Bootstrap robust prescriptive analytics
From MaRDI portal
Publication:2089765
Abstract: We address the problem of prescribing an optimal decision in a framework where the cost function depends on uncertain problem parameters that need to be learned from data. Earlier work proposed prescriptive formulations based on supervised machine learning methods. These prescriptive methods can factor in contextual information on a potentially large number of covariates to take context specific actions which are superior to any static decision. When working with noisy or corrupt data, however, such nominal prescriptive methods can be prone to adverse overfitting phenomena and fail to generalize on out-of-sample data. In this paper we combine ideas from robust optimization and the statistical bootstrap to propose novel prescriptive methods which safeguard against overfitting. We show indeed that a particular entropic robust counterpart to such nominal formulations guarantees good performance on synthetic bootstrap data. As bootstrap data is often a sensible proxy to actual out-of-sample data, our robust counterpart can be interpreted to directly encourage good out-of-sample performance. The associated robust prescriptive methods furthermore reduce to convenient tractable convex optimization problems in the context of local learning methods such as nearest neighbors and Nadaraya-Watson learning. We illustrate our data-driven decision-making framework and our novel robustness notion on a small newsvendor problem.
Recommendations
Cites work
- scientific article; zbMATH DE number 410740 (Why is no real title available?)
- scientific article; zbMATH DE number 3782216 (Why is no real title available?)
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- scientific article; zbMATH DE number 3222478 (Why is no real title available?)
- A Semidefinite Programming Approach to Optimal-Moment Bounds for Convex Classes of Distributions
- A distribution-free theory of nonparametric regression
- Ambiguity in portfolio selection
- Ambiguous chance constrained problems and robust optimization
- Computationally tractable counterparts of distributionally robust constraints on risk measures
- Convergence analysis for distributionally robust optimization and equilibrium problems
- Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
- Distributionally Robust Convex Optimization
- Distributionally robust joint chance constraints with second-order moment information
- Distributionally robust optimization under moment uncertainty with application to data-driven problems
- Generalized Gauss inequalities via semidefinite programming
- Julia: a fresh approach to numerical computing
- Likelihood robust optimization for data-driven problems
- Multivariate locally adaptive density estimation.
- On Information and Sufficiency
- Random forests
- Sanov property, generalized I-projection and a conditional limit theorem
- Strong laws of large numbers and nonparametric estimation
- The big data newsvendor: practical insights from machine learning
- The elements of statistical learning. Data mining, inference, and prediction
Cited in
(8)- Data-Driven Approximation of Contextual Chance-Constrained Stochastic Programs
- Residuals-based distributionally robust optimization with covariate information
- Contextual robust optimisation with uncertainty quantification
- Prescriptive analytics for commodity procurement applications
- Rollout-based routing strategies with embedded prediction: a fish trawling application
- Coupled learning enabled stochastic programming with endogenous uncertainty
- A deficiency of prescriptive analytics -- no perfect predicted value or predicted distribution exists
- Frameworks and results in distributionally robust optimization
This page was built for publication: Bootstrap robust prescriptive analytics
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2089765)
