Establishes equivalence conditions between nested and joint risk assessments in contextual optimization, shows policy independence from contextual risk measure under conditions, and proves SAA consistency in RKHS.
Optimization of convex risk functions.Math- ematics of operations research, 31(3):433–452
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Risk-averse Decision Making with Contextual Information: Model, Sample Average Approximation, and Kernelization
Establishes equivalence conditions between nested and joint risk assessments in contextual optimization, shows policy independence from contextual risk measure under conditions, and proves SAA consistency in RKHS.