Distributions with Maximum Spread Subject to Wasserstein Distance Constraints

Recent research on formulating and solving distributionally robust optimization problems has seen many different approaches for describing one’s ambiguity set, such as constraints on first and second moments or quantiles. In this paper, we use the Wasserstein distance to characterize the ambiguity s...

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Published inJournal of the Operations Research Society of China (Internet) Vol. 7; no. 1; pp. 69 - 105
Main Authors Carlsson, John Gunnar, Wang, Ye
Format Journal Article
LanguageEnglish
Published Beijing Operations Research Society of China 01.03.2019
Springer Nature B.V
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ISSN2194-668X
2194-6698
DOI10.1007/s40305-018-00238-5

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Abstract Recent research on formulating and solving distributionally robust optimization problems has seen many different approaches for describing one’s ambiguity set, such as constraints on first and second moments or quantiles. In this paper, we use the Wasserstein distance to characterize the ambiguity set of distributions, which allows us to circumvent common overestimation that arises when other procedures are used, such as fixing the center of mass and the covariance matrix of the distribution. In particular, we derive closed-form expressions for distributions that are as “spread out” as possible, and apply our result to a problem in multi-vehicle coordination.
AbstractList Recent research on formulating and solving distributionally robust optimization problems has seen many different approaches for describing one’s ambiguity set, such as constraints on first and second moments or quantiles. In this paper, we use the Wasserstein distance to characterize the ambiguity set of distributions, which allows us to circumvent common overestimation that arises when other procedures are used, such as fixing the center of mass and the covariance matrix of the distribution. In particular, we derive closed-form expressions for distributions that are as “spread out” as possible, and apply our result to a problem in multi-vehicle coordination.
Recent research on formulating and solving distributionally robust optimization problems has seen many different approaches for describing one’s ambiguity set, such as constraints on first and second moments or quantiles. In this paper, we use the Wasserstein distance to characterize the ambiguity set of distributions, which allows us to circumvent common overestimation that arises when other procedures are used, such as fixing the center of mass and the covariance matrix of the distribution. In particular, we derive closed-form expressions for distributions that are as “spread out” as possible, and apply our result to a problem in multi-vehicle coordination.
Author Wang, Ye
Carlsson, John Gunnar
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Copyright Operations Research Society of China, Periodicals Agency of Shanghai University and Springer-Verlag GmbH Germany, part of Springer Nature 2019
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Surveillance
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Snippet Recent research on formulating and solving distributionally robust optimization problems has seen many different approaches for describing one’s ambiguity set,...
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SubjectTerms Aircraft
Ambiguity
Covariance matrix
Drones
Entropy
Management Science
Mathematics
Mathematics and Statistics
Operations Research
Probability
Probability distribution
Random variables
Surveillance
Unmanned aerial vehicles
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Title Distributions with Maximum Spread Subject to Wasserstein Distance Constraints
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