Recently here at Win Vector LLC we have been delivering good client outcomes using the Stan MCMC sampler. It has allowed us to infer deep business factors, instead of being limited surface KPIs (key performance indicators). Modeling uncertainty requires stronger optimizers to solve our problems, but it leads to better anti-fragile business solutions.
A fun part of this is it really improves how visible uncertainty is. Let’s show this in a quick simplified example.
Click through for an explanation of classic optimization versus a more sophisticated approach that deals with uncertainty early and factors that into the optimization problem.