Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization.
Viet Anh NguyenSoroosh Shafieezadeh-AbadehDaniel KuhnPeyman Mohajerin EsfahaniPublished in: CoRR (2019)
Keyphrases
- robust optimization
- error estimation
- decision theory
- chance constrained
- stochastic programming
- model selection
- mathematical programming
- error estimates
- sufficient conditions
- risk measures
- support vector machine
- artificial intelligence
- bayesian networks
- maximum likelihood
- utility function
- chance constraints
- generalization error
- linear programming
- worst case
- dynamic programming
- cooperative
- feature selection
- combinatorial optimization
- lot sizing
- cross validation
- feature vectors
- data sets