Publications

Exact Simulation of Multivariate Diffusions and Bridges

Jose Blanchet, Jikai Jin, Hao Liu

arXiv

Regret-Optimal Linear-Quadratic Control under Distributional Drift

Lukas-Benedikt Fiechtner, José Blanchet

arXiv (Cornell University)

Quenched First-Passage Asymptotics for Branching Random Walk on a Hamming Cube

José Blanchet, Zhenyuan Zhang

arXiv (Cornell University)

Strategic Index Reconstitution: Differential Games, Closed-Loop Equilibria and Mean-Field Dynamics

Lukas-Benedikt Fiechtner, Jose Blanchet

arXiv

Extending Subsampling to Sequential Stopping

Jose Blanchet, Peter Glynn, Wenhao Yang

arXiv

There and Back Again: Bidirectional Diffusion Bridges for Multimodality Translation

Gabe Guo, Elon Litman, Thanawat Sornwanee, Jose Blanchet, Stefano Ermon

arXiv

Sobolev Regularized Score Difference Estimation in Diffusion Models

Chenghan Xie, Jose Blanchet, Renyuan Xu

arXiv

Optimal Watermark Localization in Mixed-Source Large Language Model Texts

José Blanchet, T. Tony Cai, Xiang Li, Hao Liu, Qi Long, Weijie J. Su

arXiv (Cornell University)

A Few Teacher Steps Go a Long Way: Cost-Efficient On-Policy Data Augmentation for Agent Post-Training

Junze Ye, Jiayi Cheng, Miao Lu, Michal Mankowski, Jose Blanchet, Mohsen Bayati

arXiv

Lipschitz Regularity in Wasserstein Robust Stochastic Optimal Control

Shengbo Wang, Jose Blanchet

arXiv

INFUSER: Influence-Guided Self-Evolution Improves Reasoning

Siyu Chen, Miao Lu, Beining Wu, Heejune Sheen, Fengzhuo Zhang, Shuangning Li, Zhiyuan Li, Jose Blanchet, Tianhao Wang, Zhuoran Yang

arXiv

Fast Convergence of Policy Regret in Learning Stochastic Optimal Control

Shengbo Wang, Jose Blanchet, Peter Glynn

arXiv

Statistical Inference for Stochastic Gradient Descent: Beyond Finite Variance

Jose Blanchet, Peter Glynn, Wenhao Yang

arXiv

Simple Approximation and Derivative Free Inference-Time Scaling for Diffusion Models via Sequential Monte Carlo on Path Measures

Chenyang Wang, Weizhong Wang, Yinuo Ren, Jose Blanchet, Yiping Lu

arXiv

TERMS-Bench: Diagnosing LLM Negotiation Agents Beyond Deal Rate

Erica Zhang, Fangzhao Zhang, Aneesh Pappu, Batu El, Jose Blanchet, Susan Athey, Jiashuo Liu, James Zou

arXiv

ABC: Any-Subset Autoregression via Non-Markovian Diffusion Bridges in Continuous Time and Space

Gabe Guo, Thanawat Sornwanee, Lutong Hao, Elon Litman, Stefano Ermon, Jose Blanchet

arXiv

Wasserstein Distributionally Robust Regret Optimization for Reinforcement Learning from Human Feedback

Yikai Wang, Shang Liu, Jose Blanchet

arXiv

Optimal Online and Offline Algorithms for Contextual MNL with Applications to Assortment and Pricing

Yunfan Zhang, Yuxuan Han, Hongyu Shan, Jose Blanchet, Zhengyuan Zhou

arXiv

Classical and Quantum Speedups for Non-Convex Optimization via Energy Conserving Descent

Yihang Sun, Huaijin Wang, Patrick Hayden, Jose Blanchet

arXiv

Partial Identification of Policy-Relevant Treatment Effects with Instrumental Variables via Optimal Transport

Jiyuan Tan, Jose Blanchet, Vasilis Syrgkanis

arXiv

Distributionally Robust Regret Optimal LQR with Common Stage-Law Ambiguity

Lukas-Benedikt Fiechtner, José Blanchet

arXiv (Cornell University)

Viral Quasispecies Evolution as a Branching Random Walk on the Hypercube

José Blanchet, Zhenyuan Zhang

arXiv (Cornell University)

When Should Humans Step In? Optimal Human Dispatching in AI-Assisted Decisions

Lezhi Tan, Naomi Sagan, Lihua Lei, José Blanchet

arXiv (Cornell University)

Statistical Inference in Causal Partial Identification with Smooth Densities

Sirui Lin, Zijun Gao, José Blanchet, Peter Glynn

arXiv (Cornell University)

Robust Assortment Optimization from Observational Data

Miao Lu, Yuxuan Han, Han Zhong, Zhengyuan Zhou, José Blanchet

arXiv (Cornell University)

Optimal Quantum Speedups for Repeatedly Nested Expectation Estimation

Yihang Sun, Guanyang Wang, José Blanchet

arXiv (Cornell University)

Empirical martingale projections via the adapted Wasserstein distance

José Blanchet, Johannes Wiesel, Erica Zhang, Zhenyuan Zhang

The Annals of Applied Probability

Score-based Metropolis-Hastings for Fractional Langevin Algorithms

Ahmed Aloui, Junyi Liao, Ali Hasan, Jose Blanchet, Vahid Tarokh

arXiv

Learning When to Trust LLM Priors: A Validated Framework for Semantic Prior Integration

Erica Zhang, Naomi Sagan, Danny Tse, Fangzhao Zhang, Mert Pilanci, Jose Blanchet

arXiv

Constructing Structure‐Property Maps using High‐Throughput Experiments and Machine Learning

Hou Wu, Sirui Lin, Yifan Zhou, Meng Yang, Hao Pan, Chenxu Yao, José Blanchet, Z. Suo, Tongqing Lu

Advanced Functional Materials

Deep learning for Markov chains: Lyapunov functions, Poisson’s equation, and stationary distributions

Yanlin Qu, José Blanchet, Peter Glynn

Queueing Systems

FutureX-Pro: Extending Future Prediction to High-Value Vertical Domains

Jiashuo Liu, Siyuan Chen, Zaiyuan Wang, Zhiyuan Zeng, Jiacheng Guo, Liang Hu, Lingyue Yin, Suozhi Huang, Wenxin Hao, Yang Yang, Zerui Cheng, Zixin Yao, Lingyue Yin, Haoxin Liu, Jiayi Cheng, Yuzhen Li, Zezhong Ma, Bingjie Wang, Bingsen Qiu, Xiao Liu, Zeyang Zhang, Zijian Liu, Jinpeng Wang, Mingren Yin, Tianci He, Yali Liao, Yixiao Tian, Zhenwei Zhu, Anqi Dai, Ge Zhang, Jingkai Liu, Kaiyuan Zhang, Wenlong Wu, Xiang Gao, Xinjie Chen, Zhixin Yao, Zhoufutu Wen, B. Aditya Prakash, Jose Blanchet, Mengdi Wang, Nian Si, Wenhao Huang

arXiv

Invariance and Concentration Properties of Gradient-based Learning in Games

Kyriakos Lotidis, Panayotis Mertikopoulos, Nicholas Bambos, José Blanchet

Proceedings of the IEEE Conference on Decision & Control, including the Symposium on Adaptive Processes

Connecting Quantum Computing with Classical Stochastic Simulation

José Blanchet, Mark S. Squillante, Márió Szegedy, Guanyang Wang

arXiv (Cornell University)

Efficient Optimization Procedures for CVAR-Constrained Optimization with Regularly Varying Risk Factors

Anish Senapati, José Blanchet, Fan Zhang, Bert Zwart

Winter Simulation Conference

Bayesian Distributionally Robust Merton Problem with Nonlinear Wasserstein Projections

