Distributionally Robust Optimization: A review on theory and applications

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2022-01-01 DOI:10.3934/naco.2021057

Fengming Lin, X. Fang, Zheming Gao

引用次数: 52

Abstract

In this paper, we survey the primary research on the theory and applications of distributionally robust optimization (DRO). We start with reviewing the modeling power and computational attractiveness of DRO approaches, induced by the ambiguity sets structure and tractable robust counterpart reformulations. Next, we summarize the efficient solution methods, out-of-sample performance guarantee, and convergence analysis. Then, we illustrate some applications of DRO in machine learning and operations research, and finally, we discuss the future research directions.

查看原文本刊更多论文

分布鲁棒优化:理论与应用综述

本文综述了分布鲁棒优化(DRO)理论和应用方面的研究进展。我们首先回顾了DRO方法的建模能力和计算吸引力，这是由模糊集结构和可处理的鲁棒对应物重构引起的。其次，我们总结了有效的求解方法、样本外性能保证和收敛性分析。然后，我们阐述了DRO在机器学习和运筹学中的一些应用，最后讨论了未来的研究方向。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.