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We propose a data-driven technique to automatically learn contextual uncertainty sets in robust optimization, resulting in excellent worst-case and average-case performance while also guaranteeing constraint satisfaction.
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Bandi, C. and Bertsimas, D. (2012) · 2012
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Iancu, D. A. and Trichakis, N. (2014) · 2014
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Chow, Y., Ghavamzadeh, M., Janson, L., and Pavone, M. (2015) · 2015
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Singh, S. and Póczos, B. (2016) · 2016
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Amos, B. and Kolter, J. Z. (2017) · 2017
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Cameron, C., Hartford, J., Lundy, T., and Leyton-Brown, K. (2022) · 2022
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