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stat.ML2019★ 24 cited
From Predictions to Prescriptions in Multistage Optimization Problems
Dimitris Bertsimas, Christopher McCord
In this paper, we introduce a framework for solving finite-horizon multistage optimization problems under uncertainty in the presence of auxiliary data. We assume the joint distrib…
stat.ML2018
Optimization over Continuous and Multi-dimensional Decisions with Observational Data
Dimitris Bertsimas, Christopher McCord
We consider the optimization of an uncertain objective over continuous and multi-dimensional decision spaces in problems in which we are only provided with observational data. We p…