Robust Sample Average Approximation
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Abstract (arXiv)
Sample average approximation (SAA) is a widely popular approach to data-driven decision-making under uncertainty. Under mild assumptions, SAA is both tractable and enjoys strong asymptotic performance guarantees. Similar guarantees, however, do not typically hold in finite samples. In this paper, we propose a modification of SAA, which we term Robust SAA, which retains SAA's tractability and asymptotic properties and, additionally, enjoys strong finite-sample performance guarantees. The key to our method is linking SAA, distributionally robust optimization, and hypothesis testing of goodness-of-fit. Beyond Robust SAA, this connection provides a unified perspective enabling us to characterize the finite sample and asymptotic guarantees of various other data-driven procedures that are based upon distributionally robust optimization. This analysis provides insight into the practical performance of these various methods in real applications. We present examples from inventory management and portfolio allocation, and demonstrate numerically that our approach outperforms other data-driven approaches in these applications.
Key facts. Cited by 25 papers in the map (data through 7 Oct 2026). First posted on arXiv 19 Aug 2014.
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Citing papers per year: 2020: 1; 2021: 7; 2022: 5; 2023: 4; 2024: 3; 2025: 5.
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- 2020Bayesian Robust Optimization for Imitation Learningcited by 28
- 2021Doubly-Valid/Doubly-Sharp Sensitivity Analysis for Causal Inference with Unmeasured Confoundingcited by 28
- 2021Integrated Conditional Estimation-Optimizationcited by 25
- 2023Estimate-Then-Optimize versus Integrated-Estimation-Optimization versus Sample Average Approximation: A Stochastic Dominance Perspectivecited by 19
- 2022Holistic Robust Data-Driven Decisionscited by 17
- 2022Treatment Effect Risk: Bounds and Inferencecited by 12
- 2024Efficient Algorithms for Empirical Group Distributionally Robust Optimization and Beyondcited by 11
- 2021Generalization Bounds with Minimal Dependency on Hypothesis Class via Distributionally Robust Optimizationcited by 9
- 2022Beyond IID: data-driven decision-making in heterogeneous environmentscited by 9
- 2021Learning and Decision-Making with Data: Optimal Formulations and Phase Transitionscited by 7
- 2023Smoothed f-Divergence Distributionally Robust Optimizationcited by 6
- 2021Distributionally Robust Prescriptive Analytics with Wasserstein Distancecited by 4
13 more
- 2023Efficient Stochastic Approximation of Minimax Excess Risk Optimizationcited by 4
- 2022Bilevel Optimization for Feature Selection in the Data-Driven Newsvendor Problemcited by 3
- 2025Conformalized Decision Risk Assessmentcited by 3
- 2021Calibrating Over-Parametrized Simulation Models: A Framework via Eligibility Setcited by 1
- 2024Semi-Variance Reduction for Fair Federated Learningcited by 1
- 2024FedMABA: Towards Fair Federated Learning through Multi-Armed Bandits Allocationcited by 1
- 2025PASTA: A Unified Framework for Offline Assortment Learningcited by 1
- 2021On a class of data-driven mixed-integer programming problems under uncertainty: a distributionally robust approachcited by 0
- 2022Neural-Progressive Hedging: Enforcing Constraints in Reinforcement Learning with Stochastic Programmingcited by 0
- 2023An Optimistic-Robust Approach for Dynamic Positioning of Omnichannel Inventoriescited by 0
- 2025Mirror Descent Linearized Augmented Lagrangian Methods for Nonconvex Constrained Stochastic Zeroth-Order Optimizationcited by 0
- 2025Prescribe-then-Select: Adaptive Policy Selection for Contextual Stochastic Optimizationcited by 0
- 2025Online Robust Planning under Model Uncertainty: A Sample-Based Approachcited by 0
- 2025PASTA: A Unified Framework for Offline Assortment Learning2 Oct 2025
- 2025Online Robust Planning under Model Uncertainty: A Sample-Based Approach12 Sep 2025
- 2025Prescribe-then-Select: Adaptive Policy Selection for Contextual Stochastic Optimization9 Sep 2025
- 2025Conformalized Decision Risk Assessment19 May 2025
- 2025Mirror Descent Linearized Augmented Lagrangian Methods for Nonconvex Constrained Stochastic Zeroth-Order Optimization13 Apr 2025
