114 citations · 348 across the 55 of their papers we have counts for
Showing 2019 · math.STShow all
2 papers · 2 filters
math.ST2019★ 10 cited
Multivariate Distributionally Robust Convex Regression under Absolute Error Loss
Jose Blanchet, Peter W. Glynn, Jun Yan +1
This paper proposes a novel non-parametric multidimensional convex regression estimator which is designed to be robust to adversarial perturbations in the empirical measure. We min…
math.ST2019★ 3 cited
Unbiased Multilevel Monte Carlo: Stochastic Optimization, Steady-state Simulation, Quantiles, and Other Applications
Jose H. Blanchet, Peter W. Glynn, Yanan Pei
We present general principles for the design and analysis of unbiased Monte Carlo estimators in a wide range of settings. Our estimators posses finite work-normalized variance unde…