5 papers · 1 filter
Time-integrated Optimal Transport: A Robust Minimax Framework
Thai P. D. Nguyen, Hong T. M. Chu, Kim-Chuan Toh
Comparing time series in a principled manner requires capturing both temporal alignment and distributional similarity of features. Optimal transport (OT) has recently emerged as a…
Wasserstein distributionally robust optimization and its tractable regularization formulations
Hong T. M. Chu, Meixia Lin, Kim-Chuan Toh
We study a variety of Wasserstein distributionally robust optimization (WDRO) problems where the distributions in the ambiguity set are chosen by constraining their Wasserstein dis…
A Corrected Inexact Proximal Augmented Lagrangian Method with a Relative Error Criterion for a Class of Group-quadratic Regularized Optimal Transport Problems
Lei Yang, Ling Liang, Hong T. M. Chu +1
The optimal transport (OT) problem and its related problems have attracted significant attention and have been extensively studied in various applications. In this paper, we focus…
On Regularized Square-root Regression Problems: Distributionally Robust Interpretation and Fast Computations
Hong T. M. Chu, Kim-Chuan Toh, Yangjing Zhang
Square-root (loss) regularized models have recently become popular in linear regression due to their nice statistical properties. Moreover, some of these models can be interpreted…
An efficient implementable inexact entropic proximal point algorithm for a class of linear programming problems
Hong T. M. Chu, Ling Liang, Kim-Chuan Toh +1
We introduce a class of specially structured linear programming (LP) problems, which has favorable modeling capability for important application problems in different areas such as…