Risk-Adaptive Local Decision Rules
Johannes O. Royset, Miguel A. Lejeune
Operations Research · 2025 · Volume 73 · Issue 4
Abstract
For parameterized mixed-binary optimization problems, we construct local decision rules that prescribe near-optimal courses of action across a set of parameter values. The decision rules stem from solving risk-adaptive training problems over classes of continuous, possibly nonlinear mappings. In asymptotic and nonasymptotic analysis, we establish that the decision rules prescribe near-optimal decisions locally for the actual problems without relying on linearity, convexity, or smoothness. The development also accounts for practically important aspects such as inexact function evaluations, solution tolerances in training problems, regularization, and reformulations to solver-friendly models. The decision rules also furnish a means to carry out sensitivity and stability analysis for broad classes of parameterized optimization problems. We develop a decomposition algorithm for solving the resulting training problems and demonstrate its ability to generate quality decision rules on a nonlinear binary optimization model from search theory. Funding: J. O. Royset is supported in part by the Office of Naval Research (ONR) [Grant N000142412277]. M. A. Lejeune was supported by the National Science Foundation [Grants DMS-2318519 and ECCS-2114100], and the Office of Naval Research [Grant N00014-22-1-2649]. Supplemental Material: The computer code and data that support the findings of this study and the online appendix are available within this article’s supplemental material at https://doi.org/10.1287/opre.2023.0564 .
Keywords
Optimization, decision rules, risk measures, robust optimization, sensitivity analysis, search theory
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