Decision-dependent Distributionally Robust Optimization

arXiv2303.03971MaRDI QIDQ6428697FDOQ6428697

Authors: Diego Fonseca, Mauricio Junca 

Publication date: 7 March 2023

Abstract: This work presents a new Distributionally Robust Optimization approach, using $p$-Wasserstein metrics, to analyze a stochastic program in a general context. The ambiguity set in this approach depends on the decision variable and is represented as a ball where both the center and the radius depend on the decision variable. We show that, under Lipschitz's assumptions for the objective function, our approach can be reformulated as a finite-dimensional optimization problem, which is sometimes convex. In addition, we numerically compare our proposed approach with the standard formulation of distributionally robust optimization, which typically does not use ambiguity sets dependent on the decision variable, in the context of portfolio optimization.

This page was built for publication: Decision-dependent Distributionally Robust Optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6428697)