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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
Base Models for Parabolic Partial Differential Equations
Xingzi Xu, Ali Hasan, Jie Ding +1
Parabolic partial differential equations (PDEs) appear in many disciplines to model the evolution of various mathematical objects, such as probability flows, value functions in con…
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…