1 citations · 1 across the 7 of their papers we have counts for
Showing 2023Show all
2 papers · 1 filter
math.ST2023
Propagation of Input Tail Uncertainty in Rare-Event Estimation: A Light versus Heavy Tail Dichotomy
Zhiyuan Huang, Henry Lam, Zhenyuan Liu
We consider the estimation of small probabilities or other risk quantities associated with rare but catastrophic events. In the model-based literature, much of the focus has been d…
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…