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Academic Events

Academic Seminar on Distributionally Robust Optimization via Optimal Transport and Its Applications

On April 19,Associate Professor Bai Yang attended an academic Seminar held in Industrial & Enterprise Systems Engineering (ISE) at 112 Transportation Building. Associate Professor Bai is now visiting University of Illinois at Urbana-Champaign (UIUC) as visiting scholar. He is now working on Markov decision process (MDP) as well as energy security policy modelling.

Professor Jose Blanchet from Stanford University gave a speech on distributionally robust optimization problem. Optimal mass transportation is a powerful tool in the arsenal of many quantitative disciplines, with well-documented applications spanning a wide range of areas, including, operations research, economics and image analysis. The study focus on data-driven distributionally robust optimization, that is, a class of perfect-information games in which an optimizer selects an action and adversary chooses a model within a region around a baseline distribution, which we often take to be an empirical measure. The authors show establish connections to regularized portfolio optimization strategies that are common in practice. These connections provide a rich intuition which allows interpreting various regularization parameters which are typically chosen in practice via cross-validation, but owing to this intuition, it is able to define a reasonable optimization criterion for choosing regularization parameters via pivotal statistics, thereby avoiding time-consuming cross-validation.

Jose Blanchet is a faculty member at Stanford in the Department of MS&E. Prior to joining Stanford, he taught at Columbia and Harvard. Jose is a recipient of the 2009 Best Publication Award given by the INFORMS Applied Probability Society and of the 2010 Erlang Prize. He also received a PECASE award given by NSF in 2010. He worked as an analyst in Protego Financial Advisors, a leading investment bank in Mexico. He has research interests in applied probability and Monte Carlo methods. He serves on the editorial board of Advances in Applied Probability, Journal of Applied Probability, Mathematics of Operations Research, QUESTA, Stochastic Models, and Stochastic Systems.