Distributionally robust optimization

Abstract

Distributionally robust optimization (DRO) studies decision problems under uncer tainty where the probability distribution governing the uncertain problem parameters is itself uncertain. A key component of any DRO model is its ambiguity set, that is, a family of probability distributions consistent with any available structural or statistical information. DRO seeks decisions that perform best under the worst dis tribution in the ambiguity set. This worst case criterion is supported by findings in psychology and neuroscience, which indicate that many decision-makers have a low tolerance for distributional ambiguity. DRO is rooted in statistics, operations re search and control theory, and recent research has uncovered its deep connections to regularization techniques and adversarial training in machine learning. This survey presents the key findings of the field in a unified and self-contained manner.