Mathematical foundations of distributionally robust multistage optimization

DOI10.1137/21M1390517zbMATH Open1481.90242arXiv2101.02498OpenAlexW3216079433MaRDI QIDQ5013589FDOQ5013589

Authors: Alois Pichler, Alexander Shapiro 

Publication date: 1 December 2021

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Abstract: Distributionally robust optimization involves various probability measures in its problem formulation. They can be bundled to constitute a risk functional. For this equivalence, risk functionals constitute a fundamental building block in distributionally robust stochastic programming. Multistage programming requires conditional versions of risk functionals to re-assess future risk after partial realizations and after preceding decisions. This paper discusses a construction of the conditional counterpart of a risk functional by passing its genuine characteristics to its conditional counterparts. The conditional risk functionals turn out to be different from the nested analogues of the original (law invariant) risk measure. It is demonstrated that the initial measure and its nested decomposition can be used in a distributionally robust multistage setting.

Full work available at URL: https://arxiv.org/abs/2101.02498

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zbMATH Keywords

stochastic gamesdynamic equationsdistributional robustnessmultistage stochastic programmingrectangularityconditional risk measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Probability measures on topological spaces (60B05) Sensitivity, stability, parametric optimization (90C31) Special problems of linear programming (transportation, multi-index, data envelopment analysis, etc.) (90C08) Robustness in mathematical programming (90C17)

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Cited In (13)

• A multistage distributionally robust optimization approach to water allocation under climate uncertainty
• Effective scenarios in multistage distributionally robust optimization with a focus on total variation distance
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• Robust stochastic maximum principle for multi-model worst case optimization
• Distributionally robust modeling of optimal control
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• Bounds for Multistage Mixed-Integer Distributionally Robust Optimization
• Distributionally robust stochastic programming
• Distributionally robust optimal control and MDP modeling
• Bayesian Distributionally Robust Optimization
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• Frameworks and results in distributionally robust optimization

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