From estimation to optimization via shrinkage

DOI10.1016/J.ORL.2017.10.005MaRDI QIDQ1728375zbMATH OpenOpenAlexFDO

Authors Danial Davarnia, Gérard Cornuéjols

Publication date 22 February 2019

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2017.10.005

zbMATH Keywords

admissible estimatormaximum likelihood estimatorparameter estimationshrinkage estimatorstochastic optimization

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Stochastic programming (90C15)

Recommendations

• Admissibility of solution estimators for stochastic optimization
• scientific article; zbMATH DE number 3942787
• Controlled shrinkage estimators (a class of estimators better than the least squares estimator, with respect to a general quadratic loss, for normal observations
• Efficient shrinkage in parametric models
• Asymptotic properties of statistical estimators in stochastic programming

Cites work

• Estimation with quadratic loss.
• scientific article; zbMATH DE number 3122730 (Why is no real title available?)
• scientific article; zbMATH DE number 1220667 (Why is no real title available?)
• scientific article; zbMATH DE number 1048002 (Why is no real title available?)
• Introduction to stochastic programming.
• On Minimax Statistical Decision Procedures and their Admissibility
• On the Admissibility of Invariant Estimators of One or More Location Parameters

Cited in

(3)

• Admissibility of solution estimators for stochastic optimization
• Shrinkage estimation towards a closed convex set with a smooth boundary
• Using stochastic frontier analysis instead of data envelopment analysis in modelling investment performance

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