English

Distributionally Robust Optimization with Moment Ambiguity Sets

Optimization and Control 2022-12-02 v2

Abstract

This paper studies distributionally robust optimization (DRO) when the ambiguity set is given by moments for the distributions. The objective and constraints are given by polynomials in decision variables. We reformulate the DRO with equivalent moment conic constraints. Under some general assumptions, we prove the DRO is equivalent to a linear optimization problem with moment and psd polynomial cones. A Moment-SOS relaxation method is proposed to solve it. Its asymptotic and finite convergence are shown under certain assumptions. Numerical examples are presented to show how to solve DRO problems.

Keywords

Cite

@article{arxiv.2103.12315,
  title  = {Distributionally Robust Optimization with Moment Ambiguity Sets},
  author = {Jiawang Nie and Liu Yang and Suhan Zhong and Guangming Zhou},
  journal= {arXiv preprint arXiv:2103.12315},
  year   = {2022}
}

Comments

26 pages

R2 v1 2026-06-24T00:27:29.509Z