Distributionally Robust Optimization with Decision Dependent Ambiguity Sets

Abstract: We study decision dependent distributionally robust optimization models, where the ambiguity sets of probability distributions can depend on the decision variables. These models arise in situations with endogenous uncertainty. The developed framework includes two-stage decision dependent distributionally robust stochastic programming as a special case. Decision dependent generalizations of five types of ambiguity sets are considered. These sets are based on bounds on moments, Wasserstein metric, $\phi$-divergence and Kolmogorov-Smirnov test. For the finite support case, we use linear, conic or Lagrangian duality to give reformulations of the models with a finite number of constraints. These reformulations allow solutions of such problems using global optimization techniques. Certain reformulations give rise to non-convex semi-infinite programs. Techniques from global optimization and semi-infinite programming can be used to solve these reformulations.