270 citations · 1k across the 102 of their papers we have counts for
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Unbiased Simulation for Optimizing Stochastic Function Compositions
Jose Blanchet, Donald Goldfarb, Garud Iyengar +2
In this paper, we introduce an unbiased gradient simulation algorithms for solving convex optimization problem with stochastic function compositions. We show that the unbiased grad…
Sample-path large deviations for Lévy processes and random walks with Weibull increments
Mihail Bazhba, Jose Blanchet, Chang-Han Rhee +1
We study sample-path large deviations for Lévy processes and random walks with heavy-tailed jump-size distributions that are of Weibull type. Our main results include an extended f…
Rare-Event Simulation for Distribution Networks
Jose Blanchet, Juan Li, Marvin K. Nakayama
We model equilibrium allocations in a distribution network as the solution of a linear program (LP) which minimizes the cost of unserved demands across nodes in the network. The co…
Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes
Bohan Chen, Jose Blanchet, Chang-Han Rhee +1
We propose a class of strongly efficient rare event simulation estimators for random walks and compound Poisson processes with a regularly varying increment/jump-size distribution…
Exact Simulation for Multivariate Itô Diffusions
Jose Blanchet, Fan Zhang
We provide the first generic exact simulation algorithm for multivariate diffusions. Current exact sampling algorithms for diffusions require the existence of a transformation whic…
Doubly Robust Data-Driven Distributionally Robust Optimization
Jose Blanchet, Yang Kang, Fan Zhang +2
Data-driven Distributionally Robust Optimization (DD-DRO) via optimal transport has been shown to encompass a wide range of popular machine learning algorithms. The distributional…