220 citations · 724 across the 45 of their papers we have counts for
3 papers · 2 filters
Data-driven Inverse Optimization with Imperfect Information
Peyman Mohajerin Esfahani, Soroosh Shafieezadeh-Abadeh, Grani Adiwena Hanasusanto +1
In data-driven inverse optimization an observer aims to learn the preferences of an agent who solves a parametric optimization problem depending on an exogenous signal. Thus, the o…
Distributionally Robust Logistic Regression
Soroosh Shafieezadeh-Abadeh, Peyman Mohajerin Esfahani, Daniel Kuhn
This paper proposes a distributionally robust approach to logistic regression. We use the Wasserstein distance to construct a ball in the space of probability distributions centere…
Data-driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations
Peyman Mohajerin Esfahani, Daniel Kuhn
We consider stochastic programs where the distribution of the uncertain parameters is only observable through a finite training dataset. Using the Wasserstein metric, we construct…