31 citations · 38 across the 2 of their papers we have counts for
2 papers
stat.ML2017★ 7 cited
Doubly Robust Data-Driven Distributionally Robust Optimization
Jose Blanchet, Yang Kang, Fan Zhang +2
Data-driven Distributionally Robust Optimization (DD-DRO) via optimal transport has been shown to encompass a wide range of popular machine learning algorithms. The distributional…
math.ST2016★ 31 cited
On distributionally robust extreme value analysis
Jose Blanchet, Fei He, Karthyek R. A. Murthy
We study distributional robustness in the context of Extreme Value Theory (EVT). We provide a data-driven method for estimating extreme quantiles in a manner that is robust against…