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Robust Optimization

Robust counterparts, uncertainty sets, adaptive policies, and distributionally robust optimization.

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Wasserstein Distributionally Robust Optimization I: Kantorovich Duality and Strong Duality for the Worst-Case RiskTextbook

Motivation

Every data-driven decision problem faces the same trap. A decision-maker estimates a risk functional R(P,ℓ)=EP[ℓ(ξ)]R(P,\ell) = \mathbb{E}_P[\ell(\xi)]R(P,ℓ)=EP​[ℓ(ξ)] from a nominal distribution P^N\hat P_NP^N​ built from NNN training samples, then optimizes a loss function ℓ\ellℓ against P^N\hat P_NP^N​ instead of the unknown true distribution PPP. Because the optimizer adapts to the noise in P^N\hat P_NP^N​, the in-sample risk of the optimizer systematically understates its true, out-of-sample risk — a phenomenon Smith and Winkler named the optimizer's curse (Smith & Winkler, Management Science, 2006). The remedy explored here is to hedge against a whole neighborhood of plausible distributions around P^N\hat P_NP^N​, rather than trusting the point estimate. Kuhn, Mohajerin Esfahani, Nguyen and Shafieezadeh-Abadeh's INFORMS TutORials chapter (2019) develops this neighborhood using the Wasserstein distance, and the present mission formalizes its foundational duality theory: the machinery every later result in the chapter (finite-sample guarantees, elliptical tractability, regularization) builds on.

Setting

Fix a norm ∥⋅∥\|\cdot\|∥⋅∥ on a finite-dimensional real vector space EEE (representing Rm\mathbb{R}^mRm). For p∈[1,∞)p \in [1,\infty)p∈[1,∞), the type-ppp Wasserstein distance between two Borel probability measures Q,Q′Q, Q'Q,Q′ on EEE is

Wp(Q,Q′)=(inf⁡π∈Π(Q,Q′)∫E×E∥ξ−ξ′∥p π(dξ,dξ′))1/p,W_p(Q,Q') = \left(\inf_{\pi \in \Pi(Q,Q')} \int_{E\times E} \|\xi-\xi'\|^p\, \pi(d\xi,d\xi')\right)^{1/p},Wp​(Q,Q′)=(π∈Π(Q,Q′)inf​∫E×E​∥ξ−ξ′∥pπ(dξ,dξ′))1/p,

where Π(Q,Q′)\Pi(Q,Q')Π(Q,Q′) is the set of couplings of QQQ and Q′Q'Q′ — joint probability measures on E×EE \times EE×E whose marginals are QQQ and Q′Q'Q′. The optimal π\piπ can be read as a transportation plan moving one pile of dirt (QQQ) into another (Q′Q'Q′) at minimum cost, which is why WpW_pWp​ is also called the earth mover's distance; the underlying linear program was formalized by Kantorovich (1942) after Monge's 1781 original.

Given NNN training samples ξ^1,…,ξ^N\hat\xi_1,\dots,\hat\xi_Nξ^​1​,…,ξ^​N​, the empirical distribution is P^N=1N∑i=1Nδξ^i\hat P_N = \frac1N\sum_{i=1}^N \delta_{\hat\xi_i}P^N​=N1​∑i=1N​δξ^​i​​. Centered at P^N\hat P_NP^N​, the Wasserstein ambiguity set of radius ε≥0\varepsilon \ge 0ε≥0 is

Bε,p(P^N)={Q∈P(Ξ):Wp(Q,P^N)≤ε},B_{\varepsilon,p}(\hat P_N) = \{Q \in \mathcal{P}(\Xi) : W_p(Q,\hat P_N) \le \varepsilon\},Bε,p​(P^N​)={Q∈P(Ξ):Wp​(Q,P^N​)≤ε},

where Ξ⊆E\Xi \subseteq EΞ⊆E is a closed set known to contain the support of the true distribution. The worst-case risk of a loss function ℓ\ellℓ is

Rε,p(P^N,ℓ)=sup⁡Q∈Bε,p(P^N)EQ[ℓ(ξ)],R_{\varepsilon,p}(\hat P_N,\ell) = \sup_{Q \in B_{\varepsilon,p}(\hat P_N)} \mathbb{E}_Q[\ell(\xi)],Rε,p​(P^N​,ℓ)=Q∈Bε,p​(P^N​)sup​EQ​[ℓ(ξ)],

and minimizing it over a class of admissible loss functions L\mathcal{L}L is a distributionally robust optimization problem. ε\varepsilonε measures the estimation error one insures against; a larger ambiguity set gives a more conservative (and more expensive) guarantee.

