2 papers
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.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…