Fan Zhang

Optimal Scenario Generation for Heavy-tailed Chance Constrained Optimization

  • Jose Blanchet
  • Fan Zhang
  • Bert Zwart
    • Categories Stochastic Programming

    We consider a generic class of chance-constrained optimization problems with heavy-tailed (i.e., power-law type) risk factors. In this setting, we use the scenario approach to obtain a constant approximation to the optimal solution with a computational complexity that is uniform in the risk tolerance parameter. We additionally illustrate the efficiency of our algorithm in the … Read more

    Optimal Transport Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes

  • Jose Blanchet
  • Karthyek Murthy
  • Fan Zhang
    • Categories Robust Optimization, Stochastic Programming Tags , , , , , , ,

    We consider optimal transport based distributionally robust optimization (DRO) problems with locally strongly convex transport cost functions and affine decision rules. Under conventional convexity assumptions on the underlying loss function, we obtain structural results about the value function, the optimal policy, and the worst-case optimal transport adversarial model. These results expose a rich structure embedded … Read more