Distributionally Robust Optimization with Bias and Variance Reduction.
Ronak MehtaVincent RouletKrishna PillutlaZaïd HarchaouiPublished in: ICLR (2024)
Keyphrases
- robust optimization
- variance reduction
- monte carlo
- sample size
- stochastic programming
- mathematical programming
- bias variance decomposition
- importance sampling
- semidefinite programming
- naive bayes classifier
- confidence intervals
- lot sizing
- least squares
- genetic algorithm
- linear programming
- high dimensional
- bayesian networks
- decision trees