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math.OC2020★ 11 cited
Kernel Distributionally Robust Optimization
Jia-Jie Zhu, Wittawat Jitkrittum, Moritz Diehl +1
We propose kernel distributionally robust optimization (Kernel DRO) using insights from the robust optimization theory and functional analysis. Our method uses reproducing kernel H…
math.OC2020★ 1 cited
Worst-Case Risk Quantification under Distributional Ambiguity using Kernel Mean Embedding in Moment Problem
Jia-Jie Zhu, Wittawat Jitkrittum, Moritz Diehl +1
In order to anticipate rare and impactful events, we propose to quantify the worst-case risk under distributional ambiguity using a recent development in kernel methods -- the kern…