In many experimental contexts, it is necessary to statistically remove the impact
of instrumental effects in order to physically interpret measurements. This task
has been extensively studied in particle physics, where the deconvolution task
is called unfolding. A number of recent methods have shown how to perform
high-dimensional, unbinned unfolding using machine learning. However, one of
the assumptions in all of these methods is that the detector response is correctly
modeled in the Monte Carlo simulation. In practice, the detector response depends
on a number of nuisance parameters that can be constrained with data. We propose
a new algorithm called Profile OmniFold, which works in a similar iterative manner
as the OmniFold algorithm while being able to simultaneously profile the nuisance
parameters. We illustrate the method with a Gaussian example as a proof of concept
highlighting its promising capabilities.