Distributionally robust discrete optimization with Entropic Value-at-Risk |
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Authors: | Daniel Zhuoyu Long Jin Qi |
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Institution: | 1. Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong;2. Department of Management Sciences, City University of Hong Kong, Hong Kong |
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Abstract: | We study the discrete optimization problem under the distributionally robust framework. We optimize the Entropic Value-at-Risk, which is a coherent risk measure and is also known as Bernstein approximation for the chance constraint. We propose an efficient approximation algorithm to resolve the problem via solving a sequence of nominal problems. The computational results show that the number of nominal problems required to be solved is small under various distributional information sets. |
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Keywords: | Robust optimization Discrete optimization Coherent risk measure |
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