3 citations · 4 across the 6 of their papers we have counts for
7 papers
Solving the Dual Problems of Dynamic Programs via Regression
Helin Zhu, Fan Ye, Enlu Zhou
In recent years, information relaxation and duality in dynamic programs have been studied extensively, and the resulted primal-dual approach has become a powerful procedure in solv…
Solving Multi-Objective Optimization via Adaptive Stochastic Search with Domination Measure
Joshua Q Hale, Helin Zhu, Enlu Zhou
For general multi-objective optimization problems, we propose a novel performance metric called domination measure to measure the quality of a solution, which can be intuitively in…
A Bayesian Risk Approach to Data-driven Stochastic Optimization: Formulations and Asymptotics
Di Wu, Helin Zhu, Enlu Zhou
A large class of stochastic programs involve optimizing an expectation taken with respect to an underlying distribution that is unknown in practice. One popular approach to address…
Simulation Optimization of Risk Measures with Adaptive Risk Levels
Helin Zhu, Joshua Hale, Enlu Zhou
Optimizing risk measures such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) of a general loss distribution is usually difficult, because 1) the loss function might la…
Risk Quantification in Stochastic Simulation under Input Uncertainty
Helin Zhu, Tianyi Liu, Enlu Zhou
When simulating a complex stochastic system, the behavior of output response depends on input parameters estimated from finite real-world data, and the finiteness of data brings in…
Weakly Coupled Dynamic Program: Information and Lagrangian Relaxations
Fan Ye, Helin Zhu, Enlu Zhou
"Weakly coupled dynamic program" describes a broad class of stochastic optimization problems in which multiple controlled stochastic processes evolve independently but subject to a…