conftrace_

martingale constraint

2 papers

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Co-occurring keywords · papers mentioning both

distributionally robust optimization (2) mean-squared estimation (1) tikhonov regularization (1) linear quadratic system (1) wasserstein ambiguity (1) distributionally robust estimation (1) linear quadratic estimation (1) kalman filter (1) optimal transport (1) learning theory (1)

Papers

Wasserstein Distributionally Robust Linear-Quadratic Estimation under Martingale Constraints AISTATS 2023 Tikhonov Regularization is Optimal Transport Robust under Martingale Constraints NeurIPS 2022