152 citations · 182 across the 13 of their papers we have counts for
5 papers · 1 filter
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…
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…
Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures
Saeed Marzban, Erick Delage, Jonathan Yumeng Li
In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the contract to the same level…