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Distributionally Robust Optimization with Principal Component Analysis [PDF]
SIAM Journal on Optimization, 2018 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cosmin Safta, Ali Pinar, Habib Najm
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Distributionally Robust Optimization and Robust Statistics
Statistical ScienceWe review distributionally robust optimization (DRO), a principled approach for constructing statistical estimators that hedge against the impact of deviations in the expected loss between the training and deployment environments. Many well-known estimators in statistics and machine learning (e.g.
JOSÉ Blanchet
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Distributionally robust modeling of optimal control
Operations Research Letters, 2022zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Distributionally Robust Optimization under Distorted Expectations
SSRN Electronic Journal, 2020Optimal Decision Making Under Distorted Expectation with Partial Distribution Information Decision makers who are not risk neutral may evaluate expected values by distorting objective probabilities to reflect their risk attitudes, a phenomenon known as distorted expectations. This concept is widely applied in behavioral economics, insurance, finance,
Jun Cai +2 more
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An Approximation Scheme for Distributionally Robust Nonlinear Optimization
SIAM Journal on Optimization, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Johannes Milz, Michael Ulbrich
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Dropout training is distributionally robust optimal
J. Mach. Learn. Res., 2023Summary: This paper shows that dropout training in generalized linear models is the minimax solution of a two-player, zero-sum game where an adversarial nature corrupts a statistician's covariates using a multiplicative nonparametric errors-in-variables model.
Jose H. Blanchet +4 more
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Distributionally robust Optimal Control and MDP modeling
Operations Research Letters, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Distributionally Robust Stochastic Optimization with Wasserstein Distance
Mathematics of Operations Research, 2023Anton Kleywegt, Rui Gao
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Distributionally Robust Optimization with Data Geometry
Advances in Neural Information Processing Systems 35, 2022Jiashuo Liu +3 more
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