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Home | Events Archive | Assessing solution quality in risk-averse stochastic programmes
Seminar

Assessing solution quality in risk-averse stochastic programmes

  • Location
    Erasmus 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.