Risk-Adaptive Approaches to Learning and Decision Making: A Survey

Uncertainty is prevalent in engineering design, statistical learning, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative optimization models expressed using measure of risk and related concepts. We survey the rapid development of risk measures over the last quarter century. From its beginning in financial engineering, we recount their spread to nearly all areas of engineering and applied mathematics. Solidly rooted in convex analysis, risk measures furnish a general framework for handling uncertainty with significant computational and theoretical advantages. We describe the key facts, list several concrete algorithms, and provide an extensive list of references for further reading. The survey recalls connections with utility theory and distributionally robust optimization, points to emerging applications areas such as fair machine learning, and defines measures of reliability.