Formalization targets

Goal — Theorem 7, strong duality

Rε,p(P^N,ℓ)=inf⁡γ≥0 EP^N[ℓγ(ξ)]+γεp,ℓγ(ξ)=sup⁡z∈Ξℓ(z)−γ∥z−ξ∥p.R_{\varepsilon,p}(\hat P_N,\ell) = \inf_{\gamma \ge 0}\ \mathbb{E}_{\hat P_N}[\ell_\gamma(\xi)] + \gamma\varepsilon^p,\qquad \ell_\gamma(\xi) = \sup_{z\in\Xi} \ell(z) - \gamma\|z-\xi\|^p.Rε,p​(P^N​,ℓ)=γ≥0inf​ EP^N​​[ℓγ​(ξ)]+γεp,ℓγ​(ξ)=z∈Ξsup​ℓ(z)−γ∥z−ξ∥p.

This is the Lagrangian dual of the worst-case risk evaluation problem, with γ\gammaγ the multiplier of the Wasserstein constraint Wp(Q,P^N)≤εW_p(Q,\hat P_N)\le\varepsilonWp​(Q,P^N​)≤ε: it converts a supremum over an infinite-dimensional space of measures into a one-dimensional minimization of the Moreau-Yosida regularization ℓγ\ell_\gammaℓγ​. Every tractability result later in the chapter (finite convex reformulations, SDP relaxations) specializes this duality by choosing a loss class for which ℓγ\ell_\gammaℓγ​ is computable.

Supporting dual representations of WpW_pWp​ — Theorems 1 and 2

Wpp(Q,Q′)=sup⁡{∫ψ dQ′−∫φ dQ:φ,ψ bounded continuous, ψ(ξ)−φ(ξ′)≤∥ξ−ξ′∥p}W_p^p(Q,Q') = \sup\left\{\int \psi\,dQ' - \int \varphi\,dQ : \varphi,\psi \text{ bounded continuous},\ \psi(\xi)-\varphi(\xi') \le \|\xi-\xi'\|^p\right\}Wpp​(Q,Q′)=sup{∫ψdQ′−∫φdQ:φ,ψ bounded continuous, ψ(ξ)−φ(ξ′)≤∥ξ−ξ′∥p} W1(Q,Q′)=sup⁡Lip(φ)≤1∫φ dQ−∫φ dQ′W_1(Q,Q') = \sup_{\mathrm{Lip}(\varphi)\le 1} \int \varphi\,dQ - \int \varphi\,dQ'W1​(Q,Q′)=Lip(φ)≤1sup​∫φdQ−∫φdQ′

These identify WpW_pWp​ as a linear program's strong dual (Theorem 1) and, for p=1p=1p=1, specialize it to the Kantorovich-Rubinstein form (Theorem 2), which is what lets the worst-case-risk analysis reason about Lipschitz loss functions directly.

Upper and lower bounds — Theorems 5 and 6

Rε,p(P^N,ℓ)≤R(P^N,ℓ)+ε⋅Lip(ℓ)R_{\varepsilon,p}(\hat P_N,\ell) \le R(\hat P_N,\ell) + \varepsilon\cdot\mathrm{Lip}(\ell)Rε,p​(P^N​,ℓ)≤R(P^N​,ℓ)+ε⋅Lip(ℓ) Rε,p(P^N,ℓ)≥sup⁡{1N∑iℓ(ξ^i+θi):ξ^i+θi∈Ξ, 1N∑i∥θi∥p≤εp}R_{\varepsilon,p}(\hat P_N,\ell) \ge \sup\left\{\tfrac1N\textstyle\sum_i \ell(\hat\xi_i+\theta_i) : \hat\xi_i+\theta_i\in\Xi,\ \tfrac1N\textstyle\sum_i\|\theta_i\|^p\le\varepsilon^p\right\}Rε,p​(P^N​,ℓ)≥sup{N1​∑i​ℓ(ξ^​i​+θi​):ξ^​i​+θi​∈Ξ, N1​∑i​∥θi​∥p≤εp}

These are the tractable, easily-computed bracket that Theorems 7 and 10 later show is tight in important special cases.

