AMUSE

Date: September 27, 2023

Time: 6:00PM - 7:00PM

Location: BLOC 302

Speaker: Suhan Zhong, Texas A&M University

Title: Distributionally Robust Optimization with Moment Ambiguity Sets

Abstract: In this talk, we introduce distributionally robust optimization when the ambiguity set is given by moments for the distributions. The objective and constraints are given by polynomials in decision variables. We reformulate the DRO with equivalent moment conic constraints. Under some general assumptions, we prove the DRO is equivalent to a linear optimization problem with moment and psd polynomial cones. A Moment-SOS relaxation method is proposed to solve it. Its asymptotic and finite convergence are shown under certain assumptions.