A decision-aware loss and robust uncertainty-set method for learning under endogenous uncertainty, plus a two-stage information-gathering extension, with experiments on pricing, assortment, and power scheduling.
International conference on machine learning, 136--145 (PMLR)
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Aligning Learning and Endogenous Decision-Making
A decision-aware loss and robust uncertainty-set method for learning under endogenous uncertainty, plus a two-stage information-gathering extension, with experiments on pricing, assortment, and power scheduling.