Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization.
Viet Anh NguyenSoroosh Shafieezadeh-AbadehDaniel KuhnPeyman Mohajerin EsfahaniPublished in: Math. Oper. Res. (2023)
Keyphrases
- robust optimization
- error estimation
- decision theory
- chance constrained
- model selection
- mathematical programming
- stochastic programming
- error estimates
- sufficient conditions
- bayesian networks
- support vector machine
- decision making
- generalization error
- risk measures
- lot sizing
- semidefinite programming
- maximum likelihood
- data sets
- cross validation
- case based reasoning
- pairwise
- machine learning