Decision Making under the Exponential Family: Distributionally Robust Optimisation with Bayesian Ambiguity Sets
C Dellaporta, P O'Hara, T Damoulas - arXiv preprint arXiv:2411.16829, 2024 - arxiv.org
Decision making under uncertainty is challenging as the data-generating process (DGP) is
often unknown. Bayesian inference proceeds by estimating the DGP through posterior …
often unknown. Bayesian inference proceeds by estimating the DGP through posterior …
On the trade-off between distributional belief and ambiguity: Conservatism, finite-sample guarantees, and asymptotic properties
MY Tsang, KS Shehadeh - arXiv preprint arXiv:2410.19234, 2024 - arxiv.org
We propose and analyze a new data-driven trade-off (TRO) approach for modeling
uncertainty that serves as a middle ground between the optimistic approach, which adopts a …
uncertainty that serves as a middle ground between the optimistic approach, which adopts a …