Practical feasibility of algorithmic approaches for discovering minimax decision rules at scale
Investigate the practical feasibility of implementing the ε-minimax optimization approach that discretizes the decision-rule space and uses first-order methods with a Nature best-response oracle (Aradillas Fernández, Blanchet, Montiel Olea, Qiu, Stoye, and Tan, 2025) and the fictitious-play approach for discretized finite statistical games (Guggenberger and Huang, 2025) to discover minimax-regret decision rules in statistical decision problems that are more complex than the stylized normal model with partial identification analyzed in Theorem 1.
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Practical feasibility of these approaches in more difficult cases remains to be investigated.
This paper opens several questions for future research. The first is to combine Bayesian procedures with minimax regret through ambiguity-averse objectives that incorporate prior information while allowing uncertainty about its specification \citep[e.g.][]{banerjeeetal2020, gilboa2008probability, andrews2025certified}, here taking into account opportunity costs of future data collection.