moment conditions – Optimization Online

Decomposition Methods for Solving Two-Stage Distributionally Robust Optimization Problems

Published: 2018/12/08, Updated: 2018/12/11

Robust Optimization, Stochastic Programming decomposition, discrete approximation, distributionally robust optimization, kantorovich ball, moment conditions, parallel computing

Decomposition methods have been well studied for solving two-stage and multi-stage stochastic programming problems, see [29, 32, 33]. In this paper, we propose an algorithmic framework based on the fundamental ideas of the methods for solving two-stage minimax distributionally robust optimization (DRO) problems where the underlying random variables take a finite number of distinct values. … Read more

Primal-Dual Hybrid Gradient Method for Distributionally Robust Optimization Problems

Published: 2017/10/02

Robust Optimization discretization method, distributionally robust optimization, moment conditions, primal-dual hybrid gradient algorithms, wasserstein distance

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