Risk-sensitive constraints in contextual optimization

Develop contextual-optimization methods that place uncertainty in the constraint and impose a risk-sensitive criterion on the constraint tail, rather than restricting uncertainty to an objective evaluated under risk neutrality.

Background

The paper contrasts its formulation with contextual-optimization literature organized around uncertain objectives under risk neutrality. Its setting instead places uncertainty in a resource constraint and controls the upper tail of cumulative cost. The authors report that both this placement of uncertainty and the use of a risk-averse constraint criterion are directions identified as open in the cited survey.