José Blanchet, Cheng, Jiayi, Hao Liu, Yang Liu

arXiv (Cornell University)

Approximate Least-Favorable Distributions and Nearly Optimal Tests via Stochastic Mirror Descent

Andres Fernandez, José Blanchet, José Luis Montiel Olea, Chen Qiu, Jörg Stoye, Lezhi Tan

arXiv (Cornell University)

Epsilon-Minimax Solutions of Statistical Decision Problems

Andres Fernandez, José Blanchet, José Luis Montiel Olea, Chen Qiu, Jörg Stoye, Lezhi Tan

arXiv (Cornell University)

FutureX: An Advanced Live Benchmark for LLM Agents in Future Prediction

Zhiyuan Zeng, Jiashuo Liu, Siyuan Chen, Tianci He, Liao, Yali, Yixiao Tian, Jinpeng Wang, Z. Wang, Yang, Yang, Lihong Yin, Yin, Mingren, Zhenwei Zhu, Cai, Tianle, Chen, Zehui, Jiecao Chen, Yantao Du, Xiang Gao, Guo, Jiacheng, Liang Hu, Jianpeng Jiao, Xiangsheng Li, Jingkai Liu, Shuang Ni, Zhoufutu Wen, Ge ZHANG, Kaiyuan Zhang, Xin Zhou, José Blanchet, Xipeng Qiu, Mengdi Wang, Wenhao Huang

arXiv (Cornell University)

Computable bounds on convergence of Markov chains in Wasserstein distance via contractive drift

Yanlin Qu, José Blanchet, Peter W. Glynn

The Annals of Applied Probability

Distributionally Robust Optimization and Robust Statistics

José Blanchet, Jiajin Li, Sirui Lin, Xuhui Zhang

Statistical Science

Large deviations asymptotics for unbounded additive functionals of diffusion processes

Mihail Bazhba, José Blanchet, Roger J. A. Laeven, Bert Zwart

Annales de l Institut Henri Poincaré Probabilités et Statistiques

Epsilon-Minimax Solutions of Statistical Decision Problems via the Hedge Algorithm

Andres Aradillas Fernandez, Jose Blanchet, José Luis Montiel Olea, Chen Qiu, Jörg Stoye, Lezhi Tan

Proceedings of the 26th ACM Conference on Economics and Computation

Duality and Policy Evaluation in Distributionally Robust Bayesian Diffusion Control

José Blanchet, Cheng, Jiayi, Ling, Yuewei, Liu, Hao, Liu, Yang

arXiv (Cornell University)

Large Deviations of First Passage Times of Branching Random Walks in $\mathbb{R}^d$: Asymptotics and Algorithms

José Blanchet, Wei Cai, Shaswat Mohanty, Zhenyuan Zhang

arXiv (Cornell University)

Estimation of Treatment Effects in Extreme and Unobserved Data

Jiyuan Tan, Jose Blanchet, Vasilis Syrgkanis

arXiv

Distributionally robust Gaussian process regression and Bayesian inverse problems

Xuhui Zhang, José Blanchet, Youssef Marzouk, Viet Anh Nguyen, Sven Wang

The Annals of Applied Probability

Causal Partial Identification via Conditional Optimal Transport

Sirui Lin, Zijun Gao, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

DRO: A Python Library for Distributionally Robust Optimization in Machine Learning

Jiashuo Liu, Tianyu Wang, Henry Lam, Hongseok Namkoong, José Blanchet

arXiv (Cornell University)

Testing Fairness with Utility Tradeoffs: A Wasserstein Projection Approach

Yan Chen, Zheng Tan, Jose Blanchet, Hanzhang Qin

arXiv

Wasserstein Distributionally Robust Regret Optimization

Lukas-Benedikt Fiechtner, José Blanchet

arXiv (Cornell University)

Sample Path Large Deviations for Multivariate Heavy-Tailed Hawkes Processes and Related Lévy Processes

Jose Blanchet, Roger J. A. Laeven, Xingyu Wang, Bert Zwart

arXiv

Tail Asymptotics of Cluster Sizes in Multivariate Heavy-Tailed Hawkes Processes

José Blanchet, Roger J. A. Laeven, Xingyu Wang, Bert Zwart

arXiv (Cornell University)

Why is the strength of an elastomeric polymer network so low?

Shaswat Mohanty, José Blanchet, Zhigang Suo, Wei Cai

arXiv (Cornell University)

LLM-Lasso: A Robust Framework for Domain-Informed Feature Selection and Regularization

Erica Zhang, Goto, Ryunosuke, Naomi Sagan, Jurik Mutter, Nick Phillips, Ash A. Alizadeh, Kangwook Lee, José Blanchet, Mert Pilancı, Robert Tibshirani

arXiv (Cornell University)

Learning an Optimal Assortment Policy under Observational Data

Yuxuan Han, Zhong Han, Miao Lu, José Blanchet, Zhengyuan Zhou

arXiv (Cornell University)

Quantum speedup of non-linear Monte Carlo problems

José Blanchet, Yassine Hamoudi, Márió Szegedy, Guanyang Wang

arXiv (Cornell University)

Tightening Causal Bounds via Covariate-Aware Optimal Transport

Sirui Lin, Zijun Gao, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Multi-Agent Learning under Uncertainty: Recurrence vs. Concentration

Kyriakos Lotidis, Panayotis Mertikopoulos, Nicholas Bambos, José Blanchet

neural information processing systems

Robust Equilibria in Continuous Games: From Strategic to Dynamic Robustness

Kyriakos Lotidis, Panayotis Mertikopoulos, Nicholas Bambos, José Blanchet

neural information processing systems

Statistical Learning of Distributionally Robust Stochastic Control in Continuous State Spaces

conference paper

Generative Learning for Simulation of Vehicle Faults

Patrick Kuiper, Sirui Lin, José Blanchet, Vahid Tarokh

arXiv (Cornell University)

Robustifying Conditional Portfolio Decisions via Optimal Transport

Viet Anh Nguyen, Fan Zhang, Shanshan Wang, José Blanchet, Erick Delage, Yinyu Ye

Operations Research

Convolution Bounds on Quantile Aggregation

José Blanchet, Henry Lam, Yang Liu, Ruodu Wang

Operations Research

Limit Theorems for Stochastic Gradient Descent with Infinite Variance

José Blanchet, Aleksandar Mijatović, Wenhao Yang

arXiv (Cornell University)

Double Distributionally Robust Bid Shading for First Price Auctions

Yanlin Qu, Kant, Ravi, Yan Chen, Brendan Kitts, San Gultekin, Aaron Flores, José Blanchet

arXiv (Cornell University)

Optimal Downsampling for Imbalanced Classification with Generalized Linear Models

Yan Chen, José Blanchet, Krzysztof Dembczyński, Laura Fee Nern, Aaron Flores

arXiv (Cornell University)

Tightness Analysis of First Passage Times of $d$-Dimensional Branching Random Walk

José Blanchet, Zhenyuan Zhang

arXiv (Cornell University)

Wasserstein Projection Tests: Higher-Order Asymptotics and Connections to Empirical Likelihood

Sirui Lin, José Blanchet, Peter W. Glynn, Viet Anh Nguyen

arXiv (Cornell University)

Bounding adapted Wasserstein metrics

José Blanchet, Martin Larsson, Jonghwa Park, Johannes Wiesel

arXiv (Cornell University)

Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions

Patrick Kuiper, Ali Hasan, Wenhao Yang, Yuting Ng, Hoda Bidkhori, José Blanchet, Vahid Tarokh

