Decision-making with Side Information: A Causal Transport Robust Approach

We consider stochastic optimization with side information where, prior to decision making, covariate data are available to inform better decisions.¬†In particular, we propose to consider a distributionally robust formulation based on causal transport distance.¬†Compared with divergence and Wasserstein metric, the causal transport distance is better at capturing the information structure revealed from the conditional distribution … Read more