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Globalized Distributionally Robust Counterpart: Model, Reformulation, and Applications

Feng Liu (liufeng21***at***mails.ucas.ac.cn)
Zhi Chen (zhi.chen***at***cityu.edu.hk)
Shuming Wang (wangshuming***at***ucas.edu.cn)

Abstract: We extend the notion of globalized robustness to consider distributional information beyond the support of the ambiguous probability distribution. We propose the globalized distributionally robust counterpart that disallows any (resp., allows limited) constraint violation for distributions residing (resp., not residing) in the ambiguity set. By varying its inputs, our proposal recovers several existing perceptions of parameter uncertainty. Focusing on the type-1 Wasserstein distance, we show that the globalized distributionally robust counterpart can be seamlessly integrated with many popular optimization models under uncertainty without incurring any extra computational cost. Such computational attractiveness also holds for other ambiguity sets, including the ones based on optimal transport, phi-divergences, or moment conditions. Numerical studies on an adaptive network lot-sizing problem demonstrate the modeling flexibility of our proposal and its emphases on globalized robustness to constraint violation.

Keywords: Robust and distributionally robust optimization; robust satisficing; globalized robustness; Wasserstein distance.

Category 1: Robust Optimization

Citation: University of Chinese Academy of Sciences, working paper.

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Entry Submitted: 11/01/2021
Entry Accepted: 11/01/2021
Entry Last Modified: 11/17/2021

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