The Empirical Likelihood Approach to Quantifying Uncertainty in Sample Average Approximation (1604.02573v2)

Abstract: 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.