Assessing solution quality in risk-averse stochastic programmes

Series

Erasmus Econometric Institute Series
Speaker

Ruben van Beesten (Erasmus University Rotterdam)
Field

Econometrics, Operations Analytics, Data Science and Econometrics

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.