RePEc: Research Papers in Economics

Optimization under rare events: scaling laws for linear chance-constrained programs

José Blanchet, Joost Jorritsma, Bert Zwart

arXiv (Cornell University)

ScoreFusion: Fusing Score-based Generative Models via Kullback-Leibler Barycenters

Hao Liu, Junze, José Blanchet, Nian Si

arXiv (Cornell University)

Learning Optimal Distributionally Robust Stochastic Control in Continuous State Spaces

Shengbo Wang, Meng, Jason, Nian Si, José Blanchet, Zhengyuan Zhou

arXiv (Cornell University)

Stability Evaluation via Distributional Perturbation Analysis

Jose Blanchet, Peng Cui, Jiajin Li, Jiashuo Liu

arXiv

Orthogonal Bootstrap: Efficient Simulation of Input Uncertainty

Kaizhao Liu, José Blanchet, Lexing Ying, Yiping Lu

RePEc: Research Papers in Economics

On the First Passage Times of Branching Random Walks in $\mathbb R^d$

José Blanchet, Wei Cai, Shaswat Mohanty, Zhenyuan Zhang

arXiv (Cornell University)

Modeling shortest paths in polymeric networks using spatial branching processes

Zhenyuan Zhang, Shaswat Mohanty, José Blanchet, Wei Cai

Journal of the Mechanics and Physics of Solids

When are Unbiased Monte Carlo Estimators More Preferable than Biased Ones?

Guanyang Wang, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Sample-Path Large Deviations for Unbounded Additive Functionals of the Reflected Random Walk

Mihail Bazhba, José Blanchet, Chang-Han Rhee, Bert Zwart

Mathematics of Operations Research

Quadratic Speed-up in Infinite Variance Quantum Monte Carlo

José Blanchet, Márió Szegedy, Guanyang Wang

arXiv (Cornell University)

Accelerated Sampling of Rare Events using a Neural Network Bias Potential

Xinru Hua, Rasool Ahmad, José Blanchet, Wei Cai

arXiv (Cornell University)

Exploring first and second-order spatio-temporal structures of lightning strike impacts in the French Alps using subsampling

Jean‐François Coeurjolly, José Blanchet, Alexis Pellerin

arXiv (Cornell University)

An Efficient High-dimensional Gradient Estimator for Stochastic Differential Equations

Shengbo Wang, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Automatic Outlier Rectification via Optimal Transport

José Blanchet, Jiajin Li, Markus Pelger, Greg Zanotti

arXiv (Cornell University)

Capturing Polymer Network Statistics using Branching Random Walks

Bulletin of the American Physical Society

Consistency of Neural Causal Partial Identification

Jiyuan Tan, José Blanchet, Vasilis Syrgkanis

arXiv (Cornell University)

Deep Learning for Computing Convergence Rates of Markov Chains

Yanlin Qu, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Distributionally Robust Reinforcement Learning with Interactive Data Collection: Fundamental Hardness and Near-Optimal Algorithms

Miao Lü, Han Zhong, Tong Zhang, José Blanchet

arXiv (Cornell University)

Feasible <i>Q</i>-Learning for Average Reward Reinforcement Learning

conference paper

Provably Mitigating Overoptimization in RLHF: Your SFT Loss is Implicitly an Adversarial Regularizer

Zhihan Liu, Miao Lu, Shenao Zhang, Boyi Liu, Hongyi Guo, Zhaoran Wang, José Blanchet, Zhaoran Wang

arXiv (Cornell University)

Stability Evaluation through Distributional Perturbation Analysis

conference paper

Wasserstein-based Minimax Estimation of Dependence in Multivariate Regularly Varying Extremes

Xuhui Zhang, José Blanchet, Youssef Marzouk, Viet Anh Nguyen, Sven Wang

arXiv (Cornell University)

Is a high-throughput experimental dataset large enough to accurately estimate a statistic?

Yifan Zhou, Sirui Lin, Xuhui Zhang, Hou Wu, José Blanchet, Zhigang Suo, Tongqing Lu

Journal of the Mechanics and Physics of Solids

Statistical Limit Theorems in Distributionally Robust Optimization

José Blanchet, Alexander Shapiro

arXiv (Cornell University)

Towards optimal running times for optimal transport

José Blanchet, Arun Jambulapati, Carson Kent, Aaron Sidford

Operations Research Letters

On the Foundation of Distributionally Robust Reinforcement Learning

Shengbo Wang, Nian Si, José Blanchet, Zhengyuan Zhou

arXiv (Cornell University)

Optimal Sample Complexity for Average Reward Markov Decision Processes

Shengbo Wang, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Efficient Scenario Generation for Heavy-Tailed Chance Constrained Optimization

José Blanchet, Fan Zhang, Bert Zwart

Stochastic Systems

Surgical scheduling via optimization and machine learning with long-tailed data

Yuan Shi, Saied Mahdian, José Blanchet, Peter W. Glynn, Andrew Y. Shin, David Scheinker

Health Care Management Science

Unifying Distributionally Robust Optimization via Optimal Transport Theory

José Blanchet, Daniel Kühn, Jiajin Li, Bahar Taşkesen

arXiv (Cornell University)

Dynamic Flows on Curved Space Generated by Labeled Data

Xinru Hua, Truyen Nguyen, Tam Le, José Blanchet, Viet Anh Nguyen

arXiv (Cornell University)

Neural network accelerated process design of polycrystalline microstructures

Junrong Lin, Mahmudul Hasan, Pınar Acar, José Blanchet, Vahid Tarokh

Materials Today Communications

Sample Complexity of Variance-reduced Distributionally Robust Q-learning

Shengbo Wang, Nian Si, José Blanchet, Zhengyuan Zhou

arXiv (Cornell University)

When can Regression-Adjusted Control Variates Help? Rare Events, Sobolev Embedding and Minimax Optimality

José Blanchet, Haoxuan Chen, Yiping Lu, Lexing Ying

arXiv (Cornell University)

Distributionally Robust Batch Contextual Bandits

Nian Si, Fan Zhang, Zhengyuan Zhou, José Blanchet

Management Science

A Convergent Single-Loop Algorithm for Relaxation of Gromov-Wasserstein in Graph Data

Jiajin Li, Jianheng Tang, Lemin Kong, Huikang Liu, Jia Li, Anthony Man–Cho So, José Blanchet

arXiv (Cornell University)

Delay-Adaptive Learning in Generalized Linear Contextual Bandits

José Blanchet, Renyuan Xu, Zhengyuan Zhou

Mathematics of Operations Research

A Finite Sample Complexity Bound for Distributionally Robust Q-learning

Shengbo Wang, Nian Si, José Blanchet, Zhengyuan Zhou

arXiv (Cornell University)

Detection and reduction of systematic bias in high-throughput rupture experiments

Hou Wu, Xuhui Zhang, Yifan Zhou, José Blanchet, Zhigang Suo, Tongqing Lu

Journal of the Mechanics and Physics of Solids

Optimal Sample Complexity of Reinforcement Learning for Mixing Discounted Markov Decision Processes

Shengbo Wang, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Single-Trajectory Distributionally Robust Reinforcement Learning

Zhipeng Liang, Xiaoteng Ma, José Blanchet, Jiheng Zhang, Zhengyuan Zhou

arXiv (Cornell University)

Computable Bounds on Convergence of Markov Chains in Wasserstein Distance

arXiv preprint arXiv:2308.10341

Double Pessimism is Provably Efficient for Distributionally Robust Offline Reinforcement Learning: Generic Algorithm and Robust Partial Coverage

José Blanchet, Miao Lu, Tong xuan Zhang, Han Zhong

arXiv (Cornell University)

