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math.OC2024
Shape-Constrained Distributional Optimization via Importance-Weighted Sample Average Approximation
Henry Lam, Zhenyuan Liu, Dashi I. Singham
Shape-constrained optimization arises in a wide range of problems including distributionally robust optimization (DRO) that has surging popularity in recent years. In the DRO liter…
math.OC2023
Smoothed -Divergence Distributionally Robust Optimization
Zhenyuan Liu, Bart P. G. Van Parys, Henry Lam
In data-driven optimization, sample average approximation (SAA) is known to suffer from the so-called optimizer's curse that causes an over-optimistic evaluation of the solution pe…
math.OC2021
Orthounimodal Distributionally Robust Optimization: Representation, Computation and Multivariate Extreme Event Applications
Henry Lam, Zhenyuan Liu, Xinyu Zhang
This paper studies a basic notion of distributional shape known as orthounimodality (OU) and its use in shape-constrained distributionally robust optimization (DRO). As a key motiv…