Statistical robustness in utility preference robust optimization models

Utility preference robust optimization (PRO) concerns decision making problems where information on decision maker’s utility preference is incomplete and has to be elicited through partial information and the optimal decision is based on the worst case utility function elicited. A key assumption in...

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Vydáno v:Mathematical programming Ročník 190; číslo 1-2; s. 679 - 720
Hlavní autoři: Guo, Shaoyan, Xu, Huifu
Médium: Journal Article
Jazyk:angličtina
Vydáno: Berlin/Heidelberg Springer Berlin Heidelberg 01.11.2021
Springer Nature B.V
Témata:
Calculus of Variations and Optimal Control; Optimization
Combinatorics
Continuity (mathematics)
Decision making
Estimators
Full Length Paper
Mathematical and Computational Physics
Mathematical Methods in Physics
Mathematics
Mathematics and Statistics
Mathematics of Computing
Numerical Analysis
Optimization
Optimization models
Perturbation
Risk management
Statistical analysis
Theoretical
90C31
Qualitative statistical robustness
90C47
Quantitative statistical robustness
90C15
Uniform consistency
PRO
ISSN:0025-5610, 1436-4646
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Shrnutí:Utility preference robust optimization (PRO) concerns decision making problems where information on decision maker’s utility preference is incomplete and has to be elicited through partial information and the optimal decision is based on the worst case utility function elicited. A key assumption in the PRO models is that the true probability distribution is either known or can be recovered by real data generated by the true distribution. In data-driven optimization, this assumption may not be satisfied when perceived data differ from real data and consequently it raises a question as to whether statistical estimators of the PRO models based on perceived data are reliable. In this paper, we investigate the issue which is also known as qualitative robustness in the literature of statistics (Huber in Robust statistics, 3rd edn, Wiley, New York, 1981) and risk management (Krätschmer et al. in Finance Stoch 18:271–295, 2014). By utilizing the framework proposed by Krätschmer et al. (2014), we derive moderate sufficient conditions under which the optimal value and optimal solution of the PRO models are robust against perturbation of the exogenous uncertainty data, and examine how the tail behaviour of utility functions affects the robustness. Moreover, under some additional conditions on the Lipschitz continuity of the underlying functions with respect to random data, we establish quantitative robustness of the statistical estimators under the Kantorovich metric. Finally, we investigate uniform consistency of the optimal value and optimal solution of the PRO models. The results cover utility selection problems and stochastic optimization problems as special cases.
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ISSN:0025-5610
1436-4646
DOI:10.1007/s10107-020-01555-5