A Positive Semidefinite Safe Approximation of Multivariate Distributionally Robust Constraints Determined by Simple Functions

Single-level reformulations of (nonconvex) distributionally robust optimization (DRO) problems are often intractable, as they contain semi-infinite dual constraints. Based on such a semi-infinite reformulation, we present a safe approximation that allows for the computation of feasible solutions for DROs that depend on nonconvex multivariate simple functions. Moreover, the approximation allows to address ambiguity sets that can incorporate information on moments as well as confidence sets. The typical strong assumptions on the structure of the underlying constraints, such as convexity in the decisions or concavity in the uncertainty found in the literature were, at least in part, recently overcome in [16]. We start from the duality-based reformulation approach in [16] that can be applied for DRO constraints based on simple functions that are univariate in the uncertainty parameters. We significantly extend their approach to multivariate simple functions, which leads to a considerably wider applicability of the proposed reformulation approach. In order to achieve algorithmic tractability, the presented safe approximation is then realized by a discretized counterpart for the semi-infinite dual constraints. The approximation leads to a computationally tractable mixed-integer positive semidefinite problem for which state-of-the-art software implementations are readily available. The tractable safe approximation provides sufficient conditions for distributional robustness of the original problem, i.e., obtained solutions are provably robust.

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Publication Details

Journal
Journal of Optimization Theory and Applications
Published
2025-09-02
DOI
https://doi.org/10.1007/s10957-025-02791-5
Primary Topic
Risk and Portfolio Optimization
Type
article
Field-Weighted Citation Impact
0.00

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article

A Positive Semidefinite Safe Approximation of Multivariate Distributionally Robust Constraints Determined by Simple Functions

Jan Rolfes, Frauke Liers, Jana Dienstbier
Journal of Optimization Theory and Applications
Risk and Portfolio Optimization
article

A Positive Semidefinite Safe Approximation of Multivariate Distributionally Robust Constraints Determined by Simple Functions

Jan Rolfes, Frauke Liers, Jana Dienstbier
article en

Abstract

Single-level reformulations of (nonconvex) distributionally robust optimization (DRO) problems are often intractable, as they contain semi-infinite dual constraints. Based on such a semi-infinite reformulation, we present a safe approximation that allows for the computation of feasible solutions for DROs that depend on nonconvex multivariate simple functions. Moreover, the approximation allows to address ambiguity sets that can incorporate information on moments as well as confidence sets. The typical strong assumptions on the structure of the underlying constraints, such as convexity in the decisions or concavity in the uncertainty found in the literature were, at least in part, recently overcome in [16]. We start from the duality-based reformulation approach in [16] that can be applied for DRO constraints based on simple functions that are univariate in the uncertainty parameters. We significantly extend their approach to multivariate simple functions, which leads to a considerably wider applicability of the proposed reformulation approach. In order to achieve algorithmic tractability, the presented safe approximation is then realized by a discretized counterpart for the semi-infinite dual constraints. The approximation leads to a computationally tractable mixed-integer positive semidefinite problem for which state-of-the-art software implementations are readily available. The tractable safe approximation provides sufficient conditions for distributional robustness of the original problem, i.e., obtained solutions are provably robust.

Journal of Optimization Theory and ApplicationsVol. 208(1)
Linköping University (SE), Friedrich-Alexander-Universität Erlangen-Nürnberg (DE)
Deutsche Forschungsgemeinschaft, Linköpings Universitet, Engineering and Physical Sciences Research Council
Openalex Percentile: Top 73%
Risk and Portfolio Optimization
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