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math.OC2026
Conformal-DRO: Distributionally Robust Optimization with Conformalized Ambiguity Set
Luhao Zhang, Shixiang Zhu
Data-driven distributionally robust optimization (DRO) typically treats the conditional outcome law as fixed and uses ambiguity sets to capture estimation error. This paper studies…
math.OC2024
Decision Making under Costly Sequential Information Acquisition: the Paradigm of Reversible and Irreversible Decisions
Renyuan Xu, Thaleia Zariphopoulou, Luhao Zhang
Decision making in modern stochastic systems, including e-commerce platforms, financial markets and healthcare systems, has evolved into a multifaceted process that combines inform…
math.OC2022★ 20 cited
A Short and General Duality Proof for Wasserstein Distributionally Robust Optimization
Luhao Zhang, Jincheng Yang, Rui Gao
We present a general duality result for Wasserstein distributionally robust optimization that holds for any Kantorovich transport cost, measurable loss function, and nominal probab…