32 citations · 87 across the 9 of their papers we have counts for
9 papers
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…
Robustifying Conditional Portfolio Decisions via Optimal Transport
Viet Anh Nguyen, Fan Zhang, Shanshan Wang +3
We propose a data-driven portfolio selection model that integrates side information, conditional estimation and robustness using the framework of distributionally robust optimizati…
Distributionally Robust Batch Contextual Bandits
Nian Si, Fan Zhang, Zhengyuan Zhou +1
Policy learning using historical observational data is an important problem that has found widespread applications. Examples include selecting offers, prices, advertisements to sen…
Efficient Scenario Generation for Heavy-tailed Chance Constrained Optimization
Jose Blanchet, Fan Zhang, Bert Zwart
We consider a generic class of chance-constrained optimization problems with heavy-tailed (i.e., power-law type) risk factors. In this setting, we use the scenario approach to obta…
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…
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…
Exact Simulation for Multivariate Itô Diffusions
Jose Blanchet, Fan Zhang
We provide the first generic exact simulation algorithm for multivariate diffusions. Current exact sampling algorithms for diffusions require the existence of a transformation whic…
Doubly Robust Data-Driven Distributionally Robust Optimization
Jose Blanchet, Yang Kang, Fan Zhang +2
Data-driven Distributionally Robust Optimization (DD-DRO) via optimal transport has been shown to encompass a wide range of popular machine learning algorithms. The distributional…
Data-driven Optimal Cost Selection for Distributionally Robust Optimization
Jose Blanchet, Yang Kang, Fan Zhang +1
Recently, (Blanchet, Kang, and Murhy 2016, and Blanchet, and Kang 2017) showed that several machine learning algorithms, such as square-root Lasso, Support Vector Machines, and reg…