Juan M. Morales

Wasserstein Distributionally Robust Optimization with Heterogeneous Data Sources

  • Adrian Esteban Perez
  • Yves Rychener
  • Daniel Kuhn
  • Juan M. Morales
    • Categories Robust Optimization Tags , ,

    We study decision problems under uncertainty, where the decision-maker has access to K data sources that carry biased information about the underlying risk factors. The biases are measured by the mismatch between the risk factor distribution and the K data-generating distributions with respect to an optimal transport (OT) distance. In this situation the decision-maker can … Read more

    A dynamic programming approach to segmented isotonic regression

  • Victor Bucarey
  • Martine LabbĂ©
  • Juan M. Morales
  • Salvador Pineda
    • Categories Data-Mining, Dynamic Programming, Energy Tags , , , , ,

    This paper proposes a polynomial-time algorithm to construct the monotone stepwise curve that minimizes the sum of squared errors with respect to a given cloud of data points. The fitted curve is also constrained on the maximum number of steps it can be composed of and on the minimum step length. Our algorithm relies on … Read more