Dropout training is distributionally robust optimal

Journal of Machine Learning Research

Navigating Publication Outlets for Simulation Research: Insights from Journal Editors

Tom van den Berg, José Blanchet, Weiwei Chen, Christine Currie, Peter J. Haas, L. Jeff Hong, Bruno Tuffin, Jie Xu

HAL (Le Centre pour la Communication Scientifique Directe)

Optimal Bidding and Experimentation for Multi-Layer Auctions in Online Advertising

Nian Si, San Gultekin, José Blanchet, Aaron Flores

SSRN Electronic Journal

Optimal Sample Complexity of Reinforcement Learning for Uniformly Ergodic Discounted Markov Decision Processes

arXiv preprint arXiv:2302.07477

Payoff-based Learning with Matrix Multiplicative Weights in Quantum Games

Kyriakos Lotidis, Panayotis Mertikopoulos, Nicholas Bambos, José Blanchet

arXiv (Cornell University)

Representation Learning for Extremes

NeurIPS 2023 Workshop Heavy Tails in Machine Learning

Surgical scheduling via optimization and machine learning with long-tailed data: Health care management science, in press

Health Care Management Science

Universal Gradient Descent Ascent Method for Nonconvex-Nonconcave Minimax Optimization

Taoli Zheng, Linglingzhi Zhu, Anthony Man-Cho So, José Blanchet, Jiajin Li

arXiv (Cornell University)

Wasserstein Distributionally Robust Linear-Quadratic Estimation under Martingale Constraints

International Conference on Artificial Intelligence and Statistics

When can Regression-Adjusted Control Variate Help? Rare Events, Sobolev Embedding and Minimax Optimality

José Blanchet, Haoxuan Chen, Yiping Lu, Lexing Ying

neural information processing systems

Unbiased Optimal Stopping via the MUSE

Zhengqing Zhou, Guanyang Wang, José Blanchet, Peter W. Glynn

Stochastic Processes and their Applications

Human Imperceptible Attacks and Applications to Improve Fairness

Xinru Hua, Huanzhong Xu, José Blanchet, Viet Anh Nguyen

2022 Winter Simulation Conference (WSC)

Synthetic Principal Component Design: Fast Covariate Balancing with Synthetic Controls

Yiping Lu, Jiajin Li, Lexing Ying, José Blanchet

RePEc: Research Papers in Economics

Temperature Extrapolation of Molecular Dynamics Simulations of Complex Chemistry to Microsecond Timescales Using Kinetic Models: Applications to Hydrocarbon Pyrolysis

Vincent Dufour‐Décieux, Brandi Ransom, Austin D. Sendek, Rodrigo Freitas, José Blanchet, Evan J. Reed

Journal of Chemical Theory and Computation

Tikhonov Regularization is Optimal Transport Robust under Martingale Constraints

Jiajin Li, Si-rui Lin, José Blanchet, Viet Anh Nguyen

arXiv (Cornell University)

Minimax Optimal Kernel Operator Learning via Multilevel Training

Jikai Jin, Yiping Lu, José Blanchet, Lexing Ying

RePEc: Research Papers in Economics

Distributionally Robust Offline Reinforcement Learning with Linear Function Approximation

Xiaoteng Ma, Zhipeng Liang, José Blanchet, Mingwen Liu, Xia, Li, Jiheng Zhang, Qianchuan Zhao, Zhengyuan Zhou

arXiv (Cornell University)

Smoothed Variable Sample-Size Accelerated Proximal Methods for Nonsmooth Stochastic Convex Programs

Afrooz Jalilzadeh, Uday V. Shanbhag, José Blanchet, Peter W. Glynn

Stochastic Systems

Approximations for the distribution of perpetuities with small discount rates

José Blanchet, Peter W. Glynn

Naval Research Logistics (NRL)

Fast and Provably Convergent Algorithms for Gromov-Wasserstein in Graph Data

Jiajin Li, Jianheng Tang, Lemin Kong, Huikang Liu, Jia Li, Anthony Man–Cho So, José Blanchet

arXiv (Cornell University)

Sobolev Acceleration and Statistical Optimality for Learning Elliptic Equations via Gradient Descent

Yiping Lu, José Blanchet, Lexing Ying

arXiv (Cornell University)

Some open problems in exact simulation of stochastic differential equations

José Blanchet

Queueing Systems

The Design and Implementation of a Broadly Applicable Algorithm for Optimizing Intra-Day Surgical Scheduling

Jin Xie, Teng Zhang, José Blanchet, Peter W. Glynn, Matthew E. Randolph, David Scheinker

arXiv (Cornell University)

A Class of Geometric Structures in Transfer Learning: Minimax Bounds and Optimality

Xuhui Zhang, José Blanchet, Soumyadip Ghosh, Mark S. Squillante

arXiv (Cornell University)

Asymptotically Optimal Control of a Centralized Dynamic Matching Market with General Utilities

José Blanchet, Martin I. Reiman, Virag Shah, Lawrence M. Wein, L Wu

Operations Research

High-throughput experiments for rare-event rupture of materials

Yifan Zhou, Xuhui Zhang, Meng Yang, Yudong Pan, Zhenjiang Du, José Blanchet, Zhigang Suo, Tongqing Lu

Matter

Bayesian Imputation with Optimal Look-Ahead-Bias and Variance Tradeoff

José Blanchet, Fernando Hernández, Viet-Anh Nguyen, Markus Pelger, Xuhui Zhang

SSRN Electronic Journal

Distributionally Robust $ Q $-Learning

International Conference on Machine Learning

Doubly Smoothed GDA: Global Convergent Algorithm for Constrained Nonconvex-Nonconcave Minimax Optimization

arXiv preprint arXiv:2212.12978

Exact Sampling for the Maximum of Infinite Memory Gaussian Processes

José Blanchet, Lin Chen, Jing Dong

Advances in Modeling and Simulation: Festschrift for Pierre L'Ecuyer

Fast and provably convergent algorithms for gromov-wasserstein in graph learning

arXiv preprint arXiv:2205.08115

Wasserstein Distributionally Robust Gaussian Process Regression and Linear Inverse Problems

arXiv preprint arXiv:2205.13111

Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances

José Blanchet, Lin Chen, Xun Yu Zhou

Management Science

Measuring Reliability of Object Detection Algorithms for Automated Driving Perception Tasks

Huanzhong Xu, José Blanchet, Marcos P. Gerardo-Castro, Shreyasha Paudel

2021 Winter Simulation Conference (WSC)

Modified Frank Wolfe in Probability Space

Carson Kent, Jiajin Li, José Blanchet, Peter W. Glynn

Neural Information Processing Systems

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

José Blanchet, Karthyek Murthy, Fan Zhang

Mathematics of Operations Research

Machine Learning For Elliptic PDEs: Fast Rate Generalization Bound, Neural Scaling Law and Minimax Optimality

Yiping Lu, Haoxuan Chen, Jianfeng Lu, Lexing Ying, José Blanchet

arXiv (Cornell University)

Statistical Analysis of Wasserstein Distributionally Robust Estimators

José Blanchet, Karthyek Murthy, Viet Anh Nguyen

arXiv (Cornell University)

Adversarial Regression with Doubly Non-negative Weighting Matrices

Tam Le, Truyen Nguyen, Makoto Yamada, José Blanchet, Viet Anh Nguyen

arXiv (Cornell University)

Statistical Numerical PDE : Fast Rate, Neural Scaling Law and When it’s Optimal

Yiping Lu, Haoxuan Chen, Jianfeng Lu, Lexing Ying, José Blanchet

The Symbiosis of Deep Learning and Differential Equations

Distributionally Robust Martingale Optimal Transport

Zhengqing Zhou, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Testing Group Fairness via Optimal Transport Projections

