3 papers
cs.LG2022
Double Thompson Sampling in Finite stochastic Games
Shuqing Shi, Xiaobin Wang, Zhiyou Yang +2
We consider the trade-off problem between exploration and exploitation under finite discounted Markov Decision Process, where the state transition matrix of the underlying environm…
stat.ML2019
A Distributionally Robust Boosting Algorithm
Jose Blanchet, Yang Kang, Fan Zhang +1
Distributionally Robust Optimization (DRO) has been shown to provide a flexible framework for decision making under uncertainty and statistical estimation. For example, recent work…
math.OC2018
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…