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Preliminary results on two-stage scenario problems Campi, Marco
Description
We consider sequential decision problems where a first action is made prior to seeing any uncertainty (â here-and-nowâ optimization variable) and then, after uncertainty arrives, one makes a second corrective action that can depend on the observed uncertainty value (â wait-and-seeâ optimization variable), which is followed by the arrival of yet another uncertain input that closes the process. Given a sample of observations of the uncertainties, we assume one makes a cautious selection of the â here-and-nowâ and wait-and-seeâ actions that guards against the worst-case scenarios and asks for the risk that this actions will meet a shortfall in a new out-of-sample case so that the performance will worsen as compared to the expectation constructed from the observations. We present sample complexity results for this setup based on new compression schemes and discuss various extensions and the difficulties therein.
Item Metadata
| Title |
Preliminary results on two-stage scenario problems
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| Creator | |
| Publisher |
Banff International Research Station for Mathematical Innovation and Discovery
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| Date Issued |
2019-01-15T11:42
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| Description |
We consider sequential decision problems where a first action is made prior to seeing any uncertainty (â here-and-nowâ optimization variable) and then, after uncertainty arrives, one makes a second corrective action that can depend on the observed uncertainty value (â wait-and-seeâ optimization variable), which is followed by the arrival of yet another uncertain input that closes the process. Given a sample of observations of the uncertainties, we assume one makes a cautious selection of the â here-and-nowâ and wait-and-seeâ actions that guards against the worst-case scenarios and asks for the risk that this actions will meet a shortfall in a new out-of-sample case so that the performance will worsen as compared to the expectation constructed from the observations. We present sample complexity results for this setup based on new compression schemes and discuss various extensions and the difficulties therein.
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| Extent |
43.0 minutes
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| Subject | |
| Type | |
| File Format |
video/mp4
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| Language |
eng
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| Notes |
Author affiliation: University of Brescia
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| Series | |
| Date Available |
2019-07-15
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| Provider |
Vancouver : University of British Columbia Library
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| Rights |
Attribution-NonCommercial-NoDerivatives 4.0 International
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| DOI |
10.14288/1.0379837
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| URI | |
| Affiliation | |
| Peer Review Status |
Unreviewed
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| Scholarly Level |
Faculty
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| Rights URI | |
| Aggregated Source Repository |
DSpace
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Rights
Attribution-NonCommercial-NoDerivatives 4.0 International