Distributionally robust optimization with correlated data from vector autoregressive processes

Abstract

We present a distributionally robust formulation of a stochastic optimization problem for non-i.i.d vector autoregressive data. We use the Wasserstein distance to define robustness in the space of distributions and we show, using duality theory, that the problem is equivalent to a finite convex–concave saddle point problem. The performance of the method is demonstrated on both synthetic and real data.