moment ambiguity set

Distributionally Robust Optimization with General Uncertainty Structure

  • Judith Brugman
  • Dimitris Bertsimas
  • Johan Van Leeuwaarden
  • Dick den Hertog
    • Categories Nonlinear Optimization, Robust Optimization, Stochastic Programming Tags , , , , , ,

    We develop an exact solution framework for a broad class of Distributionally Robust Optimization (DRO) problems with general uncertainty structure. Within the class of moment- and confidence-set-based ambiguity sets, existing exact methods are largely limited to max-of-affine functions under ambiguity sets with strictly nested confidence sets. To enlarge this scope while preserving tractability, we introduce … Read more

    Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation

  • Daniel Kuhn
  • Viet Anh Nguyen
  • Soroosh Shafieezadeh-Abadeh
  • Wolfram Wiesemann
  • Man-Chung Yue
    • Categories Stochastic Programming Tags , , , ,

    The likelihood function is a fundamental component in Bayesian statistics. However, evaluating the likelihood of an observation is computationally intractable in many applications. In this paper, we propose a non-parametric approximation of the likelihood that identifies a probability measure which lies in the neighborhood of the nominal measure and that maximizes the probability of observing … Read more