Jin Zhang

Primal-Dual Hybrid Gradient Method for Distributionally Robust Optimization Problems

  • Yongchao Liu
  • Xiao-Ming Yuan
  • Shangzhi Zeng
  • Jin Zhang
    • Categories Robust Optimization Tags , , , ,

    We focus on the discretization approach to distributionally robust optimization (DRO) problems and propose a numerical scheme originated from the primal-dual hybrid gradient (PDHG) method that recently has been well studied in convex optimization area. Specifically, we consider the cases where the ambiguity set of the discretized DRO model is defined through the moment condition … Read more

    Distributionally Robust Reward-risk Ratio Programming with Wasserstein Metric

  • Yongchao Liu
  • Xinmin Yang
  • Jin Zhang
  • Yong Zhao
    • Categories Robust Optimization, Stochastic Programming Tags , ,

    Reward-risk ratio (RR) is a very important stock market definition. In recent years, people extend RR model as distributionally robust reward-risk ratio (DRR) to capture the situation that the investor does not have complete information on the distribution of the underlying uncertainty. In this paper, we study the DRR model where the ambiguity on the … Read more