Sample average approximation with heavier tails I: non-asymptotic bounds with weak assumptions and stochastic constraints
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New method optimizes risk minimization for finance and machine learning
Researchers have developed a new method for optimizing the Optimized Certainty Equivalent (OCE) risk, a concept with applications in finance and machine learning. The proposed approach provides a characterization linkin…
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Newsvendor problem analysis advances SAA regret bounds
This paper presents a generalized approach to analyzing the Sample Average Approximation (SAA) method for data-driven newsvendor problems. The authors extend previous work beyond linear-cost scenarios to more general co…
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New Conformal Predictive Programming framework tackles chance-constrained optimization
Researchers have introduced Conformal Predictive Programming (CPP), a new framework designed to tackle chance-constrained optimization problems. CPP leverages samples from random variables and the quantile lemma, a core…