Statistics of Robust Optimization : A Generalized Empirical Likelihood Approach

@inproceedings{Duchi2016StatisticsOR,
  title={Statistics of Robust Optimization : A Generalized Empirical Likelihood Approach},
  author={John C. Duchi and Peter W. Glynn and Hongseok Namkoong},
  year={2016}
}
We study statistical inference and robust solution methods for stochastic optimization problems. We first develop an empirical likelihood framework for stochastic optimization. We show an empirical likelihood theory for Hadamard differentiable functionals with general f -divergences and give conditions under which T (P ) = infx∈X EP [`(x; ξ)] is Hadamard differentiable. Noting that the right endpoint of the generalized empirical likelihood confidence interval is a distributionally robust… CONTINUE READING
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