A minimal P-complete extension of the sigma-algebra makes L^∞(P) the dual of the space of signed measures absolutely continuous w.r.t. at least one member of P.
Ambiguity aversion, robustness, and the variational representation of preferences.Econometrica, 74(6):1447–1498
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Develops robust SGLD with non-asymptotic convergence bounds for non-convex DRO and applies it to neural network regression under adversarial corruption.
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Can the $L^1$-$L^\infty$ duality be restored for non-dominated families of probability measures?
A minimal P-complete extension of the sigma-algebra makes L^∞(P) the dual of the space of signed measures absolutely continuous w.r.t. at least one member of P.
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Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems
Develops robust SGLD with non-asymptotic convergence bounds for non-convex DRO and applies it to neural network regression under adversarial corruption.