Nian Si, Karthyek Murthy, José Blanchet, Viet Anh Nguyen

arXiv (Cornell University)

Efficient Steady-State Simulation of High-Dimensional Stochastic Networks

José Blanchet, Xinyun Chen, Nian Si, Peter W. Glynn

Stochastic Systems

Sequential Domain Adaptation by Synthesizing Distributionally Robust Experts

Bahar Taşkesen, Man Chung Yue, José Blanchet, Daniel Kühn, Viet Anh Nguyen

arXiv (Cornell University)

Frank-Wolfe Methods in Probability Space

Carson Kent, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Confidence regions in Wasserstein distributionally robust estimation

José Blanchet, Karthyek Murthy, Nian Si

Biometrika

Doubly Robust Data‐driven Distributionally Robust Optimization

José Blanchet, Yang Kang, Fan Zhang, Fei He, Zhangyi Hu

arXiv preprint arXiv:1705.07168

Sample Out-of-Sample Inference Based on Wasserstein Distance

José Blanchet, Yang Kang

Operations Research

Finite-Sample Regret Bound for Distributionally Robust Offline Tabular Reinforcement Learning

Zhengqing Zhou, Zhengyuan Zhou, Qinxun Bai, Linhai Qiu, José Blanchet, Peter W. Glynn

International Conference on Artificial Intelligence and Statistics

No Discounted-Regret Learning in Adversarial Bandits with Delays.

Ilai Bistritz, Zhengyuan Zhou, Xi Chen, Nicholas Bambos, José Blanchet

arXiv (Cornell University)

No Weighted-Regret Learning in Adversarial Bandits with Delays

Ilai Bistritz, Zhengyuan Zhou, Xi Chen, Nicholas Bambos, José Blanchet

arXiv (Cornell University)

A Statistical Test for Probabilistic Fairness

Bahar Taşkesen, José Blanchet, Daniel Kühn, Viet Anh Nguyen

Proceedings of the 2021 ACM Conference on Fairness, Accountability, and Transparency

Time-Series Imputation with Wasserstein Interpolation for Optimal Look-Ahead-Bias and Variance Tradeoff

José Blanchet, Fernando Hernández, Viêt Anh Nguyên, Markus Pelger, Xuhui Zhang

arXiv (Cornell University)

Deep Extreme Value Copulas for Estimation and Sampling.

A.A. Hasan, Khalil Elkhalil, João M. Pereira, Sina Farsiu, José Blanchet, Vahid Tarokh

arXiv (Cornell University)

Modeling Extremes with d-max-decreasing Neural Networks

Ali Hasan, Khalil Elkhalil, Yuting Ng, João M. Pereira, Sina Farsiu, José Blanchet, Vahid Tarokh

arXiv (Cornell University)

Gradient flows on the feature-Gaussian manifold

journal article

A Class of Optimal Transport Regularized Formulations with Applications to Wasserstein GANs

Saied Mahdian, José Blanchet, Peter W. Glynn

2020 Winter Simulation Conference (WSC)

Exact simulation for multivariate Itô diffusions

José Blanchet, Fan Zhang

Advances in Applied Probability

Sample path large deviations for Lévy processes and random walks with Weibull increments

Mihail Bazhba, José Blanchet, Chang-Han Rhee, Bert Zwart

The Annals of Applied Probability

Distributionally Robust Local Non-parametric Conditional Estimation

Viet Anh Nguyen, Fan Zhang, José Blanchet, Erick Delage, Yinyu Ye

arXiv (Cornell University)

Distributionally Robust Parametric Maximum Likelihood Estimation

Viet Anh Nguyen, Xuhui Zhang, José Blanchet, Angelos Georghiou

arXiv (Cornell University)

Machine Learning's Dropout Training is Distributionally Robust Optimal

José Blanchet, Yang Kang, José Luis Montiel Olea, Viet Anh Nguyen, Xuhui Zhang

arXiv (Cornell University)

A Distributionally Robust Approach to Fair Classification

Bahar Taşkesen, Viet Anh Nguyen, Daniel Kühn, José Blanchet

arXiv (Cornell University)

Distributionally Robust Policy Evaluation and Learning in Offline Contextual Bandits

Nian Si, Fan Zhang, Zhengyuan Zhou, José Blanchet

Rare & Special e-Zone (The Hong Kong University of Science and Technology)

Robust Bayesian Classification Using an Optimistic Score Ratio

Viet Anh Nguyen, Nian Si, José Blanchet

arXiv (Cornell University)

A Model of Bed Demand to Facilitate the Implementation of Data-driven Recommendations for COVID-19 Capacity Management

Teng Zhang, Kelly McFarlane, Jacqueline Vallon, Linying Yang, Jin Xie, José Blanchet, Peter Glynn, Kristan Staudenmayer, Kevin A. Schulman, David Scheinker

preprint

Distributional Robust Batch Contextual Bandits.

Nian Si, Fan Zhang, Zhengyuan Zhou, José Blanchet

arXiv (Cornell University)

Rates of Convergence to Stationarity for Reflected Brownian Motion

José Blanchet, Xinyun Chen

Mathematics of Operations Research

Sequential Batch Learning in Finite-Action Linear Contextual Bandits

Yanjun Han, Zhengqing Zhou, Zhengyuan Zhou, José Blanchet, Peter W. Glynn, Yinyu Ye, Zhengyuan Zhou

arXiv (Cornell University)

A model to estimate bed demand for COVID-19 related hospitalization

Teng Zhang, Kelly McFarlane, Jacqueline Vallon, Linying Yang, Jin Xie, José Blanchet, Peter W. Glynn, Kristan Staudenmayer, Kevin A. Schulman, David Scheinker

medRxiv

Asymptotically Optimal Control of a Centralized Dynamic Matching Market\n with General Utilities

José Blanchet, Martin I. Reiman, Viragh Shah, Lawrence M. Wein, Linjia Wu

arXiv (Cornell University)

Optimal Scenario Generation for Heavy-tailed Chance Constrained Optimization

José Blanchet, Fan Zhang, Bert Zwart

arXiv (Cornell University)

On distributionally robust extreme value analysis

José Blanchet, Fei He, Karthyek Murthy

Extremes

Quantifying the Empirical Wasserstein Distance to a Set of Measures: Beating the Curse of Dimensionality

Nian Si, José Blanchet, Soumyadip Ghosh, Mark S. Squillante

Rare & Special e-Zone (The Hong Kong University of Science and Technology)

Semi-supervised Learning Based on Distributionally Robust Optimization

Jose Blanchet, Yang Kang

Data Analysis and Applications 3: Computational, Classification, Financial, Statistical and Stochastic Methods

Exact sampling for some multi-dimensional queueing models with renewal input

José Blanchet, Yanan Pei, Karl Sigman

Advances in Applied Probability

Queue length asymptotics for the multiple-server queue with heavy-tailed Weibull service times

Mihail Bazhba, José Blanchet, Chang-Han Rhee, Bert Zwart

Queueing Systems

Sample path large deviations for Lévy processes and random walks with regularly varying increments

Chang-Han Rhee, José Blanchet, Bert Zwart

The Annals of Probability

Optimal uncertainty size in distributionally robust inverse covariance estimation

José Blanchet, Nian Si

Operations Research Letters

On logarithmically optimal exact simulation of max-stable and related random fields on a compact set

Zhipeng Liu, José Blanchet, A. B. Dieker, Thomas Mikosch

Bernoulli

Learning in Generalized Linear Contextual Bandits with Stochastic Delays

Zhengyuan Zhou, Renyuan Xu, José Blanchet

Neural Information Processing Systems

Rare-Event Simulation for Distribution Networks

José Blanchet, Juan Li, Marvin K. Nakayama

Operations Research

Robust Wasserstein profile inference and applications to machine learning

José Blanchet, Yang Kang, Karthyek Murthy

Journal of Applied Probability

Optimal Transport Relaxations with Application to Wasserstein GANs

Saied Mahdian, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Multivariate Distributionally Robust Convex Regression under Absolute Error Loss

