Distributionally Robust Optimization with Bias and Variance Reduction.

Ronak Mehta Vincent Roulet Krishna Pillutla Zaïd Harchaoui

Published in: CoRR (2023)

Keyphrases

robust optimization
variance reduction
monte carlo
mathematical programming
stochastic programming
bias variance decomposition
sample size
importance sampling
semidefinite programming
confidence intervals
lot sizing
decision theory
parameter estimation
random variables