Data-Driven-Optimization

A repository holding implementations of methods from data-driven-optimization used in data science and operations research including sample average approximations, bandit problems, robust optimization, stochastic optimization and reinforcement learning.

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Data-Driven-Optimization

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Name		Name	Last commit message	Last commit date
DLA Project		DLA Project
Expectation maximization algorithm (closed-form).ipynb		Expectation maximization algorithm (closed-form).ipynb
Finite horizon Bernoulli bandit problems.ipynb		Finite horizon Bernoulli bandit problems.ipynb
Finite horizon Beta-Bernoulli bandit problems.ipynb		Finite horizon Beta-Bernoulli bandit problems.ipynb
K-means clustering.ipynb		K-means clustering.ipynb
Kiefer-Wolfowitz algorithm.ipynb		Kiefer-Wolfowitz algorithm.ipynb
LICENSE		LICENSE
MRP for single-dimensional news vendor problem.ipynb		MRP for single-dimensional news vendor problem.ipynb
NSGS-procedure.ipynb		NSGS-procedure.ipynb
PCA from scratch.ipynb		PCA from scratch.ipynb
Perceptron algorithm for data set separation.ipynb		Perceptron algorithm for data set separation.ipynb
README.md		README.md
Reinforcement Learning - Monte Carlo Policy Evaluation for MDP with first visit policy.ipynb		Reinforcement Learning - Monte Carlo Policy Evaluation for MDP with first visit policy.ipynb
Reinforcement Learning - Q-Learning.ipynb		Reinforcement Learning - Q-Learning.ipynb
Ridge regression and LASSO regression for multivariate regression problem.ipynb		Ridge regression and LASSO regression for multivariate regression problem.ipynb
Rinotts ranking and selection procedure.ipynb		Rinotts ranking and selection procedure.ipynb
SAA for stochastic knapsack problem.ipynb		SAA for stochastic knapsack problem.ipynb
SOCP for robust optimization with ellipsoidal uncertainty.ipynb		SOCP for robust optimization with ellipsoidal uncertainty.ipynb
Stochastic gradient ascent for logistic regression.ipynb		Stochastic gradient ascent for logistic regression.ipynb
Support Vector Machine from scratch.ipynb		Support Vector Machine from scratch.ipynb
Varaiya Walrand Buyukkoc recursive algorithm for two arm bandit problem.ipynb		Varaiya Walrand Buyukkoc recursive algorithm for two arm bandit problem.ipynb

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