distortion risk measure

Distributionally Robust Optimization under Distorted Expectations

  • Jun Cai
  • Jonathan Yu-Meng Li
  • Tiantian Mao
    • Categories Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming Tags , , ,

    Distributionally robust optimization (DRO) has arose as an important paradigm to address the issue of distributional ambiguity in decision optimization. In its standard form, DRO seeks an optimal solution against the worst-possible expected value evaluated based on a set of candidate distributions. In the case where a decision maker is not risk neutral, the most … Read more

    Quantitative Stability Analysis for Minimax Distributionally Robust RiskOptimization

  • Alois Pichler
  • Huifu Xu
    • Categories Convex and Nonsmooth Optimization, Stochastic Programming Tags , ,

    This paper considers distributionally robust formulations of a two stage stochastic programming problem with the objective of minimizing a distortion risk of the minimal cost incurred at the second stage. We carry out stability analysis by looking into variations of the ambiguity set under the Wasserstein metric, decision spaces at both stages and the support … Read more