Distributionally Robust Optimization with Polynomial Robust Constraints

Jiawang Nie; Suhan Zhong

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arXiv · 2308.15591

Distributionally Robust Optimization with Polynomial Robust Constraints

Jiawang Nie·Suhan Zhong

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Abstract

This paper studies distributionally robust optimization (DRO) with polynomial robust constraints. We give a Moment-SOS relaxation approach to solve the DRO. This reduces to solving linear conic optimization with semidefinite constraints. When the DRO problem is SOS-convex, we show that it is equivalent to the linear conic relaxation and it can be solved by the Moment-SOS algorithm. For nonconvex cases, we also give concrete conditions such that the DRO can be solved globally. Numerical experiments are given to show the efficiency of the method.

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BibTeX RIS

Jiawang Nie, Suhan Zhong. 2023-08-29. Distributionally Robust Optimization with Polynomial Robust Constraints. https://arxiv.org/abs/2308.15591

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