22 citations · 109 across the 34 of their papers we have counts for
5 papers · 1 filter
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…
The Empirical Likelihood Approach to Quantifying Uncertainty in Sample Average Approximation
Henry Lam, Enlu Zhou
We study the empirical likelihood approach to construct confidence intervals for the optimal value and the optimality gap of a given solution, henceforth quantify the statistical u…