Performance evaluation for distributionally robust optimization with uncertain binary entries

Abstract

We consider the data-driven stochastic programming problem with binary en tries where the probability of existence of each entry is not known, instead realization of data is provided. We applied the distributionally robust opti mization technique to minimize the worst-case expected cost taken over the ambiguity set based on the Kullback-Leibler divergence. We investigate the out-of-sample performance of the resulting optimal decision and analyze its dependence on the sparsity of the problem.