# Bootstrap Robust Prescriptive Analytics

arXiv: https://arxiv.org/abs/1711.09974 · HTML: https://mlsanity.com/paper/1711.09974/

## Key facts

- Cited by 12 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 27 Nov 2017.

## Built on by (most cited first, 12 of 12)

- [A Survey of Contextual Optimization Methods for Decision Making under Uncertainty](https://mlsanity.com/paper/2306.10374/) (2023)
- [Distributionally Robust Learning](https://mlsanity.com/paper/2108.08993/) (2021)
- [Robustifying Conditional Portfolio Decisions via Optimal Transport](https://mlsanity.com/paper/2103.16451/) (2021)
- [Robust Generalization despite Distribution Shift via Minimum Discriminating Information](https://mlsanity.com/paper/2106.04443/) (2021)
- [Distributionally Robust Prescriptive Analytics with Wasserstein Distance](https://mlsanity.com/paper/2106.05724/) (2021)
- [Optimizer's Information Criterion: Dissecting and Correcting Bias in Data-Driven Optimization](https://mlsanity.com/paper/2306.10081/) (2023)
- [Contextual Optimization under Covariate Shift: A Robust Approach by Intersecting Wasserstein Balls](https://mlsanity.com/paper/2406.02426/) (2024)
- [Wasserstein Distributionally Robust Optimization with Wasserstein Barycenters](https://mlsanity.com/paper/2203.12136/) (2022)
- [Smart Surrogate Losses for Contextual Stochastic Linear Optimization with Robust Constraints](https://mlsanity.com/paper/2505.22881/) (2025)
- [Robust Data-driven Prescriptiveness Optimization](https://mlsanity.com/paper/2306.05937/) (2023)
- [Robust personalized pricing under uncertainty of purchase probabilities](https://mlsanity.com/paper/2407.15332/) (2024)
- [Decision-Driven Regularization: A Blended Model for Learning and Optimization](https://mlsanity.com/paper/2608.15124/) (2026)

## Abstract (arXiv)

We address the problem of prescribing an optimal decision in a framework where the cost function depends on uncertain problem parameters that need to be learned from data. Earlier work proposed prescriptive formulations based on supervised machine learning methods. These prescriptive methods can factor in contextual information on a potentially large number of covariates to take context specific actions which are superior to any static decision. When working with noisy or corrupt data, however, such nominal prescriptive methods can be prone to adverse overfitting phenomena and fail to generalize on out-of-sample data. In this paper we combine ideas from robust optimization and the statistical bootstrap to propose novel prescriptive methods which safeguard against overfitting. We show indeed that a particular entropic robust counterpart to such nominal formulations guarantees good performance on synthetic bootstrap data. As bootstrap data is often a sensible proxy to actual out-of-sample data, our robust counterpart can be interpreted to directly encourage good out-of-sample performance. The associated robust prescriptive methods furthermore reduce to convenient tractable convex optimization problems in the context of local learning methods such as nearest neighbors and Nadaraya-Watson learning. We illustrate our data-driven decision-making framework and our novel robustness notion on a small newsvendor problem.