分布鲁棒二阶随机占优约束优化问题的稳定性

Stability of Distributionally Robust Second Order Stochastic Dominance Constrained Optimization Problem

为规避真实分布的不确定性导致的风险,提出分布鲁棒二阶随机占优约束优化问题,矩信息和Wasserstein球相结合构造分布集合,采用离散近似方法处理该问题,并在适当的假设条件下,讨论近似问题可行集、最优值和最优解集的收敛性。

In order to hedge the risks caused by the uncertainty of the true distribution,distributionally robust second order stochastic dominance constrained optimization problem was proposed,in which the ambiguity set was constructed based on the combination of moment information and Wasserstein ball.Then,the discrete approximation method was used to deal with the problem.Under appropriate assumptions,the convergence of the feasible set,the optimal value and the optimal solution set of the approximation problem was discussed.