Distributionally Robust Optimization

Abstract

This chapter presents a class of distributionally robust optimization problems in which a decision-maker has to choose an action in an uncertain environment. The decision-maker has a continuous action space and aims to learn her optimal strategy. The true distribution of the uncertainty is unknown to the decision-maker. This chapter provides alternative ways to select a distribution based on empirical observations of the decision-maker. This leads to a distributionally robust optimization problem. Simple algorithms, whose dynamics are inspired from the gradient flows, are proposed to find local optima. The method is extended to a class of optimization problems with orthogonal constraints and coupled constraints over the simplex set and polytopes. The designed dynamics do not use the projection operator and are able to satisfy both upper- and lower-bound constraints. The convergence rate of the algorithm to generalized evolutionarily stable strategy is derived using a mean regret estimate. Illustrative examples are provided.

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