José Blanchet, Peter W. Glynn, Jun Yan, Zhengqing Zhou

arXiv (Cornell University)

Efficient Rare-Event Simulation for Multiple Jump Events in Regularly Varying Random Walks and Compound Poisson Processes

Bohan Chen, José Blanchet, Chang-Han Rhee, Bert Zwart

Mathematics of Operations Research

Unbiased Multilevel Monte Carlo: Stochastic Optimization, Steady-state\n Simulation, Quantiles, and Other Applications

José Blanchet, Peter W. Glynn, Yanan Pei

arXiv (Cornell University)

Perfect Sampling of Generalized Jackson Networks

José Blanchet, Xinyun Chen

Mathematics of Operations Research

Quantifying Distributional Model Risk via Optimal Transport

José Blanchet, Karthyek Murthy

Mathematics of Operations Research

Convergence Rate Analysis of a Stochastic Trust-Region Method via Supermartingales

José Blanchet, Coralia Cartis, Matt Menickelly, Katya Scheinberg

INFORMS Journal on Optimization

Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary

José Blanchet, Jing Dong, Zhipeng Liu

Journal of Applied Probability

Probability Functional Descent: A Unifying Perspective on GANs, Variational Inference, and Reinforcement Learning

Casey Chu, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Semi-parametric dynamic contextual pricing

Virag Shah, José Blanchet, Ramesh Johari

RePEc: Research Papers in Economics

Robust Actuarial Risk Analysis

José Blanchet, Henry Lam, Qihe Tang, Zhongyi Yuan

North American Actuarial Journal

A distributionally robust boosting algorithm

Jose Blanchet, Yang Kang, Fan Zhang, Zhangyi Hu

2019 Winter Simulation Conference (WSC)

Data-driven optimal transport cost selection for distributionally robust optimization

2019 winter simulation conference (WSC)

Online EXP3 Learning in Adversarial Bandits with Delayed Feedback

Ilai Bistritz, Zhengyuan Zhou, Xi Chen, Nicholas Bambos, José Blanchet

Neural Information Processing Systems

Perfect Sampling for Generalized Jackson Networks

journal article

Unbiased multilevel Monte Carlo: Stochastic optimization, steady-state simulation, quantiles, and other applications

arXiv preprint arXiv:1904.09929

Queueing Theory-Based Perspective of the Kinetics of “Channeled” Enzyme Cascade Reactions

Stanislav Tsitkov, Théo Pesenti, Henri Palacci, José Blanchet, Henry Hess

ACS Catalysis

Unbiased Sampling of Multidimensional Partial Differential Equations with Random Coefficients

José Blanchet, Fengpei Li, Xiaoou Li

arXiv (Cornell University)

Perfect sampling of GI/GI/c queues

José Blanchet, Jing Dong, Yanan Pei

Queueing Systems

A model robust real options valuation methodology incorporating climate risk

Christopher James Dolan, José Blanchet, Garud Iyengar, Upmanu Lall

Resources Policy

Optimal Smoothed Variable Sample-size Accelerated Proximal Methods for Structured Nonsmooth Stochastic Convex Programs

Afrooz Jalilzadeh, Uday V. Shanbhag, José Blanchet, Peter W. Glynn

arXiv (Cornell University)

Exact simulation of multidimensional reflected Brownian motion

José Blanchet, Karthyek Murthy

Journal of Applied Probability

Bandit Learning with Positive Externalities

Virag Shah, José Blanchet, Ramesh Johari

arXiv (Cornell University)

Malliavin-Based Multilevel Monte Carlo Estimators for Densities of Max-Stable Processes

José Blanchet, Zhipeng Liu

Springer proceedings in mathematics & statistics

Rates of Convergence and CLTs for Subcanonical Debiased MLMC

Zeyu Zheng, José Blanchet, Peter W. Glynn

Springer proceedings in mathematics & statistics

Computing worst-case expectations given marginals via simulation

José Blanchet, Fei He, Henry Lam

Winter Simulation Conference

Unbiased Simulation for Optimizing Stochastic Function Compositions

José Blanchet, Donald Goldfarb, Garud Iyengar, Fengpei Li, Chaoxu Zhou

arXiv (Cornell University)

Sample-path large deviations for L\\'evy processes and random walks with\n Weibull increments

Mihail Bazhba, José Blanchet, Chang-Han Rhee, Bert Zwart

arXiv (Cornell University)

An Economic Model To Estimate The Direct Economic Value Of Reducing The Severity Of Sepsis In French And Us Hospitals

CJ Paoli, CN Coles, Mark A. Reynolds, José Blanchet, Dwight Denham, E.C. Crouser, Matthew Gitlin

Value in Health

Data-driven Optimal Transport Cost Selection for Distributionally Robust Optimizatio

José Blanchet, Yang Kang, Fan Zhang, Karthyek Murthy

arXiv (Cornell University)

Distributionally Robust Groupwise Regularization Estimator

José Blanchet, Yang Kang

arXiv (Cornell University)

Distributionally Robust Semi-supervised Learning

José Blanchet, Yang Kang

arXiv (Cornell University)

$\varepsilon$-Strong simulation for multidimensional stochastic differential equations via rough path analysis

José Blanchet, Xinyun Chen, Jing Dong

The Annals of Applied Probability

Applied robust performance analysis for actuarial applications

Technical Report, Society of Actuaries

Exact Simulation for Multivariate It$\backslash$^ o Diffusions

arXiv preprint arXiv:1706.05124

On Optimal Exact Simulation Of Max-Stable And Related Random Fields On A Compact Set

journal article

Private Risk and Valuation: A Distributionally Robust Optimization View

to be submitted

Unraveling limit order books using just bid/ask prices

Preprint. Available at http://www. columbia. edu/~ jb2814/papers/LOB_v1. pdf

Convergence Rate Analysis of a Stochastic Trust Region Method for Nonconvex Optimization

José Blanchet, Coralia Cartis, Matt Menickelly, Katya Scheinberg

arXiv (Cornell University)

Convergence Rate Analysis of a Stochastic Trust Region Method via Submartingales

José Blanchet, Coralia Cartis, Matt Menickelly, Katya Scheinberg

arXiv (Cornell University)

On Optimal Exact Simulation of Max-Stable and Related Random Fields

Zhipeng Liu, José Blanchet, A. B. Dieker, Thomas Mikosch

arXiv (Cornell University)

Analysis of a stochastic approximation algorithm for computing quasi-stationary distributions

José Blanchet, Peter W. Glynn, Shuheng Zheng

Advances in Applied Probability

A Markov Chain Approximation to Choice Modeling

José Blanchet, Guillermo Gallego, Vineet Goyal

Operations Research

Sample Path Large Deviations for Heavy-Tailed Lévy Processes and Random Walks

Chang-Han Rhee, A.P. Zwart, José Blanchet

Centrum Wiskunde & Informatica (CWI), the national research institute for mathematics and computer science in the Netherlands

Sample Path Large Deviations for L\\'evy Processes and Random Walks with\n Regularly Varying Increments

Chang-Han Rhee, José Blanchet, Bert Zwart

arXiv (Cornell University)

Perfect Sampling of Generalized Jackson Network

José Blanchet, Xinyun Chen

arXiv (Cornell University)

