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Article: Primal–dual hybrid gradient method for distributionally robust optimization problems

TitlePrimal–dual hybrid gradient method for distributionally robust optimization problems
Authors
Liu, YongchaoYuan, XiaomingZeng, ShangzhiZhang, Jin
KeywordsPrimal–dual hybrid gradient
Discretization method
Distributionally robust optimization
Moment conditions
Wasserstein metric
Issue Date2017
Citation
Operations Research Letters, 2017, v. 45, n. 6, p. 625-630 How to Cite?
DOI: http://dx.doi.org/10.1016/j.orl.2017.10.001
Abstract© 2017 Elsevier B.V. We focus on the discretization approach to distributionally robust optimization (DRO) problems and propose a numerical scheme originated from the primal–dual hybrid gradient (PDHG) method that recently has been well studied in convex optimization area. Specifically, we consider the cases where the ambiguity set of the discretized DRO model is defined through the moment condition and Wasserstein metric, respectively. Moreover, we apply the PDHG to a portfolio selection problem modelled by DRO and verify its efficiency.
Persistent Identifierhttp://hdl.handle.net/10722/251250
ISSN
0167-6377
2021 Impact Factor: 1.151
2020 SCImago Journal Rankings: 0.661
ISI Accession Number ID
WOS:000418216800018

 

DC FieldValueLanguage
dc.contributor.authorLiu, Yongchao-
dc.contributor.authorYuan, Xiaoming-
dc.contributor.authorZeng, Shangzhi-
dc.contributor.authorZhang, Jin-
dc.date.accessioned2018-02-01T01:55:01Z-
dc.date.available2018-02-01T01:55:01Z-
dc.date.issued2017-
dc.identifier.citationOperations Research Letters, 2017, v. 45, n. 6, p. 625-630-
dc.identifier.issn0167-6377-
dc.identifier.urihttp://hdl.handle.net/10722/251250-
dc.description.abstract© 2017 Elsevier B.V. We focus on the discretization approach to distributionally robust optimization (DRO) problems and propose a numerical scheme originated from the primal–dual hybrid gradient (PDHG) method that recently has been well studied in convex optimization area. Specifically, we consider the cases where the ambiguity set of the discretized DRO model is defined through the moment condition and Wasserstein metric, respectively. Moreover, we apply the PDHG to a portfolio selection problem modelled by DRO and verify its efficiency.-
dc.languageeng-
dc.relation.ispartofOperations Research Letters-
dc.subjectPrimal–dual hybrid gradient-
dc.subjectDiscretization method-
dc.subjectDistributionally robust optimization-
dc.subjectMoment conditions-
dc.subjectWasserstein metric-
dc.titlePrimal–dual hybrid gradient method for distributionally robust optimization problems-
dc.typeArticle-
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/j.orl.2017.10.001-
dc.identifier.scopuseid_2-s2.0-85032192162-
dc.identifier.volume45-
dc.identifier.issue6-
dc.identifier.spage625-
dc.identifier.epage630-
dc.identifier.isiWOS:000418216800018-
dc.identifier.issnl0167-6377-

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