Learning and Decision-Making with Data: Optimal Formulations and Phase Transitions
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Abstract (arXiv)
We study the problem of designing optimal learning and decision-making formulations when only historical data is available. Prior work typically commits to a particular class of data-driven formulation and subsequently tries to establish out-of-sample performance guarantees. We take here the opposite approach. We define first a sensible yard stick with which to measure the quality of any data-driven formulation and subsequently seek to find an optimal such formulation. Informally, any data-driven formulation can be seen to balance a measure of proximity of the estimated cost to the actual cost while guaranteeing a level of out-of-sample performance. Given an acceptable level of out-of-sample performance, we construct explicitly a data-driven formulation that is uniformly closer to the true cost than any other formulation enjoying the same out-of-sample performance. We show the existence of three distinct out-of-sample performance regimes (a superexponential regime, an exponential regime and a subexponential regime) between which the nature of the optimal data-driven formulation experiences a phase transition. The optimal data-driven formulations can be interpreted as a classically robust formulation in the superexponential regime, an entropic distributionally robust formulation in the exponential regime and finally a variance penalized formulation in the subexponential regime. This final observation unveils a surprising connection between these three, at first glance seemingly unrelated, data-driven formulations which until now remained hidden.
Key facts. Cited by 7 papers in the map (data through 7 Oct 2026). Builds on 14 of its 49 references that are in the map. First posted on arXiv 14 Sep 2021.
Builds on
14 of 49 references.
References · 14
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Citing papers per year: 2021: 1; 2022: 2; 2023: 3; 2024: 0; 2025: 1.
7 papers.
- 2021Integrated Conditional Estimation-Optimizationcited by 25
- 2022Holistic Robust Data-Driven Decisionscited by 17
- 2022Distributionally Robust Bayesian Optimization with varphi-divergencescited by 16
- 2023Certified Robust Neural Networks: Generalization and Corruption Resistancecited by 11
- 2023Smoothed f-Divergence Distributionally Robust Optimizationcited by 6
- 2025Towards Optimal Offline Reinforcement Learningcited by 2
- 2023Optimal Confidence Intervals via Moderate Deviations Theorycited by 1
- 2025Towards Optimal Offline Reinforcement Learning15 Mar 2025
- 2023Smoothed f-Divergence Distributionally Robust Optimization24 Jun 2023
- 2023Optimal Confidence Intervals via Moderate Deviations Theory23 May 2023
- 2023Certified Robust Neural Networks: Generalization and Corruption Resistance3 Mar 2023
- 2022Holistic Robust Data-Driven Decisions19 Jul 2022
- 2022Distributionally Robust Bayesian Optimization with varphi-divergences4 Mar 2022
- 2021Integrated Conditional Estimation-Optimization24 Oct 2021