Fengming Lin, X. Fang, Zheming Gao
tlooto Summary
This paper starts with reviewing the modeling power and computational attractiveness of DRO approaches, induced by the ambiguity sets structure and tractable robust counterpart reformulations, and summarizes the efficient solution methods, out-of-sample performance guarantee, and convergence analysis.
Abstract
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 machine learning and operations research, and finally, we discuss the future research directions.
Citation format
LIN, Fengming; FANG, X.; GAO, Zheming. Distributionally robust optimization: A review on theory and applications. Numerical Algebra Control and Optimization, 2022.