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math.OC2026
Risk-averse Decision Making with Contextual Information: Model, Sample Average Approximation, and Kernelization
Yuan Tao, Erick Delage, Huifu Xu
We consider risk-averse contextual optimization problems where the decision maker (DM) faces two types of uncertainties: problem data uncertainty (PDU) and contextual uncertainty (…
math.OC2026
Mitigating optimistic bias in entropic risk estimation and optimization
Utsav Sadana, Erick Delage, Angelos Georghiou
The entropic risk measure is widely used in high-stakes decision-making across economics, management science, finance, and safety-critical control systems because it captures tail…
math.OC2024
Conformal Inverse Optimization
Bo Lin, Erick Delage, Timothy C. Y. Chan
Inverse optimization has been increasingly used to estimate unknown parameters in an optimization model based on decision data. We show that such a point estimation is insufficient…