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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…
stat.ME2024
Quantifying Distributional Input Uncertainty via Inflated Kolmogorov-Smirnov Confidence Band
Motong Chen, Henry Lam, Zhenyuan Liu
In stochastic simulation, input uncertainty refers to the propagation of the statistical noise in calibrating input models to impact output accuracy, in addition to the Monte Carlo…