A class of distributionally robust optimization problem under the distribution set controlled by χ2-distance
The distrubtionally robust optimization problem under the distribution set which is controlled by χ2-divergence was discussed.By the change-of-measure technique and convex analysis,the determinate equivalent form was obtained for the dis-trubtionally robust optimization problem.Then,it was found that the corresponding distributionally robust chance constrained problem could be transformed into the conservative chance constrained problem under the empirical probability measure.Final-ly,the closed form solution was obtained for distributionally robust portfolio problem.
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