12 citations · 12 across the 1 of their papers we have counts for
4 papers
Robust Importance Weighting for Covariate Shift
Henry Lam, Fengpei Li, Siddharth Prusty
In many learning problems, the training and testing data follow different distributions and a particularly common situation is the \textit{covariate shift}. To correct for sampling…
Parametric Scenario Optimization under Limited Data: A Distributionally Robust Optimization View
Henry Lam, Fengpei Li
We consider optimization problems with uncertain constraints that need to be satisfied probabilistically. When data are available, a common method to obtain feasible solutions for…
Unbiased Sampling of Multidimensional Partial Differential Equations with Random Coefficients
Jose Blanchet, Fengpei Li, Xiaoou Li
We construct an unbiased estimator for function value evaluated at the solution of a partial differential equation with random coefficients. We show that the variance and expected…
Unbiased Simulation for Optimizing Stochastic Function Compositions
Jose Blanchet, Donald Goldfarb, Garud Iyengar +2
In this paper, we introduce an unbiased gradient simulation algorithms for solving convex optimization problem with stochastic function compositions. We show that the unbiased grad…