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stat.ML2024
Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions
Patrick Kuiper, Ali Hasan, Wenhao Yang +4
The goal of this paper is to develop distributionally robust optimization (DRO) estimators, specifically for multidimensional Extreme Value Theory (EVT) statistics. EVT supports us…
cs.LG2024
Neural McKean-Vlasov Processes: Distributional Dependence in Diffusion Processes
Haoming Yang, Ali Hasan, Yuting Ng +1
McKean-Vlasov stochastic differential equations (MV-SDEs) provide a mathematical description of the behavior of an infinite number of interacting particles by imposing a dependence…