionally Robust Conditional Quantile Prediction with Fixed Design" Entropy 27, no. 6: 557. https://doi.org/10.3390/e27060557

APA Style

Jiang, G., & Mao, T. (2025). Sinkhorn Distributionally Robust Conditional Quantile Prediction with Fixed Design. Entropy, 27(6), 557. https://doi.org/10.3390/e27060557

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Sinkhorn Distributionally Robust Conditional Quantile Prediction with Fixed Design

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