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arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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0111 · Oct 202219922001200920172026
3 results for “estimate-then-optimize”
Regret Bounds and Experimental Design for Estimate-then-Optimizemath.OC

The paper provides a method to minimize regret in estimate-then-optimize decision-making.

problem Errors in estimation lead to sub-optimal decisions in data-driven decision-making.
method A novel bound on regret for smooth and unconstrained optimization problems, followed by experimental design to minimize this regret.
result A general procedure for experimental design to minimize regret resulting from estimate-then-optimize.
regretestimate-then-optimizeexperimental designsmooth optimizationsub-Gaussian random vectors
2022-10-27abs ↗pdf ↗
Estimate-Then-Optimize versus Integrated-Estimation-Optimization versus Sample Average Approximation: A Stochastic Dominance Perspectivestat.ML

New findings show ETO outperforms IEO in well-specified models with sufficient data.

problem Comparing estimate-then-optimize (ETO) and integrated-estimation-optimization (IEO) methods in stochastic optimization.
method Analyzes the performance of ETO and IEO in well-specified and misspecified models using stochastic dominance.
result Simple ETO outperforms IEO asymptotically in well-specified models with sufficient data.
stochastic optimizationestimationoptimizationstochastic dominanceregret
2023-04-13abs ↗pdf ↗
The Bias-Variance Tradeoff in Data-Driven Optimization: A Local Misspecification Perspectivestat.ML

New insights into bias-variance tradeoff for data-driven optimization under local misspecification.

problem Understanding the relative performance of SAA, IEO, and ETO under local misspecification.
method Developed a local misspecification perspective using contiguity theory in statistics.
result Explicit expressions for decision bias and geometric understanding of variance.
bias-variance tradeoffdata-driven optimizationlocal misspecificationmodel-based approachescontiguity theory
2025-10-21abs ↗pdf ↗