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math.OC2024★ 1 cited
Wasserstein Distributionally Robust Optimization with Heterogeneous Data Sources
Yves Rychener, Adrian Esteban-Perez, Juan M. Morales +1
We study decision problems under uncertainty, where the decision-maker has access to data sources that carry {\em biased} information about the underlying risk factors. The bia…
stat.ML2024
A Geometric Unification of Distributionally Robust Covariance Estimators: Shrinking the Spectrum by Inflating the Ambiguity Set
Man-Chung Yue, Yves Rychener, Daniel Kuhn +1
The state-of-the-art methods for estimating high-dimensional covariance matrices all shrink the eigenvalues of the sample covariance matrix towards a data-insensitive shrinkage tar…