Corpus ID: 17260080

Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach

@article{Duchi2016StatisticsOR,
  title={Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach},
  author={John C. Duchi and P. Glynn and Hongseok Namkoong},
  journal={arXiv: Machine Learning},
  year={2016}
}
  • John C. Duchi, P. Glynn, Hongseok Namkoong
  • Published 2016
  • Mathematics
  • arXiv: Machine Learning
  • We study statistical inference and distributionally robust solution methods for stochastic optimization problems, focusing on confidence intervals for optimal values and solutions that achieve exact coverage asymptotically. We develop a generalized empirical likelihood framework---based on distributional uncertainty sets constructed from nonparametric $f$-divergence balls---for Hadamard differentiable functionals, and in particular, stochastic optimization problems. As consequences of this… CONTINUE READING

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