PR01-Distributionally Robust Optimization Under Moment Uncertainty
This week, I read the paper Delage et al. (2010). The following are the reading notes. 1 Background $$ \mathop{\text{minimize}}\limits_{\pmb{x} \in \mathscr{X}} \ h(\pmb{x}, \pmb{\xi}) \tag{1} $$ in which, $\mathscr{X}$ is a convex set of feasible solutions and $h(\pmb{x}, \pmb{\xi})$ is a convex cost function in $\pmb{x}$ that depends on some vector of parameters $\pmb{\xi}$. In practice, it is often the case that at the time of optimization, the parameters have not yet been fully resolved....