On the Laplace transform of the lognormal distribution

Methodology and Computing in Applied Probability

Rates of convergence to stationarity for multidimensional RBM

arXiv preprint arXiv:1601.04111

A weak convergence criterion for constructing changes of measure

José Blanchet, Johannes Ruf

Stochastic Models

Exact sampling for some multi-dimensional queueing models with renewal\n input

José Blanchet, Yanan Pei, Karl Sigman

arXiv (Cornell University)

Budget-constrained stochastic approximation

Uday V. Shanbhag, José Blanchet

Winter Simulation Conference

Unbiased monte carlo computation of smooth functions of expectations via Taylor expansions

José Blanchet, Nan Chen, Peter W. Glynn

Winter Simulation Conference

Unbiased Monte Carlo for optimization and functions of expectations via multi-level randomization

José Blanchet, Peter W. Glynn

Winter Simulation Conference

Exact Sampling of Stationary and Time-Reversed Queues

José Blanchet, Aya Wallwater

ACM Transactions on Modeling and Computer Simulation

Steady-state simulation of reflected Brownian motion and related stochastic networks

José Blanchet, Xinyun Chen

The Annals of Applied Probability

Perfect sampling for infinite server and loss systems

José Blanchet, Jing Dong

Advances in Applied Probability

Stochastic models and control for electrical power line temperature

Daniel Bienstock, José Blanchet, Juan Li

Energy Systems

On the Limiting Ratio of Current Age to Total Life for Null Recurrent Renewal Processes

José Blanchet, Peter W. Glynn, Hermann Þórisson

arXiv (Cornell University)

Theoretical analysis of a Stochastic Approximation approach for computing Quasi-Stationary distributions of general state space Markov chains

José Blanchet, Peter W. Glynn, Shuheng Zheng

arXiv (Cornell University)

Affine Point Processes: Approximation and Efficient Simulation

Xiaowei Zhang, José Blanchet, Kay Giesecke, Peter W. Glynn

Mathematics of Operations Research

Tail asymptotics for delay in a half-loaded GI/GI/2 queue with heavy-tailed job sizes

Jose Blanchet, Karthyek Murthy

Queueing Systems

Towards a robust top-down model for valuation of mining assets

other

Robust rare-event performance analysis with natural non-convex constraints

José Blanchet, Christopher James Dolan, Henry Lam

Winter Simulation Conference

State-independent Importance Sampling for Random Walks with Regularly Varying Increments

Karthyek Murthy, Sandeep Juneja, José Blanchet

Stochastic Systems

Rare-Event Simulation for Many-Server Queues

José Blanchet, Henry Lam

Mathematics of Operations Research

Two-parameter Sample Path Large Deviations for Infinite-Server Queues

José Blanchet, Xinyun Chen, Henry Lam

Stochastic Systems

$ε$-Strong Simulation for Multidimensional Stochastic Differential Equations via Rough Path Analysis

José Blanchet, Xinyun Chen, Jing Dong

arXiv (Cornell University)

Total variation approximations and conditional limit theorems for multivariate regularly varying random walks conditioned on ruin

José Blanchet, Jingchen Liu

Bernoulli

Theoretical analysis of a Stochastic Approximation approach for computing Quasi-Stationary distributions

José Blanchet, Peter W. Glynn, Shuheng Zheng

arXiv (Cornell University)

Advances in efficient Monte Carlo for stochastic networks

José Blanchet

Open Collections

Afendras, G. Strengthened Chernoff-type variance bounds 245 Akakpo, N. Testing monotonicity via local least concave majorants 514 Andrieu, C. Markovian stochastic approximation with expanding projections 545 Arendarczyk, M. On the tail asymptotics of the area swept under the Brownian storage graph 395

Bernoulli

Copyright information

journal article

Efficient splitting-based rare event simulation algorithms for heavy-tailed sums

José Blanchet, Yixi Shi

2013 Winter Simulations Conference (WSC)

Optimal rare event Monte Carlo for Markov modulated regularly varying random walks

Karthyek Murthy, Sandeep Juneja, José Blanchet

2013 Winter Simulations Conference (WSC)

Power line control under uncertainty of ambient temperature

José Blanchet, Daniel Bienstock, Juan Li

52nd IEEE Conference on Decision and Control

Asymptotics of the area under the graph of a Lévy-driven workload process

José Blanchet, Michel Mandjes

Operations Research Letters

Continuous-time Modeling of Bid-Ask Spread and Price Dynamics in Limit Order Books

José Blanchet, Xinyun Chen

RePEc: Research Papers in Economics

Rare-event simulation for stochastic recurrence equations with heavy-tailed innovations

José Blanchet, Henrik Hult, Kevin Leder

ACM Transactions on Modeling and Computer Simulation

A heavy traffic approach to modeling large life insurance portfolios

José Blanchet, Henry Lam

Insurance Mathematics and Economics

Optimal Sampling of Overflow Paths in Jackson Networks

José Blanchet

Mathematics of Operations Research

Large deviations for the empirical mean of an $$M/M/1$$ queue

José Blanchet, Peter W. Glynn, Sean Meyn

Queueing Systems

Editorial foreword to special issue on Simulation of Stochastic Networks and related topics

José Blanchet, Gareth O. Roberts

Queueing Systems

Efficient rare event simulation for heavy-tailed systems via cross entropy

José Blanchet, Yixi Shi

Operations Research Letters

Large deviations for the empirical mean of an queue

Queueing Systems

Uniform Large Deviations For Heavy-Tailed Queues Under Heavy Traffic

José Blanchet, Henry Lam

Boletín de la Sociedad Matemática Mexicana

Sampling Point Processes on Stable Unbounded Regions and Exam Simulation of Queues

José Blanchet, Jing Dong

arXiv (Cornell University)

Sampling point processes on stable unbounded regions and exact simulation of queues

José Blanchet, Jing Dong

Proceedings of the 2012 Winter Simulation Conference (WSC)

A Weak Convergence Criterion Constructing Changes of Measure

José Blanchet, Johannes Ruf

arXiv (Cornell University)

Empirical Analysis of a Stochastic Approximation Approach for Computing Quasi-stationary Distributions

José Blanchet, Peter W. Glynn, Shuheng Zheng

Advances in intelligent systems and computing

On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling

José Blanchet, Peter W. Glynn, Kevin Leder

ACM Transactions on Modeling and Computer Simulation

Uniform Convergence To A Law Containing Gaussian And Cauchy Distributions

José Blanchet, Carlos G. Pacheco

Probability in the Engineering and Informational Sciences

Efficient rare-event simulation for perpetuities

José Blanchet, Henry Lam, Bert Zwart

Stochastic Processes and their Applications

Efficient Monte Carlo for high excursions of Gaussian random fields

Robert J. Adler, José Blanchet, Jingchen Liu

The Annals of Applied Probability

Efficient simulation and conditional functional limit theorems for ruinous heavy-tailed random walks

José Blanchet, Jingchen Liu

Stochastic Processes and their Applications

Rare-event simulation for multi-server queues in the Halfin-Whitt regime

José Blanchet, Jing Dong

ACM SIGMETRICS Performance Evaluation Review

Characterizing optimal sampling of binary contingency tables via the configuration model

José Blanchet, Alexandre Stauffer

Random Structures and Algorithms

Exact sampling of loss systems

other

Measuring systemic risks in insurance-reinsurance networks

Preprint

Stochastic Risk Networks: Modeling, Analysis and Efficient Monte Carlo

José Blanchet, Juan Li, Yixi Shi

SSRN Electronic Journal

A conditional Monte Carlo method for estimating the failure probability of a distribution network with random demands

José Blanchet, Juan Li, Marvin K. Nakayama

Winter Simulation Conference

Importance sampling for actuarial cost analysis under a heavy traffic model

José Blanchet, Henry Lam

Winter Simulation Conference

Analysis of a Splitting Estimator for Rare Event Probabilities in Jackson Networks

