Repository logo

Infoscience

  • English
  • French
Log In
Logo EPFL, École polytechnique fédérale de Lausanne

Infoscience

  • English
  • French
Log In
  1. Home
  2. Academic and Research Output
  3. Journal articles
  4. Unifying Distributionally Robust Optimization via Optimal Transport Theory
 
research article

Unifying Distributionally Robust Optimization via Optimal Transport Theory

Blanchet, Jose
•
Kuhn, Daniel  
•
Li, Jiajin
Show more

In recent years, two prominent paradigms have shaped distributionally robust optimization (DRO), modeling distributional ambiguity through ϕ-divergences and Wasserstein distances, respectively. While the former focuses on ambiguity in likelihood ratios, the latter emphasizes ambiguity in outcomes and uses a transportation cost function to capture geometric structure in the outcome space. This paper proposes a unified framework that bridges these approaches by leveraging optimal transport (OT) with conditional moment constraints. Our formulation enables adversarial distributions to jointly perturb likelihood ratios and outcomes, yielding a generalized OT coupling between the nominal and perturbed distributions. We further establish key duality results and develop tractable reformulations that highlight the practical power of our unified approach.

  • Details
  • Metrics
Type
research article
ArXiv ID

arXiv:2308.05414

Author(s)
Blanchet, Jose
Kuhn, Daniel  

EPFL

Li, Jiajin
Taskesen, Bahar  
Date Issued

2025-12-22

Subjects

Distributionally robust optimization

•

Optimal transport

URL

View in ArXiv

https://doi.org/10.48550/arXiv.2308.05414
Editorial or Peer reviewed

NON-REVIEWED

Written at

EPFL

EPFL units
RAO  
Available on Infoscience
December 23, 2025
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/257256
Logo EPFL, École polytechnique fédérale de Lausanne
  • Contact
  • infoscience@epfl.ch

  • Follow us on Facebook
  • Follow us on Instagram
  • Follow us on LinkedIn
  • Follow us on X
  • Follow us on Youtube
AccessibilityLegal noticePrivacy policyCookie settingsEnd User AgreementGet helpFeedback

Infoscience is a service managed and provided by the Library and IT Services of EPFL. © EPFL, tous droits réservés