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stat.ME2026
Wasserstein Distributionally Robust Rare-Event Simulation
Dohyun Ahn, Huiyi Chen, Lewen Zheng
Standard rare-event simulation techniques require exact distributional specifications, which limits their effectiveness in the presence of distributional uncertainty. To address th…
stat.ME2025
Data-Driven Sequential Sampling for Tail Risk Mitigation
Dohyun Ahn, Taeho Kim
Given a finite collection of stochastic alternatives, we study the problem of sequentially allocating a fixed sampling budget to identify the optimal alternative with a high probab…