Computationally Efficient Approximations for Distributionally Robust Optimization Under Moment and Wasserstein Ambiguity

DOI10.1287/IJOC.2021.1123OpenAlexW4210665097WikidataQ114058188 ScholiaQ114058188MaRDI QIDQ5087739FDOQ5087739

Authors: Meysam Cheramin, Jianqiang Cheng, Ruiwei Jiang, Kai Pan 

Publication date: 1 July 2022

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2021.1123

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zbMATH Keywords

principal component analysisWasserstein distancesemidefinite programmingstochastic programmingdistributionally robust optimizationmoment information

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Asymptotic Statistics
• Semidefinite Programming
• Graph implementations for nonsmooth convex programs
• The Price of Robustness
• Ambiguous chance constrained problems and robust optimization
• On duality theory of conic linear problems.
• Distributionally robust stochastic knapsack problem
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• Lectures on Stochastic Programming
• Robust convex optimization
• Tractable robust expected utility and risk models for portfolio optimization
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Models for minimax stochastic linear optimization problems with risk aversion
• Likelihood robust optimization for data-driven problems
• Data-driven robust optimization
• New reformulations of distributionally robust shortest path problem
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Distributionally robust optimization with matrix moment constraints: Lagrange duality and cutting plane methods
• Distributionally robust optimization with principal component analysis
• Conic programming reformulations of two-stage distributionally robust linear programs over Wasserstein balls
• Robust empirical optimization is almost the same as mean-variance optimization
• Distributionally robust single machine scheduling with the total tardiness criterion
• Ambiguous risk constraints with moment and unimodality information
• Robust sample average approximation
• Solving 0-1 semidefinite programs for distributionally robust allocation of surgery blocks

Cited In (5)

• A study of distributionally robust mixed-integer programming with Wasserstein metric: on the value of incomplete data
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Wasserstein distributionally robust chance-constrained program with moment information
• Data-driven distributionally robust chance-constrained optimization with Wasserstein metric
• Bounds for Multistage Mixed-Integer Distributionally Robust Optimization

Uses Software

• CVX

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