AI RESEARCH
Adaptive Conditional Forest Sampling for Spectral Risk Optimisation under Decision-Dependent Uncertainty
arXiv CS.LG
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ArXi:2603.12507v1 Announce Type: new Minimising a spectral risk objective, defined as a convex 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.