Corpus ID: 2859132

Robust Optimization using Machine Learning for Uncertainty Sets

@article{Tulabandhula2014RobustOU,
  title={Robust Optimization using Machine Learning for Uncertainty Sets},
  author={Theja Tulabandhula and C. Rudin},
  journal={ArXiv},
  year={2014},
  volume={abs/1407.1097}
}
  • Theja Tulabandhula, C. Rudin
  • Published 2014
  • Mathematics, Computer Science
  • ArXiv
  • Our goal is to build robust optimization problems for making decisions based on complex data from the past. [...] Key Method The past data are drawn randomly from an (unknown) possibly complicated high-dimensional distribution. We propose a new uncertainty set design and show how tools from statistical learning theory can be employed to provide probabilistic guarantees on the robustness of the policy.Expand Abstract
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