A bilevel framework for decision-making under uncertainty with contextual information
S. Pineda, M. Á. Muñoz, J. M. Morales González
We propose a novel approach for data-driven decision-making under uncertainty in the presence of contextual information. Given a finite collection of observations of the uncertain parameters and potential explanatory variables, our approach fits a parametric model to those data that is specifically tailored to maximizing the decision value. From a mathematical point of view, our framework translates into a bilevel program that can be solved using off-the-shelf optimization solvers. We showcase the benefits of moving from the traditional scheme for model estimation (based on statistical quality metrics) to decision-guided prediction using three different practical problems. We also compare our approach with existing ones in a realistic case study that considers a strategic power producer that participates in the Iberian electricity market.
Keywords: Data-driven decision-making under uncertainty, Bilevel programming, Statistical regression, Strategic producer, Electricity market
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
J. M. Morales González, A. Esteban Pérez
A. Jiménez-Cordero, J. M. Morales González, S. Pineda Morente
N. Gómez-Vargas, R. Blanquero, E. Carrizosa
M. Navarro-García, V. Guerrero, M. Durbán
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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.
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5/31/22
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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]
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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)
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5/16/22
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