Distributionally robust optimization with side information based on probability trimmings and optimal transport

J. M. Morales González, A. Esteban Pérez

We deal with stochastic programs conditional on some covariates, where the only information on the relationship between these covariates and the input parameters of the stochastic program is reduced to a finite data sample of their joint distribution. We take advantage of the close link between the notion of trimmings of a probability measure and the partial mass transportation problem to construct a data-driven Distributionally Robust Optimization framework that hedges the decision maker against the intrinsic error in the process of inferring conditional information from limited joint data. We show that our approach naturally leads to distributionally robust versions of some local nonparametric predictive methods, such as Nadaraya-Watson kernel regression and K-nearest neighbors.

Keywords: Distributionally Robust Optimization, Trimmings, Side information, Partial Mass Transportation

Scheduled

GT04 Multivariate Analysis and Classification V. Mathematical Optimization and Data Science
June 8, 2022  12:40 PM
Cloister room

Other papers in the same session

On warm-starting constraint generation methods via machine learning tools for solving mixed-integer programs

A. Jiménez-Cordero, J. M. Morales González, S. Pineda Morente

Prescriptive analytics addressing uncertainty in logistics: a tailored neural network approach

N. Gómez-Vargas, R. Blanquero, E. Carrizosa

A bilevel framework for decision-making under uncertainty with contextual information

S. Pineda, M. Á. Muñoz, J. M. Morales González

On the use of P-splines for constrained smoothing and out-of-range prediction

M. Navarro-García, V. Guerrero, M. Durbán

Latest news

  • 6/8/22
    Visit Alhambra

    Tomorrow, Thursday, we will visit the Alhambra. 1. At 7:00 p.m., buses will start leaving from the door of the Hotel Granada Center (in front of the door of the Faculty of Sciences) 2. Upon arrival, groups with guides will be organized. 3. There will be groups in English language. These groups will wait at the destination until the arrival of all buses. 4. After the visit to the Alhambra we will walk to the Carmen de los Mártires to have a cocktail. 5. On the way back, we can go back by bus, which will leave from the same place where they left us at the Alhambra. 6. Although the way to the Alhambra by bus seems long, it really is close to the city. We invite you, whoever wishes, to go down for a pleasant walk. 7. Do not forget to take your Alhambra ticket and your identity card or passport. The document must be the same whose number matches the ticket number you have.

  • 5/31/22
    YouTube Channel

    The menu label is already on the web from where you can see the live broadcasts: inauguration, plenary sessions, round tables,... Don't forget to enter the YouTube channel and subscribe!!!!

  • 5/27/22
    Gala Dinner

    It opens the possibility that anyone who is registered for the conference, and wants non-registered companions to attend the gala dinner, can do so by paying the price of this dinner (80 euros VAT included). This payment must be made before June 1 (inclusive). To do this, contact with [email protected]

  • 5/23/22
    IMPORTANT WARNING

    To access the Alhambra on the visit on Thursday 9, it is obligatory to present the identification document whose reference was sent to the organization (eurocongress)

  • 5/16/22
    Social Events

    All social events are included with the payment of the corresponding registration.

Organizers

Partners

Sponsors

Cookie policy

We use cookies in order to be able to identify and authenticate you on the website. They are necessary for the correct functioning of it, and therefore they can not be disabled. If you continue browsing the website, you are agreeing with their acceptance, as well as our Privacy Policy.

Additionally, we use Google Analytics in order to analyze the website traffic. They also use cookies and you can accept or refuse them with the buttons below.

You can read more details about our Cookie Policy and our Privacy Policy.