Distributionally robust chance-constrained standard quadratic optimization with Wasserstein ambiguity

The standard quadratic optimization problem consists of minimizing a quadratic form over the standard simplex. It has highly relevant applications ranging from portfolio optimization to machine learning. However, if the quadratic form is neither convex nor concave, this problem is NP-hard. We study a distributionally robust chance-constrained variant whose ambiguity set is a Wasserstein ball around the sampled distribution and make four contributions. First, although the problem is nonconvex in the decision variable, we exploit its linear dependence on the uncertain matrix to reduce the problem to a mixed-integer quadratic optimization problem. Second, we show that a judicious choice of matrix norm---the entrywise maximum norm---makes this reformulation both exact and tractable, and we describe the induced worst-case distribution. Third, our formulation is, by construction, the minimization of the worst-case Value-at-Risk of the random quadratic form; this unifies it with existing frameworks for uncertain standard quadratic optimization problems, in particular under chance constraints, and we identify natural settings in which it collapses to a single deterministic instance. Finally, we report numerical experiments on positive-definite and indefinite instances which quantify how the model parameters drive the optimal value and solution time, and expose the computational cost of indefiniteness.

Authors

Publication Details

Journal
arXiv (Cornell University)
Published
2026-10-29
DOI
https://doi.org/10.48550/arxiv.2610.39823
Primary Topic
Risk and Portfolio Optimization
Type
preprint
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preprint

Distributionally robust chance-constrained standard quadratic optimization with Wasserstein ambiguity

Immanuel M. Bomze, Si̇mge Küçükyavuz, Daniel de Vicente
arXiv (Cornell University)
Risk and Portfolio Optimization
preprint

Distributionally robust chance-constrained standard quadratic optimization with Wasserstein ambiguity

Immanuel M. Bomze, Si̇mge Küçükyavuz, Daniel de Vicente
preprint en

Abstract

The standard quadratic optimization problem consists of minimizing a quadratic form over the standard simplex. It has highly relevant applications ranging from portfolio optimization to machine learning. However, if the quadratic form is neither convex nor concave, this problem is NP-hard. We study a distributionally robust chance-constrained variant whose ambiguity set is a Wasserstein ball around the sampled distribution and make four contributions. First, although the problem is nonconvex in the decision variable, we exploit its linear dependence on the uncertain matrix to reduce the problem to a mixed-integer quadratic optimization problem. Second, we show that a judicious choice of matrix norm---the entrywise maximum norm---makes this reformulation both exact and tractable, and we describe the induced worst-case distribution. Third, our formulation is, by construction, the minimization of the worst-case Value-at-Risk of the random quadratic form; this unifies it with existing frameworks for uncertain standard quadratic optimization problems, in particular under chance constraints, and we identify natural settings in which it collapses to a single deterministic instance. Finally, we report numerical experiments on positive-definite and indefinite instances which quantify how the model parameters drive the optimal value and solution time, and expose the computational cost of indefiniteness.

arXiv (Cornell University)
Risk and Portfolio Optimization
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Distributionally robust chance-constrained standard quadratic optimization with Wasserstein ambiguity — Immanuel M. Bomze, Si̇mge Küçükyavuz, et al. · arXiv (Cornell University) (2026) | TGRS Research Map | TGRS