A Pareto dominance principle for data-driven optimization

DOI10.1287/OPRE.2021.0609MaRDI QIDQ6655178zbMATH OpenFDO

Authors Tobias Sutter, Bart P. G. Van Parys, Daniel Kuhn

Publication date 20 December 2024

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2021.0609

zbMATH Keywords

large deviationsstochastic optimizationrobust optimizationdata-driven decision making

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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Cited in

(4)

• Distributionally robust optimization
• Distributionally Favorable Optimization: A Framework for Data-Driven Decision-Making with Endogenous Outliers
• Policy gradient algorithms for robust MDPs with nonrectangular uncertainty sets
• Stochastic Optimization with Decision-Dependent Distributions

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