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Regret Equals Covariance: A Closed-Form Characterization for Stochastic Optimization

Aldridge, Irene
arXiv (All) · Papers
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computationeconometricsmachine-learningstatistics-theory
Quantifying regret typically involves repeatedly re-solving a stochastic optimization problem across simulated scenarios. Such an approach is costly: the cost scales with the number of scenarios and the cost of each solve. We propose that regret can instead be measured using the joint moments of the
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