Bootstrap Robust Prescriptive Analytics

We address the problem of prescribing an optimal decision in a framework where its cost depends on uncertain problem parameters $Y$ that need to be learned from data. Earlier work by Bertsimas and Kallus (2014) transforms classical machine learning methods that merely predict $Y$ from supervised training data $[(x_1, y_1), \dots, (x_n, y_n)]$ into prescriptive … Read more