Model-Uncertainty-Aware Residuals-Based Sample Average Approximation
We consider a contextual stochastic optimization (CSO) problem, where one has observations of the uncertain parameters together with concurrent observations of covariates, and the goal is to choose decisions that minimize expected cost conditioned on new covariate observations. The empirical residuals-based sample average approximation (ER-SAA) of the CSO problem constructs scenarios of uncertainty by combining … Read more