9 citations · 17 across the 10 of their papers we have counts for
3 papers · 1 filter
Distributionally Robust Optimization and Robust Statistics
Jose Blanchet, Jiajin Li, Sirui Lin +1
We review distributionally robust optimization (DRO), a principled approach for constructing statistical estimators that hedge against the impact of deviations in the expected loss…
Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff
Jose Blanchet, Fernando Hernandez, Viet Anh Nguyen +2
Missing time-series data is a prevalent problem in many prescriptive analytics models in operations management, healthcare and finance. Imputation methods for time-series data are…
Enhanced Balancing of Bias-Variance Tradeoff in Stochastic Estimation: A Minimax Perspective
Henry Lam, Xinyu Zhang, Xuhui Zhang
Biased stochastic estimators, such as finite-differences for noisy gradient estimation, often contain parameters that need to be properly chosen to balance impacts from the bias an…