论文标题
两阶段分布在1-wasserstein球上的稳健圆锥线性编程
Two-Stage Distributionally Robust Conic Linear Programming over 1-Wasserstein Balls
论文作者
论文摘要
本文研究了在1型瓦斯汀球的约束不确定性下，研究了两阶段的分布稳健的圆锥线性编程。我们为最坏情况的期望问题列出了最佳条件，该条件表征了其内部最大化问题的最坏情况不确定参数。这种情况提供了替代证明，反例和以前作品的扩展。此外，该条件突出了特定距离度量的潜在优势在样本外性能中，这在对设施位置问题的数值研究中说明了需求不确定性。在不太严格的假设下，提出了一种基于切削平面的算法和各种算法增强功能。
This paper studies two-stage distributionally robust conic linear programming under constraint uncertainty over type-1 Wasserstein balls. We present optimality conditions for the dual of the worst-case expectation problem, which characterizes worst-case uncertain parameters for its inner maximization problem. This condition offers an alternative proof, a counter-example, and an extension to previous works. Additionally, the condition highlights the potential advantage of a specific distance metric for out-of-sample performance, as exemplified in a numerical study on a facility location problem with demand uncertainty. A cutting-plane-based algorithm and a variety of algorithmic enhancements are proposed with a finite convergence proof under less stringent assumptions.
