Globalized distributionally robust optimization based on samples
From MaRDI portal
Publication:6203548
DOI10.1007/S10898-023-01332-6arXiv2205.02994OpenAlexW4387402187MaRDI QIDQ6203548FDOQ6203548
Publication date: 5 April 2024
Published in: Journal of Global Optimization (Search for Journal in Brave)
Abstract: It is known that the set of perturbed data is key in robust optimization (RO) modelling. Distributionally robust optimization (DRO) is a methodology used for optimization problems affected by random parameters with uncertain probability distribution. In terms of the information of the perturbed data, it is essential to estimate an appropriate support set of the probability distribution in formulating DRO models. In this paper, we introduce two globalized distributionally robust optimization (GDRO) models which choose a core set based on data and a sample space containing the core set to balance the degree of robustness and conservatism at the same time. The degree of conservatism can be controlled by the expected distance of random parameters from the core set. Under some assumptions, we further reformulate several GDRO models into tractable semi-definite programs. In addition, numerical experiments are provided showing the relationship between the optimal objective values of the GDRO models and the size of the sample space and the core set.
Full work available at URL: https://arxiv.org/abs/2205.02994
Cites Work
- The Predictive Sample Reuse Method with Applications
- Title not available (Why is that?)
- The Price of Robustness
- Distributionally robust joint chance constraints with second-order moment information
- Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
- Distributionally Robust Optimization and Its Tractable Approximations
- Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
- Data-driven chance constrained stochastic program
- PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
- Distributionally robust multi-item newsvendor problems with multimodal demand distributions
- Portfolio Optimization Under a Minimax Rule
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Conditional value-at-risk in portfolio optimization: coherent but fragile
- 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
- Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems
- Distributionally robust optimization with polynomial densities: theory, models and algorithms
- A distributionally robust perspective on uncertainty quantification and chance constrained programming
- A note on distributionally robust optimization under moment uncertainty
- Globalized Robust Optimization for Nonlinear Uncertain Inequalities
- Portfolio selection under model uncertainty: a penalized moment-based optimization approach
- On the Probability That All Eigenvalues of Gaussian, Wishart, and Double Wishart Random Matrices Lie Within an Interval
- On distributionally robust chance constrained programs with Wasserstein distance
- Globalized Distributionally Robust Counterpart
This page was built for publication: Globalized distributionally robust optimization based on samples
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6203548)
