152 citations · 182 across the 13 of their papers we have counts for
13 papers
A Survey of Contextual Optimization Methods for Decision Making under Uncertainty
Utsav Sadana, Abhilash Chenreddy, Erick Delage +3
Recently there has been a surge of interest in operations research (OR) and the machine learning (ML) community in combining prediction algorithms and optimization techniques to so…
Robust Data-driven Prescriptiveness Optimization
Mehran Poursoltani, Erick Delage, Angelos Georghiou
The abundance of data has led to the emergence of a variety of optimization techniques that attempt to leverage available side information to provide more anticipative decisions. T…
On Dynamic Programming Decompositions of Static Risk Measures in Markov Decision Processes
Jia Lin Hau, Erick Delage, Mohammad Ghavamzadeh +1
Optimizing static risk-averse objectives in Markov decision processes is difficult because they do not admit standard dynamic programming equations common in Reinforcement Learning…
Risk-Aware Bid Optimization for Online Display Advertisement
Rui Fan, Erick Delage
This research focuses on the bid optimization problem in the real-time bidding setting for online display advertisements, where an advertiser, or the advertiser's agent, has access…
A Double-oracle, Logic-based Benders decomposition approach to solve the K-adaptability problem
Alireza Ghahtarani, Ahmed Saif, Alireza Ghasemi +1
We propose a novel approach to solve K-adaptability problems with convex objective and constraints and integer first-stage decisions. A logic-based Benders decomposition is applied…
WaveCorr: Correlation-savvy Deep Reinforcement Learning for Portfolio Management
Saeed Marzban, Erick Delage, Jonathan Yumeng Li +2
The problem of portfolio management represents an important and challenging class of dynamic decision making problems, where rebalancing decisions need to be made over time with th…