Seminar
Assessing solution quality in risk-averse stochastic programmes
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SeriesErasmus Econometric Institute Series
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SpeakerRuben van Beesten (Erasmus University Rotterdam)
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FieldEconometrics, Operations Analytics, Data Science and Econometrics
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LocationErasmus University Rotterdam, Campus Woudestein, ET-14
Rotterdam -
Date and time
November 22, 2024
12:00 - 13:00
Abstract
In optimization problems, the quality of a candidate solution can be characterized by the optimality gap. For most stochastic optimization problems, this gap must be statistically estimated. We show that standard estimators are optimistically biased for risk-averse problems, which compromises the statistical guarantee on the optimality gap.