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Duality of causal distributionally robust optimization: the discrete-time case (2401.16556v1)

Published 29 Jan 2024 in math.PR and math.OC

Abstract: This paper studies distributionally robust optimization (DRO) in a dynamic context. We consider a general penalized DRO problem with a causal transport-type penalization. Such a penalization naturally captures the information flow generated by the dynamic model. We derive a tractable dynamic duality formula under mild conditions. Furthermore, we apply this duality formula to address distributionally robust version of average value-at-risk, stochastic control, and optimal stopping.

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Authors (1)

  1. Yifan Jiang
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