Exact case — Theorem 10

Ξ=Rm, ℓ convex, p=1  ⟹  Rε,1(P^N,ℓ)=R(P^N,ℓ)+ε Lip(ℓ)\Xi = \mathbb{R}^m,\ \ell \text{ convex},\ p=1 \implies R_{\varepsilon,1}(\hat P_N,\ell) = R(\hat P_N,\ell) + \varepsilon\,\mathrm{Lip}(\ell)Ξ=Rm, ℓ convex, p=1⟹Rε,1​(P^N​,ℓ)=R(P^N​,ℓ)+εLip(ℓ)

Theorem 5's inequality becomes exact under convexity — the cleanest closing corollary of the duality theory, obtained from Theorem 7 by evaluating the Moreau-Yosida regularization of a convex function explicitly.

Significance

Theorem 7 is the hinge on which the entire computational program of Wasserstein distributionally robust optimization turns: every tractable reformulation in the source chapter (piecewise-concave losses via conic duality, quadratic losses via semidefinite programming, the shrinkage-estimator connection) is obtained by substituting a specific loss class into the right-hand side of Theorem 7 and showing the resulting Moreau-Yosida regularization is computable. Kuhn et al. themselves derive it as a corollary of Blanchet & Murthy (2019) and Gao & Kleywegt (2016) for the empirical case, generalized to Polish spaces by Blanchet & Murthy and Gao & Kleywegt independently — the paper cites [12] and [37] for the general statement. Formalizing it is what makes every later, more computational result in the chapter — the ones a solver is more likely to reach for next — rest on a mechanically verified foundation rather than a citation chain.

Status. The mathematical result is well established (multiple independent published proofs cited above); nothing here is open research. What this mission contributes is the first machine-checked formal statement of the duality theorem and its supporting dual representations (Theorems 1, 2, 5, 6, 10) on the Prove2Me platform — none of Wp's dual representation, the Wasserstein ambiguity set, or the worst-case risk functional exist there prior to this mission (see Formalization scope).

Difficulty

The obvious proof strategy — write down the Lagrangian of the semi-infinite program (6), swap the order of the outer supremum over QQQ and the inner minimization over the multiplier γ\gammaγ, and invoke ordinary Lagrangian strong duality — fails because (6) is an infinite- dimensional linear program over measures, not a finite convex program: there is no compact feasible set or Slater point in a form that ordinary finite-dimensional duality applies to directly. The actual proof goes through the dual representation of the Wasserstein distance itself (Theorem 1, which is why it is a prerequisite milestone), reformulating the constraint Wp(Q,P^N)≤εW_p(Q,\hat P_N)\le\varepsilonWp​(Q,P^N​)≤ε via its own dual variables and swapping the resulting sup-inf using minimax theorems for semi-infinite programs, not ordinary Lagrangian duality for finite programs.

Formalization scope

EEE is a generic finite-dimensional real normed space (NormedAddCommGroup, NormedSpace ℝ, Borel-measurable), representing Rm\mathbb{R}^mRm with the paper's arbitrary fixed norm as a parameter rather than fixing the Euclidean norm. A coupling is formalized directly via MeasureTheory.Measure.map: π.map Prod.fst = Q ∧ π.map Prod.snd = Q'. Constrained infima/suprema (over couplings, over the ambiguity set, over Lipschitz test functions, over perturbation matrices) use Mathlib's guarded-binder idiom ⨅ x (_ : P x), f x, which correctly returns ⊤\top⊤ (resp. ⊥\bot⊥) outside the feasible set rather than a finite junk value.

