A data-driven approach to beating SAA out-of-sample
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Abstract (arXiv)
While solutions of Distributionally Robust Optimization (DRO) problems can sometimes have a higher out-of-sample expected reward than the Sample Average Approximation (SAA), there is no guarantee. In this paper, we introduce a class of Distributionally Optimistic Optimization (DOO) models, and show that it is always possible to ``beat" SAA out-of-sample if we consider not just worst-case (DRO) models but also best-case (DOO) ones. We also show, however, that this comes at a cost: Optimistic solutions are more sensitive to model error than either worst-case or SAA optimizers, and hence are less robust and calibrating the worst- or best-case model to outperform SAA may be difficult when data is limited.
Key facts. Cited by 2 papers in the map (data through 7 Oct 2026). Builds on 10 of its 32 references that are in the map. First posted on arXiv 26 May 2021.
Builds on
10 of 32 references.
References · 10
- 2016Statistics of Robust Optimization: A Generalized Empirical Likelihood Approachcited by 182
- 2019Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learningcited by 169
- 2016Variance-based regularization with convex objectivescited by 153
- 2016Recovering Best Statistical Guarantees via the Empirical Divergence-based Distributionally Robust Optimizationcited by 33
- 2013Likelihood Robust Optimization for Data-driven Problemscited by 13
- 2016The Empirical Likelihood Approach to Quantifying Uncertainty in Sample Average Approximationcited by 12
- 2019Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximationcited by 12
- 2020Optimistic Distributionally Robust Policy Optimizationcited by 5
- 2017Optimistic Robust Optimization With Applications To Machine Learningcited by 2
- 2020Worst-case sensitivitycited by 1
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Citing papers per year: 2022: 1; 2023: 1.
2 papers.