Jianqiang Cheng – Optimization Online

Distributionally Robust Optimization via Targeted Integral Probability Metrics for General Data Processes

Published: 2026/05/28

Optimization in Data Science, Robust Optimization, Stochastic Programming Contextual optimization, corrupted and missing data, curse of dimensionality, distributionally robust optimization, heavy-tailed distributions, integral probability metrics, markovian data

Distributionally robust optimization (DRO) has been successful in addressing decision-making problems under uncertainty when the underlying distribution is unknown. Existing data-driven DRO frameworks, however, often impose restrictive assumptions on the data-generating process. We propose a new DRO framework based on targeted integral probability metrics. The ambiguity set is defined directly through the loss functions induced … Read more

Distributionally Robust Optimization with Principal Component Analysis

Published: 2016/05/18, Updated: 2018/04/27

Robust Optimization, Stochastic Programming distributionally robust optimization, principal component analysis, semidefinite programming, stochastic programming

Distributionally robust optimization (DRO) is widely used, because it offers a way to overcome the conservativeness of robust optimization without requiring the specificity of stochastic optimization. On the computational side, many practical DRO instances can be equivalently (or approximately) formulated as semidefinite programming (SDP) problems via conic duality of the moment problem. However, despite being … Read more