Globalized Distributionally Robust Counterpart: Model, Reformulation, and Applications

We extend the notion of globalized robustness to consider distributional information beyond the support of the ambiguous probability distribution. We propose the globalized distributionally robust counterpart that disallows any (resp., allows limited) constraint violation for distributions residing (resp., not residing) in the ambiguity set. By varying its inputs, our proposal recovers several existing perceptions of … Read more