José Blanchet, Kevin Leder, Yixi Shi

Stochastic Systems

Importance sampling for stochastic recurrence equations with heavy tailed increments

José Blanchet, Henrik Hult, Kevin Leder

Winter Simulation Conference

Rare event simulation techniques

José Blanchet, Henry Lam

Proceedings of the 2011 Winter Simulation Conference (WSC)

State-dependent importance sampling for rare-event simulation: An overview and recent advances

José Blanchet, Henry Lam

Surveys in Operations Research and Management Science

Corrections to the Central Limit Theorem for Heavy-tailed Probability Densities

Henry Lam, José Blanchet, Damian Burch, Martin Z. Bazant

Journal of Theoretical Probability

Efficient simulation of tail probabilities of sums of dependent random variables

José Blanchet, Leonardo Rojas‐Nandayapa

Journal of Applied Probability

On exact sampling of stochastic perpetuities

José Blanchet, Karl Sigman

Journal of Applied Probability

A Practical Implementation of the Bernoulli Factory

André Thomas, José Blanchet

arXiv (Cornell University)

Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes

José Blanchet, Chenxin Li

Journal of Applied Probability

On The Transition From Heavy Traffic To Heavy Tails For The M/g/1 Queue: The Regularly Varying Case

Mariana Olvera-Cravioto, Jose Blanchet, Peter Glynn

ANNALS OF APPLIED PROBABILITY

Efficient rare event simulation for heavy-tailed compound sums

José Blanchet, Chenxin Li

ACM Transactions on Modeling and Computer Simulation

Monte Carlo for large credit portfolios with potentially high correlations

José Blanchet, Jingchen Liu, Xuan Yang

Proceedings of the 2010 Winter Simulation Conference

Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues

José Blanchet, Bert Zwart

Mathematical Methods of Operations Research

Efficient importance sampling in ruin problems for multidimensional regularly varying random walks

José Blanchet, Jingchen Liu

Journal of Applied Probability

Large Deviations

José Blanchet, Carlos G. Pacheco

Encyclopedia of Quantitative Finance

Asymptotic robustness of estimators in rare-event simulation

Pierre L’Ecuyer, José Blanchet, Bruno Tuffin, Peter W. Glynn

ACM Transactions on Modeling and Computer Simulation

Efficient rare event simulation of continuous time Markovian perpetuities

José Blanchet, Peter W. Glynn

Proceedings of the 2009 Winter Simulation Conference (WSC)

Rare event simulation for a generalized Hawkes process

Xiaowei Zhang, Peter W. Glynn, Kay Giesecke, José Blanchet

Proceedings of the 2009 Winter Simulation Conference (WSC)

Rare event simulation for a slotted time M/G/s model

José Blanchet, Peter W. Glynn, Henry Lam

Queueing Systems

Efficient simulation of tail probabilities of sums of correlated lognormals

Søren Asmussen, José Blanchet, Sandeep Juneja, Leonardo Rojas‐Nandayapa

Annals of Operations Research

Efficient importance sampling for binary contingency tables

José Blanchet

arXiv (Cornell University)

Rare Event Simulation and Counting Problems

José Blanchet, Daniel Rudoy

Rare Event Simulation Using Monte Carlo Methods

Rare Event Simulation for Queues

José Blanchet, Michel Mandjes

Rare Event Simulation Using Monte Carlo Methods

Efficient Simulation of Light-Tailed Sums: an Old-Folk Song Sung to a Faster New Tune...

José Blanchet, Kevin Leder, Peter W. Glynn

8th International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 08)

Rare# event Simulation for Multidimensional Regularly Varying Random Walks

journal article

Uniform Large Deviations for Heavy-Tailed Single-Server Queues under Heavy Trac

José Blanchet, Henry Lam

article

We would like to announce the following changes related to the editorial board and the policy of QUESTA: 1. Søren Asmussen, François Baccelli, and Frank Kelly have kindly agreed to join the advisory board of the journal. 2. Professors Mor Armony and Ward Whitt have decided to resign from the editorial

Queueing Syst

Large deviations perspective on ordinal optimization of heavy-tailed systems

José Blanchet, Jingchen Liu, Bert Zwart

2008 Winter Simulation Conference

Efficient simulation for tail probabilities of Gaussian random fields

Robert J. Adler, José Blanchet, Jingchen Liu

2008 Winter Simulation Conference

Efficient tail estimation for sums of correlated lognormals

José Blanchet, Sandeep Juneja, Leonardo Rojas‐Nandayapa

2008 Winter Simulation Conference

State-dependent importance sampling for regularly varying random walks

José Blanchet, Jingchen Liu

Advances in Applied Probability

Efficient rare-event simulation for the maximum of heavy-tailed random walks

José Blanchet, Peter W. Glynn

The Annals of Applied Probability

Effective modeling and scientific computation with applications to health study, astronomy, and queueing network

Xiaoli Meng, José Blanchet, Jingchen Liu

article

Efficient rare event simulation for heavy-tailed multiserver queues

Department of Statistics, Columbia University

Strongly efficient algorithms for light-tailed random walks: An old folk song sung to a faster new tune

Proceedings of the Eighth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing (MCQMC 2008). Springer, Berlin

Importance sampling of compounding processes

José Blanchet, Bert Zwart

Winter Simulation Conference

Path-sampling for state-dependent importance sampling

José Blanchet, Jingchen Liu

Winter Simulation Conference

Rare-event simulation for a multidimensional random walk with t distributed increments

José Blanchet, Jingchen Liu

2007 Winter Simulation Conference

Uniform renewal theory with applications to expansions of random geometric sums

José Blanchet, Peter W. Glynn

Advances in Applied Probability

Editorial: rare-event simulation for queues

José Blanchet, Michel Mandjes

Queueing Systems

Fluid heuristics, Lyapunov bounds and efficient importance sampling for a heavy-tailed G/G/1 queue

José Blanchet, Peter W. Glynn, J. C. Liu

Queueing Systems

Efficient suboptimal rare-event simulation

Xiaowei Zhang, José Blanchet, Peter W. Glynn

2007 Winter Simulation Conference

Eo cient Rare Event Simulation for Heavy $ tailed Multiserver Queues

journal article

Exact simulation and error-controlled sampling via regeneration and a Bernoulli factory

report

Efficient simulation for large deviation probabilities of sums of heavy-tailed increments

José Blanchet, Jingchen Liu

Winter Simulation Conference

Heavy Traffic Limits Via Brownian Embeddings

Erol A. Peköz, José Blanchet

Probability in the Engineering and Informational Sciences

Complete Corrected Diffusion Approximations For The Maximum Of A Random Walk

José Blanchet, Peter W. Glynn

ANNALS OF APPLIED PROBABILITY

Corrected diffusion approximations for the maximum of light-tailed random walk

Ann. App. Prob

Importance sampling and efficient counting of 0-1 contingency tables

José Blanchet

Proceedings of the 1st international conference on Performance evaluation methodolgies and tools

State-dependent importance sampling and large deviations

Proceedings of the 1st international conference on Performance evaluation methodolgies and tools

Strongly efficient estimators for light-tailed sums

José Blanchet, Peter W. Glynn

Proceedings of the 1st international conference on Performance evaluation methodolgies and tools

Exact sampling, regeneration and minorization conditions

report

Large deviations and exact asymptotics for perpetuities with small discount rates

report

Limit theorems and approximations with applications to insurance risk and queueing theory

dissertation thesis

Corrected Diffusion Approximations for the Maximum of Heavy-Tailed Random Walk

journal article