Sensitivity of Robust Optimization over an Adapted Wasserstein Ambiguity Set

Abstract

In this talk, we consider the sensitivity of distributionally robust optimization problem under an adapted Wasserstein perturbation. We extend the classical results in a static setting to the dynamic multi-period setting. Under mild conditions, we give an explicit expression for the first order approximation to the value function. An optimization problem with a cost of weak type will also be discussed.

See slides for more details.