30 citations · 138 across the 35 of their papers we have counts for
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math.OC2018★ 30 cited
Wasserstein Distributionally Robust Kalman Filtering
Soroosh Shafieezadeh-Abadeh, Viet Anh Nguyen, Daniel Kuhn +1
We study a distributionally robust mean square error estimation problem over a nonconvex Wasserstein ambiguity set containing only normal distributions. We show that the optimal es…
math.OC2018★ 2 cited
Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
Viet Anh Nguyen, Daniel Kuhn, Peyman Mohajerin Esfahani
We introduce a distributionally robust maximum likelihood estimation model with a Wasserstein ambiguity set to infer the inverse covariance matrix of a -dimensional Gaussian ran…