Speaker：Tiantian Mao（University of Science Technology of China）

Time：2021-06-29 14:30

Location：Tencent Meeting ID：409 330 021（No Password）

Abstract:

In this paper, we propose to address a decision maker's risk attitude in Distributionally robust optimization (DRO) by following an alternative scheme known as "dual expected utility". We distinguish DRO based on distorted expectations by terming it "Distributionally Robust Risk Optimization'" (DRRO), and show that DRRO can be equally, if not more, tractable to solve than DRO based on utility functionals. Our tractability results hold for any distortion function, and hence our scheme provides more flexibility to capture more realistic forms of risk attitudes. We characterize the worst-case distributions and discuss their implications.