A Distributionally Robust Optimization Framework for Extreme Event Estimation

3 January 2023

Papers citing "A Distributionally Robust Optimization Framework for Extreme Event Estimation"

4 / 4 papers shown

Title
Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions Patrick Kuiper Colin Shea-Blymyer Wenhao Yang Yuting Ng Houssam Abbas Jose H. Blanchet Vahid Tarokh 39 0 0 31 Jul 2024
Propagation of Input Tail Uncertainty in Rare-Event Estimation: A Light versus Heavy Tail Dichotomy Zhiyuan Huang Henry Lam Zhen-Yan Liu 11 0 0 30 Dec 2023
Smoothed $f$ -Divergence Distributionally Robust Optimization Zhen-Yan Liu Bart P. G. Van Parys H. Lam 11 6 0 24 Jun 2023
Sample Out-Of-Sample Inference Based on Wasserstein Distance Jose H. Blanchet Yang Kang 28 35 0 04 May 2016