The empirical likelihood approach to quantifying uncertainty in sample average approximation

作者：Lam Henry^*; Zhou Enlu

来源：Operations Research Letters, 2017, 45(4): 301-307.

DOI：10.1016/j.orl.2017.04.003

• Empirical likelihood
• Sample average approximation
• Confidence interval
• Statistical uncertainty

We study the empirical likelihood approach to construct confidence intervals for the optimal value and the optimality gap of a given solution, henceforth quantify the statistical uncertainty of sample average approximation, for optimization problems with expected value objectives and constraints where the underlying probability distributions are observed via limited data. This approach relies on two distributionally robust optimization problems posited over the uncertain distribution, with a divergence based uncertainty set that is suitably calibrated to provide asymptotic statistical guarantees.

• 出版日期2017-7