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Kuhn, D · 2025

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math.OC 1

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2025 1

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CONDITIONAL 1

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Harmonizing SAA and DRO

math.OC · 2025-08-26 · conditional · novelty 5.0

Weighted SAA and moment-DRO with lambda = C/sqrt(N) combines data and information, is asymptotically optimal at a 1/sqrt(N) rate, and improves scenario reduction.

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  • Harmonizing SAA and DRO math.OC · 2025-08-26 · conditional · none · ref 21

    Weighted SAA and moment-DRO with lambda = C/sqrt(N) combines data and information, is asymptotically optimal at a 1/sqrt(N) rate, and improves scenario reduction.