data contamination – Optimization Online

Utility Preference Robust Optimization with Moment-Type Information Structure

Published: 2021/01/27

Robust Optimization data contamination, decision dependent ambiguity set, error bound, non-concave utility functions, piecewise linear approximation, unbounded utility function

Utility preference robust optimization (PRO) models are recently proposed to deal with decision making problems where the decision maker’s true utility function is unknown and the optimal decision is based on the worst case utility function from an ambiguity set of utility functions. In this paper, we consider the case where the ambiguity set is … Read more