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Jose Blanchet
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Year
Quantifying distributional model risk via optimal transport
J Blanchet, K Murthy
Mathematics of Operations Research 44 (2), 565-600, 2019
2952019
Robust Wasserstein profile inference and applications to machine learning
J Blanchet, Y Kang, K Murthy
Journal of Applied Probability 56 (3), 830-857, 2019
2662019
A markov chain approximation to choice modeling
J Blanchet, G Gallego, V Goyal
Operations Research 64 (4), 886-905, 2016
2662016
Efficient rare-event simulation for the maximum of heavy-tailed random walks
J Blanchet, P Glynn
1362008
On the Laplace transform of the lognormal distribution
S Asmussen, JL Jensen, L Rojas-Nandayapa
Methodology and Computing in Applied Probability 18 (2), 441-458, 2016
1112016
Asymptotic robustness of estimators in rare-event simulation
P L'ecuyer, JH Blanchet, B Tuffin, PW Glynn
ACM Transactions on Modeling and Computer Simulation (TOMACS) 20 (1), 1-41, 2010
1032010
Convergence rate analysis of a stochastic trust-region method via supermartingales
J Blanchet, C Cartis, M Menickelly, K Scheinberg
INFORMS journal on optimization 1 (2), 92-119, 2019
752019
State-dependent importance sampling for rare-event simulation: An overview and recent advances
J Blanchet, H Lam
Surveys in Operations Research and Management Science 17 (1), 38-59, 2012
702012
Distributionally robust mean-variance portfolio selection with Wasserstein distances
J Blanchet, L Chen, XY Zhou
Management Science 68 (9), 6382-6410, 2022
632022
Efficient Monte Carlo for high excursions of Gaussian random fields
RJ Adler, JH Blanchet, J Liu
632012
Towards optimal running times for optimal transport
J Blanchet, A Jambulapati, C Kent, A Sidford
arXiv preprint arXiv:1810.07717, 2018
612018
State-dependent importance sampling for regularly varying random walks
JH Blanchet, J Liu
Advances in Applied Probability 40 (4), 1104-1128, 2008
612008
Learning in generalized linear contextual bandits with stochastic delays
Z Zhou, R Xu, J Blanchet
Advances in Neural Information Processing Systems 32, 2019
572019
Efficient simulation of tail probabilities of sums of correlated lognormals
S Asmussen, J Blanchet, S Juneja, L Rojas-Nandayapa
Annals of Operations Research 189 (1), 5-23, 2011
562011
Data-driven optimal transport cost selection for distributionally robust optimization
J Blanchet, Y Kang, K Murthy, F Zhang
2019 winter simulation conference (WSC), 3740-3751, 2019
442019
Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue
J Blanchet, P Glynn, JC Liu
Queueing Systems 57, 99-113, 2007
442007
Optimal transport-based distributionally robust optimization: Structural properties and iterative schemes
J Blanchet, K Murthy, F Zhang
Mathematics of Operations Research 47 (2), 1500-1529, 2022
422022
On exact sampling of stochastic perpetuities
JH Blanchet, K Sigman
Journal of Applied Probability 48 (A), 165-182, 2011
422011
Efficient importance sampling for binary contingency tables
JH Blanchet
422009
Unbiased Monte Carlo for optimization and functions of expectations via multi-level randomization
JH Blanchet, PW Glynn
2015 winter simulation conference (wsc), 3656-3667, 2015
402015
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Articles 1–20