A survey of contextual optimization methods for decision-making under uncertainty

Utsav Sadana, Abhilash Reddy Chenreddy, Erick Delage, Alexandre Forel, Emma Frejinger, Thibaut Vidal

Abstract: Highlights•Survey of contextual optimization problems where past values of covariates and uncertain parameters are available.•Identifies three data-driven frameworks for learning policies that map covariates to action.•Elaborate discussion on active and future research directions.