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math.OC2026
When Is Two-Stage Sample Robust Optimization Asymptotically Optimal? A Simple Perspective
Ling Dai, Chin Pang Ho
Two-stage sample robust optimization with linear decision rules is a standard data-driven approach to two-stage stochastic linear programs with unknown distributions. \cite{bertsim…
math.OC2025
Data-Driven Contextual Optimization with Gaussian Mixtures: Flow-Based Generalization, Robust Models, and Multistage Extensions
YoungChul Yoon, Ling Dai, Grani A. Hanasusanto +2
Contextual optimization enhances decision quality by leveraging side information to improve predictions of uncertain parameters. However, existing approaches face significant chall…
math.OC2024
Generalization Bounds for Contextual Stochastic Optimization using Kernel Regression
Yijie Wang, Grani A. Hanasusanto, Chin Pang Ho
In this paper, we consider contextual stochastic optimization using Nadaraya-Watson kernel regression, which is one of the most common approaches in nonparametric regression. Recen…