Distributionally Favorable Optimization (DFO) is an important framework for decision-making under uncertainty, with applications across fields such as reinforcement learning, online learning, robust statistics, chance-constrained programming, and two-stage stochastic optimization without relatively complete recourse. In contrast to the traditional Distributionally Robust Optimization (DRO) paradigm, DFO presents a unique challenge-- the application of the inner infimum operator often fails to retain the convexity. In light of this challenge, we study the tractability and complexity of DFO. We establish sufficient and necessary conditions for determining when DFO problems are tractable or intractable. Despite the typical nonconvex nature of DFO problems, our findings show that they are mixed-integer convex programming representable (MICP-R), thereby enabling solutions via standard optimization solvers. Finally, we numerically validate the efficacy of our MICP-R formulations.
Citation
Jiang, N., Xie, W. (2024) On Tractability, Complexity, and Mixed-Integer Convex Programming Representability of Distributionally Favorable Optimization. Available at Optimization Online.