Distributionally Robust Performative Optimization

Zhuangzhuang Jia, Yijie Wang, Roy Dong, Grani A. Hanasusanto

Keywords: distributionally robust optimization, decision-dependent uncertainty, performative stochastic optimization

Abstract: In performative stochastic optimization, decisions can influence the distribution of random parameters, rendering the data-generating process itself decision-dependent. In practice, decision-makers rarely have access to the true distribution map and must instead rely on imperfect surrogate models, which can lead to severely suboptimal solutions under misspecification. Data scarcity or costly collection further exacerbates these challenges in real-world settings. To address these challenges, we propose a distributionally robust framework for performative optimization that explicitly accounts for ambiguity in the decision-dependent distribution. Our framework introduces three modeling paradigms that capture a broad range of applications in machine learning and decision-making under uncertainty. This latter setting has not previously been explored in the performative optimization literature. To tackle the intractability of the resulting nonconvex objectives, we develop an iterative algorithm named repeated robust risk minimization, which alternates between solving a decision-independent distributionally robust optimization problem and updating the ambiguity set based on the previous decision. This decoupling ensures computational tractability at each iteration while enhancing robustness to model uncertainty. We provide reformulations compatible with off-the-shelf solvers and establish theoretical guarantees on convergence and suboptimality. Extensive numerical experiments in strategic classification, revenue management, and portfolio optimization demonstrate significant performance gains over state-of-the-art baselines, highlighting the practical value of our approach.

Primary Area: Optimization (e.g., convex and non-convex, stochastic, robust)

Submission Number: 19572