Distributionally Robust Optimization: A review on theory and applications

Fengming Lin, Xiaolei Fang, Zheming Gao
2022 Numerical Algebra, Control and Optimization  
<p style='text-indent:20px;'>In this paper, we survey the primary research on the theory and applications of distributionally robust optimization (DRO). We start with reviewing the modeling power and computational attractiveness of DRO approaches, induced by the ambiguity sets structure and tractable robust counterpart reformulations. Next, we summarize the efficient solution methods, out-of-sample performance guarantee, and convergence analysis. Then, we illustrate some applications of DRO in
more » ... achine learning and operations research, and finally, we discuss the future research directions.</p>
doi:10.3934/naco.2021057 fatcat:cluvjzkrhfbc7o2446fhjrmbji