Establishes equivalence conditions between nested and joint risk assessments in contextual optimization, shows policy independence from contextual risk measure under conditions, and proves SAA consistency in RKHS.
Consider, for another example, a newsvendor problem with entropic risk measure and h(z, s, y) = eγ(a(z−y)++b(y−z)+), (D.55) where z, y ∈ R and a, b, γ are positive constants
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Risk-averse Decision Making with Contextual Information: Model, Sample Average Approximation, and Kernelization
Establishes equivalence conditions between nested and joint risk assessments in contextual optimization, shows policy independence from contextual risk measure under conditions, and proves SAA consistency in RKHS.