- 2024FedMABA: Towards Fair Federated Learning through Multi-Armed Bandits Allocation26 Oct 2024
- 2024Semi-Variance Reduction for Fair Federated Learning23 Jun 2024
- 2024Efficient Algorithms for Empirical Group Distributionally Robust Optimization and Beyond6 Mar 2024
- 2023An Optimistic-Robust Approach for Dynamic Positioning of Omnichannel Inventories17 Oct 2023
- 2023Smoothed f-Divergence Distributionally Robust Optimization24 Jun 2023
- 2023Efficient Stochastic Approximation of Minimax Excess Risk Optimization31 May 2023
- 2023Estimate-Then-Optimize versus Integrated-Estimation-Optimization versus Sample Average Approximation: A Stochastic Dominance Perspective13 Apr 2023
13 more
- 2022Bilevel Optimization for Feature Selection in the Data-Driven Newsvendor Problem12 Sep 2022
- 2022Holistic Robust Data-Driven Decisions19 Jul 2022
- 2022Beyond IID: data-driven decision-making in heterogeneous environments20 Jun 2022
- 2022Neural-Progressive Hedging: Enforcing Constraints in Reinforcement Learning with Stochastic Programming27 Feb 2022
- 2022Treatment Effect Risk: Bounds and Inference15 Jan 2022
- 2021Doubly-Valid/Doubly-Sharp Sensitivity Analysis for Causal Inference with Unmeasured Confounding21 Dec 2021
- 2021Integrated Conditional Estimation-Optimization24 Oct 2021
- 2021Learning and Decision-Making with Data: Optimal Formulations and Phase Transitions14 Sep 2021
- 2021Generalization Bounds with Minimal Dependency on Hypothesis Class via Distributionally Robust Optimization21 Jun 2021
- 2021Distributionally Robust Prescriptive Analytics with Wasserstein Distance10 Jun 2021
- 2021On a class of data-driven mixed-integer programming problems under uncertainty: a distributionally robust approach28 May 2021
- 2021Calibrating Over-Parametrized Simulation Models: A Framework via Eligibility Set27 May 2021
- 2020Bayesian Robust Optimization for Imitation Learning24 Jul 2020
- 2020Bayesian Robust Optimization for Imitation Learningcited by 28
- 2020Bayesian Robust Optimization for Imitation Learning24 Jul 2020
- 2021Doubly-Valid/Doubly-Sharp Sensitivity Analysis for Causal Inference with Unmeasured Confoundingcited by 28
- 2021Integrated Conditional Estimation-Optimizationcited by 25
- 2023Estimate-Then-Optimize versus Integrated-Estimation-Optimization versus Sample Average Approximation: A Stochastic Dominance Perspectivecited by 19
- 2022Holistic Robust Data-Driven Decisionscited by 17
- 2022Treatment Effect Risk: Bounds and Inferencecited by 12
- 2024Efficient Algorithms for Empirical Group Distributionally Robust Optimization and Beyondcited by 11
- 2021Generalization Bounds with Minimal Dependency on Hypothesis Class via Distributionally Robust Optimizationcited by 9
- 2022Beyond IID: data-driven decision-making in heterogeneous environmentscited by 9
- 2021Learning and Decision-Making with Data: Optimal Formulations and Phase Transitionscited by 7
- 2023Smoothed f-Divergence Distributionally Robust Optimizationcited by 6
- 2021Distributionally Robust Prescriptive Analytics with Wasserstein Distancecited by 4
- 2023Efficient Stochastic Approximation of Minimax Excess Risk Optimizationcited by 4
12 most cited of 24 All 24 (JSON)
- 2025PASTA: A Unified Framework for Offline Assortment Learning2 Oct 2025
- 2025Online Robust Planning under Model Uncertainty: A Sample-Based Approach12 Sep 2025
- 2025Prescribe-then-Select: Adaptive Policy Selection for Contextual Stochastic Optimization9 Sep 2025
- 2025Conformalized Decision Risk Assessment19 May 2025
- 2025Mirror Descent Linearized Augmented Lagrangian Methods for Nonconvex Constrained Stochastic Zeroth-Order Optimization13 Apr 2025
- 2024FedMABA: Towards Fair Federated Learning through Multi-Armed Bandits Allocation26 Oct 2024
- 2024Semi-Variance Reduction for Fair Federated Learning23 Jun 2024
- 2024Efficient Algorithms for Empirical Group Distributionally Robust Optimization and Beyond6 Mar 2024
- 2023An Optimistic-Robust Approach for Dynamic Positioning of Omnichannel Inventories17 Oct 2023
- 2023Smoothed f-Divergence Distributionally Robust Optimization24 Jun 2023
- 2023Efficient Stochastic Approximation of Minimax Excess Risk Optimization31 May 2023
- 2023Estimate-Then-Optimize versus Integrated-Estimation-Optimization versus Sample Average Approximation: A Stochastic Dominance Perspective13 Apr 2023
12 newest of 24 All 24 (JSON)