Kernel Distributionally Robust Optimization

06/12/2020

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by   Jia-Jie Zhu, et al.

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This paper is an in-depth investigation of using kernel methods to immunize optimization solutions against distributional ambiguity. We propose kernel distributionally robust optimization (K-DRO) using insights from the robust optimization theory and functional analysis. Our method uses reproducing kernel Hilbert spaces (RKHS) to construct ambiguity sets. It can be reformulated as a tractable program by using the conic duality of moment problems and an extension of the RKHS representer theorem. Our insights reveal that universal RKHSs are large enough for K-DRO to be effective. This paper provides both theoretical analyses that extend the robustness properties of kernel methods, as well as practical algorithms that can be applied to general optimization problems, not limited to kernelized models.