Sensitivity analysis of Wasserstein distributionally robust optimization problems

被引:12
|
作者
Bartl, Daniel [1 ]
Drapeau, Samuel [2 ,3 ]
Obloj, Jan [4 ]
Wiesel, Johannes [5 ]
机构
[1] Univ Vienna, Dept Math, Oskar Morgenstern Pl 1, A-1090 Vienna, Austria
[2] Shanghai Jiao Tong Univ, Sch Math Sci, 211 West Huaihai Rd, Shanghai 200030, Peoples R China
[3] Shanghai Jiao Tong Univ, Shanghai Adv Inst Finance, 211 West Huaihai Rd, Shanghai 200030, Peoples R China
[4] Univ Oxford, Math Inst, Woodstock Rd, Oxford OX2 6GG, England
[5] Columbia Univ, Dept Stat, 1255 Amsterdam Ave, New York, NY 10027 USA
基金
欧洲研究理事会; 奥地利科学基金会; 美国国家科学基金会;
关键词
robust stochastic optimization; sensitivity analysis; uncertainty quantification; non-parametric uncertainty; Wasserstein metric; RISK MEASURES; CONVERGENCE; AMBIGUITY; DISTANCE;
D O I
10.1098/rspa.2021.0176
中图分类号
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号
07 ; 0710 ; 09 ;
摘要
We consider sensitivity of a generic stochastic optimization problem to model uncertainty. We take a non-parametric approach and capture model uncertainty using Wasserstein balls around the postulated model. We provide explicit formulae for the first-order correction to both the value function and the optimizer and further extend our results to optimization under linear constraints. We present applications to statistics, machine learning, mathematical finance and uncertainty quantification. In particular, we provide an explicit first-order approximation for square-root LASSO regression coefficients and deduce coefficient shrinkage compared to the ordinary least-squares regression. We consider robustness of call option pricing and deduce a new Black-Scholes sensitivity, a non-parametric version of the so-called Vega. We also compute sensitivities of optimized certainty equivalents in finance and propose measures to quantify robustness of neural networks to adversarial examples.
引用
收藏
页数:19
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