2025
Decision Making under the Exponential Family: Distributionally Robust Optimisation with Bayesian Ambiguity Sets
ICML 2025spotlight
Decision making under uncertainty is challenging as the data-generating process (DGP) is often unknown. Bayesian inference proceeds by estimating the DGP through posterior beliefs on the model’s parameters. However, minimising the expected risk under these beliefs can lead to suboptimal decisions du…