Rockafellian Relaxation in Optimization under Uncertainty: Asymptotically Exact Formulations

Published in Arxiv Preprint, 2022

Recommended citation: Louis Chen, Johannes Royset (2022). "Rockafellian Relaxation in Optimization under Uncertainty: Asymptotically Exact Formulations." https://arxiv.org/abs/2204.04762

In practice, optimization models are often prone to unavoidable inaccuracies due to lack of data and dubious assumptions. Traditionally, this placed special emphasis on risk-based and robust formulations, and their focus on "conservative" decisions. We develop, in contrast, an "optimistic" framework based on Rockafellian relaxations in which optimization is conducted not only over the original decision space but also jointly with a choice of model perturbation. The framework enables us to address challenging problems with ambiguous probability distributions from the areas of two-stage stochastic optimization without relatively complete recourse, probability functions lacking continuity properties, expectation constraints, and outlier analysis. We are also able to circumvent the fundamental difficulty in stochastic optimization that convergence of distributions fails to guarantee convergence of expectations. The framework centers on the novel concepts of exact and asymptotically exact Rockafellians, with interpretations of "negative" regularization emerging in certain settings. We illustrate the role of Phi-divergence, examine rates of convergence under changing distributions, and explore extensions to first-order optimality conditions. The main development is free of assumptions about convexity, smoothness, and even continuity of objective functions. [Download paper here](https://arxiv.org/abs/2204.04762) Louis Chen, Johannes Royset (2022). "Rockafellian Relaxation in Optimization under Uncertainty: Asymptotically Exact Formulations." submitted.