The Empirical Likelihood Approach to Quantifying Uncertainty in Sample Average Approximation
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Abstract (arXiv)
We study the empirical likelihood approach to construct confidence intervals for the optimal value and the optimality gap of a given solution, henceforth quantify the statistical uncertainty of sample average approximation, for optimization problems with expected value objectives and constraints where the underlying probability distributions are observed via limited data. This approach relies on two distributionally robust optimization problems posited over the uncertain distribution, with a divergence-based uncertainty set that is suitably calibrated to provide asymptotic statistical guarantees.
Key facts. Cited by 12 papers in the map (data through 7 Oct 2026). First posted on arXiv 9 Apr 2016.
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Citing papers per year: 2021: 3; 2022: 1; 2023: 5; 2024: 0; 2025: 2; 2026: 1.
12 papers.
- 2023A Finite Sample Complexity Bound for Distributionally Robust Q-learningcited by 35
- 2021Statistical Analysis of Wasserstein Distributionally Robust Estimatorscited by 27
- 2021Generalization Bounds with Minimal Dependency on Hypothesis Class via Distributionally Robust Optimizationcited by 9
- 2023Smoothed f-Divergence Distributionally Robust Optimizationcited by 6
- 2023Estimation Beyond Data Reweighting: Kernel Method of Momentscited by 5
- 2022Minimax Optimal Estimation of Stability Under Distribution Shiftcited by 4
- 2025Calibrating Decision Robustness via Inverse Conformal Risk Controlcited by 4
- 2023Understanding Deep Generative Models with Generalized Empirical Likelihoodscited by 3
- 2021A data-driven approach to beating SAA out-of-samplecited by 2
- 2023Obtaining Explainable Classification Models using Distributionally Robust Optimizationcited by 0
- 2025Ranking and Selection with Simultaneous Input Data Collectioncited by 0
- 2026Statistical Guarantees for Distributionally Robust Optimization with Optimal Transport and OT-Regularized Divergencescited by 0
- 2026Statistical Guarantees for Distributionally Robust Optimization with Optimal Transport and OT-Regularized Divergences29 Mar 2026
- 2025Calibrating Decision Robustness via Inverse Conformal Risk Control9 Oct 2025
- 2025Ranking and Selection with Simultaneous Input Data Collection14 Mar 2025
- 2023Obtaining Explainable Classification Models using Distributionally Robust Optimization3 Nov 2023
- 2023Smoothed f-Divergence Distributionally Robust Optimization24 Jun 2023
- 2023Understanding Deep Generative Models with Generalized Empirical Likelihoods16 Jun 2023
- 2023Estimation Beyond Data Reweighting: Kernel Method of Moments18 May 2023
- 2023A Finite Sample Complexity Bound for Distributionally Robust Q-learning26 Feb 2023
- 2022Minimax Optimal Estimation of Stability Under Distribution Shift13 Dec 2022
- 2021Statistical Analysis of Wasserstein Distributionally Robust Estimators4 Aug 2021
- 2021Generalization Bounds with Minimal Dependency on Hypothesis Class via Distributionally Robust Optimization21 Jun 2021
- 2021A data-driven approach to beating SAA out-of-sample26 May 2021