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Optimal Transport and Distributionally Robust Optimization

Program in Applied Mathematics Colloquium

Optimal Transport and Distributionally Robust Optimization
Series: Program in Applied Mathematics Colloquium
Location: Online
Presenter: Jose Blanchet, Department of Management Science and Engineering, Stanford University

In this talk, we discuss recent advances in modeling, statistics, and computational methods for optimal transport-based distributionally robust optimization (DRO) - which encompasses divergence-based DRO as a particular case. We discuss, for example, motivating formulations which include distributionally pricing and hedging with martingale constraints, portfolio optimization, and Bayesian non-parametric inverse problems. As we present these settings, we discuss optimal sample complexity approximations and iterative optimization algorithms for these types of problems.

Place: Zoom:     https://arizona.zoom.us/j/81337180102 Password:   applied