2 papers
econ.EM2020
Worst-case sensitivity
Jun-ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
We introduce the notion of Worst-Case Sensitivity, defined as the worst-case rate of increase in the expected cost of a Distributionally Robust Optimization (DRO) model when the si…
stat.ML2017
Calibration of Distributionally Robust Empirical Optimization Models
Jun-Ya Gotoh, Michael Jong Kim, Andrew E. B. Lim
We study the out-of-sample properties of robust empirical optimization problems with smooth -divergence penalties and smooth concave objective functions, and develop a theory fo…