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A Distributionally Robust Optimization Framework for Extreme Event Estimation
3 January 2023
Yuanlu Bai
H. Lam
Xinyu Zhang
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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
41
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
13
0
0
30 Dec 2023
Smoothed
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f
f
-Divergence Distributionally Robust Optimization
Zhen-Yan Liu
Bart P. G. Van Parys
H. Lam
13
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
1