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