32 citations · 87 across the 9 of their papers we have counts for
Showing 2017Show all
3 papers · 1 filter
math.PR2017★ 32 cited
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…
stat.ML2017★ 7 cited
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…
stat.ML2017★ 8 cited
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…