Distributionally Robust Optimization over Incomparable Spaces

Abstract

Distributionally robust optimization (DRO) provides a principled framework for making decisions under uncertainty when the underlying distribution may be incorrectly specified. A widely used approach builds on ideas from optimal transport (OT) as a means of measuring differences between distributions. However, this depends on these distributions residing in the same space. In certain settings, the reference data distribution we have and the space on which we make our decision may be different, which renders classical OT techniques impossible. In this paper, we provide a new DRO formulation in which ambiguity sets are defined through the Gromov-Wasserstein distance, which is an extension of OT to pairs of distributions residing in incomparable spaces. We show that several seemingly unrelated optimization formulations, including conditional value-at-risk minimization, group distributionally robust optimization, robust graph $k$-median, and $k$-median with outliers, can be recovered as special cases of our formulation. We describe the computational aspects of solving the proposed formulation based on the doubly-nonnegative relaxation. Last, we illustrate the framework through experiments on clustering over incomparable spaces and stochastic graph $k$-median.