Journal Publications

1. Efficient Scenario Generation for Heavy-tailed Chance Constrained Optimization
   Jose Blanchet, Fan Zhang, Bert Zwart
   Stochastic Systems (Forthcoming)
2. Distributional Robust Batch Contextual Bandits
   Nian Si, Fan Zhang, Zhengyuan Zhou, Jose Blanchet
   Management Science (2023)
   2021 MSOM Student Paper Prize Finalist
3. Optimal Transport Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes
   Jose Blanchet, Karthyek Murthy, Fan Zhang
   Mathematics of Operations Research (2021)
4. Exact Simulation for Multivariate Itô Diffusions
   Jose Blanchet, Fan Zhang
   Advances of Applied Probability (2020)

Journal Paper Under Review

1. Robustifying Conditional Portfolio Decisions via Optimal Transport
   Viet Anh Nguyen, Fan Zhang, Jose Blanchet, Erick Delage, Yinyu Ye
   Under Review

Conference Proceedings

1. Distributionally Robust Local Non-parametric Conditional Estimation
   Viet Anh Nguyen, Fan Zhang, Jose Blanchet, Erick Delage, Yinyu Ye
   Advances in Neural Information Processing Systems (NeurIPS 2020).
   

2. Distributionally Robust Policy Evaluation and Learning in Offline Contextual Bandits
   Nian Si, Fan Zhang, Zhengyuan Zhou, Jose Blanchet
   Proceedings of the 37th International Conference on Machine Learning (ICML 2020).
   

3. Data-Driven Optimal Transport Cost Selection for Distributionally Robust Optimization
   Jose Blanchet, Yang Kang, Karthyek Murthy, Fan Zhang
   Proceedings of 2019 Winter Simulation Conference (WSC 2019).
   Best Contributed Theoretical Paper Award
   

4. A Distributionally Robust Boosting Algorithm
   Jose Blanchet, Yang Kang, Fan Zhang, Zhangyi Hu
   Proceedings of 2019 Winter Simulation Conference (WSC 2019).
   

5. Doubly Robust Data-Driven Distributionally Robust Optimization
   Jose Blanchet, Yang Kang, Fan Zhang, Fei He, Zhangyi Hu
   Proceedings of the 18th Conference of the Applied Stochastic Models and Data Analysis (ASMDA 2019)