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  4. A Unified Theory of Robust and Distributionally Robust Optimization via the Primal-Worst-Equals-Dual-Best Principle
 
research article

A Unified Theory of Robust and Distributionally Robust Optimization via the Primal-Worst-Equals-Dual-Best Principle

Zhen, Jianzhe  
•
Kuhn, Daniel  
•
Wiesemann, Wolfram
2023
Operations Research

Robust and distributionally robust optimization are modeling paradigms for decision-making under uncertainty where the uncertain parameters are only known to reside in an uncertainty set or are governed by any probability distribution from within an ambiguity set, respectively, and a decision is sought that minimizes a cost function under the most adverse outcome of the uncertainty. In this paper, we develop a rigorous and general theory of robust and distributionally robust nonlinear optimization using the language of convex analysis. Our framework is based on a generalized `primal-worst-equals-dual-best' principle that establishes strong duality between a semi-infinite primal worst and a non-convex dual best formulation, both of which admit finite convex reformulations. This principle offers an alternative formulation for robust optimization problems that may be computationally advantageous, and it obviates the need to mobilize the machinery of abstract semi-infinite duality theory to prove strong duality in distributionally robust optimization. We illustrate the modeling power of our approach through convex reformulations for distributionally robust optimization problems whose ambiguity sets are defined through general optimal transport distances, which generalize earlier results for Wasserstein ambiguity sets.

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Type
research article
DOI
10.1287/opre.2021.0268
ArXiv ID

2105.00760

Author(s)
Zhen, Jianzhe  
Kuhn, Daniel  
Wiesemann, Wolfram
Date Issued

2023

Published in
Operations Research
Subjects

(Distributionally) robust optimization

•

Convex analysis

•

Optimal transport

Note

Earlier versions of this paper had the title "Mathematical Foundations of Robust and Distributionally Robust Optimization"

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
RAO  
Available on Infoscience
May 4, 2021
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/177815
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