Adaptive Conditional Forest Sampling for Spectral Risk Optimisation
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Adaptive Conditional Forest Sampling for Spectral Risk Optimisation under Decision-Dependent Uncertainty
arXiv:2603.12507v2 Announce Type: replace Abstract: Minimising a spectral risk objective, defined as a weighted combination of expected cost and Conditional Value-at-Risk (CVaR), is challenging when the uncertainty distribution is decision-dependent, making both surrogate modelling and simulation-based ranking sensitive to tail estimation error. We propose Adaptive Conditional Forest Sampling (ACFS), a four-phase simulation-optimisation framework that integrates Generalised Random Forests...