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math.OC2022
Contextual Ranking and Selection with Gaussian Processes
Sait Cakmak, Siyang Gao, Enlu Zhou
In many real world problems, we are faced with the problem of selecting the best among a finite number of alternatives, where the best alternative is determined based on context sp…
math.OC2020
Solving Bayesian Risk Optimization via Nested Stochastic Gradient Estimation
Sait Cakmak, Di Wu, Enlu Zhou
In this paper, we aim to solve Bayesian Risk Optimization (BRO), which is a recently proposed framework that formulates simulation optimization under input uncertainty. In order to…