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cs.LG2022
On Generalization and Regularization via Wasserstein Distributionally Robust Optimization
Qinyu Wu, Jonathan Yu-Meng Li, Tiantian Mao
Wasserstein distributionally robust optimization (DRO) has gained prominence in operations research and machine learning as a powerful method for achieving solutions with favorable…
econ.TH2022
Probabilistic risk aversion for generalized rank-dependent functions
Ruodu Wang, Qinyu Wu
Probabilistic risk aversion, defined through quasi-convexity in probabilistic mixtures, is a common useful property in decision analysis. We study a general class of non-monotone m…
q-fin.RM2022★ 5 cited
Model Aggregation for Risk Evaluation and Robust Optimization
Tiantian Mao, Ruodu Wang, Qinyu Wu
We introduce a new approach for prudent risk evaluation based on stochastic dominance, which will be called the model aggregation (MA) approach. In contrast to the classic worst-ca…