Distributionally Robust Optimization with Moment Ambiguity Sets

DOI10.1007/S10915-022-02063-8MaRDI QIDQ6363495arXivFDO

Authors Jiawang Nie, Liu Yang, Suhan Zhong, Guangming Zhou

Publication date 23 March 2021

Published in arXiv

Full work available at URL https://doi.org/10.1007/S10915-022-02063-8

Mathematics Subject Classification ID

Robustness in mathematical programming (90C17) Semidefinite programming (90C22) Polynomial optimization (90C23)

arXiv classification

math.OC

Abstract: This paper studies distributionally robust optimization (DRO) when the ambiguity set is given by moments for the distributions. The objective and constraints are given by polynomials in decision variables. We reformulate the DRO with equivalent moment conic constraints. Under some general assumptions, we prove the DRO is equivalent to a linear optimization problem with moment and psd polynomial cones. A Moment-SOS relaxation method is proposed to solve it. Its asymptotic and finite convergence are shown under certain assumptions. Numerical examples are presented to show how to solve DRO problems.

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