Ambiguity Updating Robust Architecture: Towards Time Consistency in Multi-period DRO
Multi-period distributionally robust optimization (DRO) is in general not time consistent. For a given multi-period DRO problem with generalized moments ambiguity, we propose an Ambiguity Updating Robust Architecture (AURA) that constructs the ambiguity set of all conditional distributions-to-go, given the realized uncertainty. We prove that AURA is time consistent, but is more conservative than the … Read more