4 papers
Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives
Anand Deo, Karthyek Murthy
Motivated by the prominence of Conditional Value-at-Risk (CVaR) as a measure for tail risk in settings affected by uncertainty, we develop a new formula for approximating CVaR base…
Confidence Regions in Wasserstein Distributionally Robust Estimation
Jose Blanchet, Karthyek Murthy, Nian Si
Wasserstein distributionally robust optimization estimators are obtained as solutions of min-max problems in which the statistician selects a parameter minimizing the worst-case lo…
Exploiting Partial Correlations in Distributionally Robust Optimization
Divya Padmanabhan, Karthik Natarajan, Karthyek R. A. Murthy
In this paper, we identify partial correlation information structures that allow for simpler reformulations in evaluating the maximum expected value of mixed integer linear program…
Optimal Transport Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes
Jose Blanchet, Karthyek Murthy, Fan Zhang
We consider optimal transport based distributionally robust optimization (DRO) problems with locally strongly convex transport cost functions and affine decision rules. Under conve…