Efficient data-driven optimization with noisy data

被引：0
|
作者：
Parys, Bart P. G. Van [1 ]
机构：
[1] MIT, Sloan Sch Management, 100 Main St, Cambridge, MA 02142 USA
来源：
OPERATIONS RESEARCH LETTERS | 2024年 / 54卷
关键词：
Noisy data; Distributionally robust optimization; Statistical efficiency; Large deviations; Entropic optimal transport; DISTRIBUTIONALLY ROBUST OPTIMIZATION; INEQUALITIES;
D O I：
10.1016/j.orl.2024.107089
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
The classical Kullback-Leibler distance is known to enjoy desirable statistical properties in the context of decision-making with noiseless data. However, in most practical situations data is subject to a certain amount of measurement noise. We hence study here data-driven prescription problems in which the data is corrupted by a known noise source. We derive efficient data-driven formulations in this noisy regime and indicate that they enjoy an entropic optimal transport interpretation. (c) 2024 Elsevier B.V. All rights reserved.
引用
收藏
页数：8
相关论文
共 50 条
  • [1] Data-driven optimization for Intelligent and Efficient Transport
    Bjurling, Bjorn
    Ben Abdesslem, Fehmi
    [J]. ERCIM NEWS, 2016, (105): : 23 - 23
  • [2] Data-Driven Reachability Analysis From Noisy Data
    Alanwar, Amr
    Koch, Anne
    Allgoewer, Frank
    Johansson, Karl Henrik
    [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2023, 68 (05) : 3054 - 3069
  • [3] Data-Driven Stabilization of Nonlinear Polynomial Systems With Noisy Data
    Guo, Meichen
    De Persis, Claudio
    Tesi, Pietro
    [J]. IEEE TRANSACTIONS ON AUTOMATIC CONTROL, 2022, 67 (08) : 4210 - 4217
  • [4] Data-driven robust optimization
    Bertsimas, Dimitris
    Gupta, Vishal
    Kallus, Nathan
    [J]. MATHEMATICAL PROGRAMMING, 2018, 167 (02) : 235 - 292
  • [5] DATA-DRIVEN NONSMOOTH OPTIMIZATION
    Banert, Sebastian
    Ringh, Axel
    Adler, Jonas
    Karlsson, Johan
    Oktem, Ozan
    [J]. SIAM JOURNAL ON OPTIMIZATION, 2020, 30 (01) : 102 - 131
  • [6] Data-driven optimization in management
    Consigli, Giorgio
    Kleywegt, Anton
    [J]. COMPUTATIONAL MANAGEMENT SCIENCE, 2019, 16 (03) : 371 - 374
  • [7] Data-driven robust optimization
    Dimitris Bertsimas
    Vishal Gupta
    Nathan Kallus
    [J]. Mathematical Programming, 2018, 167 : 235 - 292
  • [8] Data-driven optimization in management
    Giorgio Consigli
    Anton Kleywegt
    [J]. Computational Management Science, 2019, 16 : 371 - 374
  • [9] Data-driven discovery of linear dynamical systems from noisy data
    WANG YaSen
    YUAN Ye
    FANG HuaZhen
    DING Han
    [J]. Science China Technological Sciences, 2024, 67 (01) : 121 - 129
  • [10] Data-driven discovery of linear dynamical systems from noisy data
    YaSen Wang
    Ye Yuan
    HuaZhen Fang
    Han Ding
    [J]. Science China Technological Sciences, 2024, 67 : 121 - 129
12345