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Record W2943278754

"Dice"-sion making under uncertainty: When can a random decision reduce risk?

2016· article· en· W2943278754 on OpenAlexaff
Erick Delage, Daniel Kühn, Wolfram Wiesemann

Bibliographic record

VenueInfoscience (Ecole Polytechnique Fédérale de Lausanne) · 2016
Typearticle
Languageen
FieldDecision Sciences
TopicRisk and Portfolio Optimization
Canadian institutionsHEC Montréal
Fundersnot available
KeywordsDiceComputer scienceRisk analysis (engineering)StatisticsMathematicsBusiness
DOInot available

Abstract

fetched live from OpenAlex

Stochastic programming and distributionally robust optimization seek deterministic decisions that optimize a risk measure, possibly in view of the most adverse distribution in an ambiguity set. We investigate under which circumstances such deterministic decisions are strictly outperformed by random decisions which depend on a randomization device producing uniformly distributed samples that are independent of all uncertain factors affecting the decision problem. We find that in the absence of distributional ambiguity, deterministic decisions are optimal if both the risk measure and the feasible region are convex, or alternatively if the risk measure is mixture-quasiconcave. We show that several classes of risk measures, such as mean (semi-)deviation and mean (semi-)moment measures, fail to be mixture-quasiconcave and can therefore give rise to problems in which the decision maker benefits from randomization. Under distributional ambiguity, on the other hand, we show that for any ambiguity averse risk measure there always exists a decision problem (with a nonconvex—e.g., mixed-integer—feasible region) in which a randomized decision strictly dominates all deterministic decisions.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

How this classification was reachedexpand

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.008
metaresearch head score (Gemma)0.007
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesMeta-epidemiology (narrow)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Other design · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: none
Teacher disagreement score0.864
Threshold uncertainty score1.000

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0080.007
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0010.002
Science and technology studies0.0010.001
Scholarly communication0.0010.001
Open science0.0020.001
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0010.000

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.043
GPT teacher head0.351
Teacher spread0.308 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it

Classification

machine, unvalidated

Machine predicted; a candidate call from one teacher head, not a consensus.

Study designOther design
Domainnot available
GenreEmpirical

How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".

Quick stats

Citations1
Published2016
Admission routes1
Has abstractyes

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