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math.OC2024
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★ 2 cited
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…