Technical note -- A data-driven approach to beating SAA out of sample

DOI10.1287/OPRE.2021.0393MaRDI QIDQ6974747zbMATH OpenFDO

Authors Jun-Ya Gotoh, Michael Jong Kim, Andrew Lim

Publication date 5 June 2025

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/OPRE.2021.0393

zbMATH Keywords

data-driven optimizationdistributionally optimistic optimizationdistributionally robust optimizationmodel uncertaintyout-of-sample performancesample average approximationworst case sensitivity

Mathematics Subject Classification ID

Stochastic programming (90C15) Convex programming (90C25) Minimax problems in mathematical programming (90C47)

Cited in

(1)

• Rockafellian relaxation for PDE-constrained optimization with distributional ambiguity

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