2 citations · 10 across the 11 of their papers we have counts for
9 papers · 1 filter
Multi-Attribute Utility Preference Robust Optimization: A Continuous Piecewise Linear Approximation Approach
Qiong Wu, Sainan Zhang, Wei Wang +1
In this paper, we consider a multi-attribute decision making problem where the decision maker's (DM's) objective is to maximize the expected utility of outcomes but the true utilit…
Randomization of Spectral Risk Measure and Distributional Robustness
Manlan Li, Xiaojiao Tong, Huifu Xu
In this paper, we consider a situation where a decision maker's (DM's) risk preference can be described by a spectral risk measure (SRM) but there is not a single SRM which can be…
Distributionally Preference Robust Optimization in Multi-Attribute Decision Making
Jian Hu, Dali Zhang, Huifu Xu +1
Utility preference robust optimization (PRO) has recently been proposed to deal with optimal decision making problems where the decision maker's (DM) preference over gains and loss…
Preference Robust Modified Optimized Certainty Equivalent
Qiong Wu, Huifu Xu
Ben-Tal and Teboulle \cite{BTT86} introduce the concept of optimized certainty equivalent (OCE) of an uncertain outcome as the maximum present value of a combination of the cash to…
Preference Robust Generalized Shortfall Risk Measure Based on the Cumulative Prospect Theory When the Value Function and Weighting Functions Are Ambiguous
Sainan Zhang, Huifu Xu
The utility-based shortfall risk (SR) measure introduced by Folmer and Schied [15] has been recently extended by Mao and Cai [29] to cumulative prospect theory (CPT) based SR in or…
Multistage Utility Preference Robust Optimization
Jia Liu, Zhiping Chen, Huifu Xu
In this paper, we consider a multistage expected utility maximization problem where the decision maker's utility function at each stage depends on historical data and the informati…
Statistical Robustness of Empirical Risks in Machine Learning
Shaoyan Guo, Huifu Xu, Liwei Zhang
This paper studies convergence of empirical risks in reproducing kernel Hilbert spaces (RKHS). A conventional assumption in the existing research is that empirical training data do…
Continuous Behavioural Function Equilibria and Approximation Schemes in Bayesian Games with Non-Finite Type and Action Spaces
Shaoyan Guo, Huifu Xu, Liwei Zhang
Meirowitz [17] showed existence of continuous behavioural function equilibria for Bayesian games with non-finite type and action spaces. A key condition for the proof of the existe…
Discrete Approximation of Two-Stage Stochastic and Distributionally Robust Linear Complementarity Problems
Xiaojun Chen, Hailin Sun, Huifu Xu
In this paper, we propose a discretization scheme for the two-stage stochastic linear complementarity problem (LCP) where the underlying random data are continuously distributed. U…