Quantitative stability analysis for minimax distributionally robust risk optimization

• 成果类型: Article
• 署名作者: Pichler, Alois; Xu, Huifu
• 署名单位: Technische Universitat Chemnitz; University of Southampton
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-018-1347-4
• 发表日期: 2022
• 页码: 47-77
• 关键词: scenario reduction; K-adaptability; CONVERGENCE; REPRESENTATION; PROGRAMS; distance; SPACE

摘要

This paper considers distributionally robust formulations of a two stage stochastic programming problem with the objective of minimizing a distortion risk of the minimal cost incurred at the second stage. We carry out a stability analysis by looking into variations of the ambiguity set under the Wasserstein metric, decision spaces at both stages and the support set of the random variables. In the case when the risk measure is risk neutral, the stability result is presented with the variation of the ambiguity set being measured by generic metrics of zeta-structure, which provides a unified framework for quantitative stability analysis under various metrics including total variation metric and Kantorovich metric. When the ambiguity set is structured by a zeta-ball, we find that the Hausdorff distance between two zeta-balls is bounded by the distance of their centers and difference of their radii. The findings allow us to strengthen some recent convergence results on distributionally robust optimization where the center of the Wasserstein ball is constructed by the empirical probability distribution.