# Robust Data-driven Prescriptiveness Optimization

arXiv: https://arxiv.org/abs/2306.05937 · HTML: https://mlsanity.com/paper/2306.05937/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 13 of its 35 references that are in the map.
- First posted on arXiv 9 Jun 2023.

## Builds on (most cited first, 13 of 13)

- [Data-driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations](https://mlsanity.com/paper/1505.05116/) (2015)
- [From Predictive to Prescriptive Analytics](https://mlsanity.com/paper/1402.5481/) (2014)
- [Can Autonomous Vehicles Identify, Recover From, and Adapt to Distribution Shifts?](https://mlsanity.com/paper/2006.14911/) (2020)
- [Distributionally Robust Losses for Latent Covariate Mixtures](https://mlsanity.com/paper/2007.13982/) (2020)
- [From Data to Decisions: Distributionally Robust Optimization is Optimal](https://mlsanity.com/paper/1704.04118/) (2017)
- [Recovering Best Statistical Guarantees via the Empirical Divergence-based Distributionally Robust Optimization](https://mlsanity.com/paper/1605.09349/) (2016)
- [Residuals-based distributionally robust optimization with covariate information](https://mlsanity.com/paper/2012.01088/) (2020)
- [Stochastic Optimization Forests](https://mlsanity.com/paper/2008.07473/) (2020)
- [Distributionally robust stochastic programs with side information based on trimmings -- Extended version](https://mlsanity.com/paper/2009.10592/) (2020)
- [Data-Pooling in Stochastic Optimization](https://mlsanity.com/paper/1906.00255/) (2019)
- [Bootstrap Robust Prescriptive Analytics](https://mlsanity.com/paper/1711.09974/) (2017)
- [Robustifying Conditional Portfolio Decisions via Optimal Transport](https://mlsanity.com/paper/2103.16451/) (2021)
- [On Data-Driven Prescriptive Analytics with Side Information: A Regularized Nadaraya-Watson Approach](https://mlsanity.com/paper/2110.04855/) (2021)

## Abstract (arXiv)

The abundance of data has led to the emergence of a variety of optimization techniques that attempt to leverage available side information to provide more anticipative decisions. The wide range of methods and contexts of application have motivated the design of a universal unitless measure of performance known as the coefficient of prescriptiveness. This coefficient was designed to quantify both the quality of contextual decisions compared to a reference one and the prescriptive power of side information. To identify policies that maximize the former in a data-driven context, this paper introduces a distributionally robust contextual optimization model where the coefficient of prescriptiveness substitutes for the classical empirical risk minimization objective. We present a bisection algorithm to solve this model, which relies on solving a series of linear programs when the distributional ambiguity set has an appropriate nested form and polyhedral structure. Studying a contextual shortest path problem, we evaluate the robustness of the resulting policies against alternative methods when the out-of-sample dataset is subject to varying amounts of distribution shift.