We propose a novel procedure for correcting for the effects of sampling and parameter uncertainty in data-driven convex optimization. We consider the data-driven setting wherein the distribution lies in a parametric family with unknown parameter. The decision-maker possesses a historical data set, from which solves a p...
G. Loke, Tao-Zeng Zhu, Rui-Ting Zuo· Operational Research· 1 citation
This paper proposes a biobjective formulation that balances prediction accuracy and cost minimization, termed decision-driven regularization, which is shown to be numerically superior to other benchmarks, such as ordinary least squares, random forest, XGBoost, SPO+, perturbation gradient, and learning and rank, in the...
G. Loke, Qin-Shen Tang, Yangge Xiao et al.· INFORMS journal on computing· 1 citation
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