Globalized distributionally robust optimization with multi core sets

Abstract: It is essential to capture the true probability distribution of uncertain data in the distributionally robust optimization (DRO). The uncertain data presents multimodality in numerous application scenarios, in the sense that the probability density function of the uncertain data has two or more modes (local maximums). In this paper, we propose a globalized distributionally robust optimization framework with multiple core sets (MGDRO) to handle the multimodal data. This framework captures the multimodal structure via a penalty function composed of the minimum distances from the random vector to all core sets. Under some assumptions, the MGDRO model can be reformulated as tractable semi-definite programs for both moment-based and metric-based ambiguity sets. We applied the MGDRO models to a multi-product newswendor problem with multimodal demands. The numerical results turn out that the MGDRO models outperform traditional DRO models and other multimodal models greatly.