200 citations · 244 across the 14 of their papers we have counts for
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math.OC2018★ 9 cited
Distributionally Robust Optimization with Decision Dependent Ambiguity Sets
Fengqiao Luo, Sanjay Mehrotra
We study decision dependent distributionally robust optimization models, where the ambiguity sets of probability distributions can depend on the decision variables. These models ar…
math.PR2018
A Concentration Result of Estimating Phi-Divergence using Data Dependent Partition
Fengqiao Luo, Sanjay Mehrotra
Estimation of the -divergence between two unknown probability distributions using empirical data is a fundamental problem in information theory and statistical learning. We cons…