quantitative statistical robustness

Quantitative Statistical Robustness in Distributionally Robust Optimization Models

  • Huifu Xu
  • Sainan Zhang
    • Categories Robust Optimization Tags , , ,

    In distributionally robust optimization (DRO) models, sample data of the underlying exogenous uncertainty parameters are often used to construct an ambiguity set of plausible probability distributions. It is common to assume that the sample data do not contain noise. This assumption may not be fulfilled in some data-driven problems where the perceived data are potentially … Read more

    Statistical Robustness in Utility Preference Robust Optimization Models

  • Shaoyan Guo
  • Huifu Xu
    • Categories Robust Optimization Tags , , ,

    Utility preference robust optimization (PRO) concerns decision making problems where information on decision maker’s utility preference is incomplete and has to be elicited through partial information and the optimal decision is based on the worst case utility function elicited. A key assumption in the PRO models is that the true probability distribution is either known … Read more