The empirical likelihood approach to quantifying uncertainty in sample average approximation
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Abstract: We study the empirical likelihood approach to construct confidence intervals for the optimal value and the optimality gap of a given solution, henceforth quantify the statistical uncertainty of sample average approximation, for optimization problems with expected value objectives and constraints where the underlying probability distributions are observed via limited data. This approach relies on two distributionally robust optimization problems posited over the uncertain distribution, with a divergence-based uncertainty set that is suitably calibrated to provide asymptotic statistical guarantees.
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Cites work
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Cited in
(14)- Learning models with uniform performance via distributionally robust optimization
- Statistics of robust optimization: a generalized empirical likelihood approach
- Distributionally Robust Stochastic Dual Dynamic Programming
- Optimization-based calibration of simulation input models
- Robust Actuarial Risk Analysis
- Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty
- Confidence regions of two‐stage stochastic linear complementarity problems
- Parametric scenario optimization under limited data: a distributionally robust optimization view
- Confidence regions of stochastic variational inequalities: error bound approach
- Improving the accuracy of estimation of unknown random variable probability density over empirical data
- Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
- Robust Wasserstein profile inference and applications to machine learning
- Frameworks and results in distributionally robust optimization
- Sample out-of-sample inference based on Wasserstein distance
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