Two deliberate, disclosed conventions keep the extremal-value definitions faithful without extended-real integration machinery, both recorded in MODERATION_NOTES.md:

  1. worstCaseRisk and the dual representations (Theorems 1, 2) are valued in EReal, not ℝ, so an unbounded supremum is recorded as +∞+\infty+∞ rather than collapsed to Mathlib's real-valued junk value 0 on an unbounded family.
  2. The goal theorem (7) and its Moreau-Yosida regularization restrict the loss function to bounded continuous ℓ\ellℓ (BoundedContinuousFunction E ℝ), narrower than the paper's general upper-semicontinuous, P^N\hat P_NP^N​-integrable loss class L\mathcal{L}L (Assumption 1). This keeps ℓγ(ξ)=sup⁡z∈Ξℓ(z)−γ∥z−ξ∥p\ell_\gamma(\xi) = \sup_{z\in\Xi}\ell(z)-\gamma\|z-\xi\|^pℓγ​(ξ)=supz∈Ξ​ℓ(z)−γ∥z−ξ∥p a finite real number for every nonempty Ξ\XiΞ, so the right-hand side's Bochner integral is well-posed; the milestones (Theorems 5, 6, 10) keep the more general real-valued (not necessarily bounded) loss class, since their statements do not require evaluating a pointwise supremum over Ξ\XiΞ.
  3. Ξ is required closed in Theorems 5, 6 and 7, matching the paper's own standing assumption (p. 6: "we let Ξ⊆Rm\Xi\subseteq\mathbb{R}^mΞ⊆Rm be a closed set that is known to contain the support of PPP") for the whole worst-case-risk framework, which is used silently in the paper wherever a theorem takes Ξ\XiΞ as an argument but was not carried into these theorems' own hypothesis lists in an earlier draft.
  4. The goal theorem (7) additionally requires P^N\hat P_NP^N​ itself supported on Ξ\XiΞ (P^N(Ξc)=0\hat P_N(\Xi^c)=0P^N​(Ξc)=0, the same "supported on Ξ\XiΞ" convention ambiguitySet uses for Q∈P(Ξ)Q\in\mathcal P(\Xi)Q∈P(Ξ)), which the paper's framework presupposes for the nominal distribution throughout §2. Combined with ℓ\ellℓ bounded, this makes ℓγ\ell_\gammaℓγ​ bounded on the full-measure set Ξ\XiΞ (above by sup⁡ℓ\sup\ellsupℓ unconditionally, below by ℓ(ξ)\ell(\xi)ℓ(ξ) itself via z=ξz=\xiz=ξ for ξ∈Ξ\xi\in\Xiξ∈Ξ), which is what makes the right-hand side's integral genuinely well-posed rather than liable to Mathlib's non-integrable junk value 000.

There is no trivializing formalization risk from a vacuous hypothesis: Ξ.Nonempty and 0 < N are both required exactly where the paper's own indexing and support assumptions require them, and every extremal value uses the extended-real convention above rather than a convention that would make an inequality vacuously true.

No definition in this mission exists on the platform prior to this series (GET /theorems?q=Wasserstein, q=Kantorovich, q=optimal transport, q=coupling return only unrelated discrete/finite-type constructions); all seven definitions and six theorems are drafted fresh. WassersteinDRO.Duality.wassersteinDistance, .ambiguitySet and .worstCaseRisk are the substrate every later mission in this five-part series (Gelbrich tractability, finite-sample guarantees, regularization, shrinkage estimation) either imports directly or redefines locally per the series' reuse rule.

Selected references

  • Kuhn, D., Mohajerin Esfahani, P., Nguyen, V. A., & Shafieezadeh-Abadeh, S. (2019). Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning. INFORMS TutORials in Operations Research, 130–166. https://doi.org/10.1287/educ.2019.0198
  • Villani, C. (2009). Optimal Transport: Old and New. Springer. (Cited as [108] for Theorems 1 and 2.)
  • Smith, J. E., & Winkler, R. L. (2006). The optimizer's curse: Skepticism and postdecision surprise in decision analysis. Management Science, 52(3), 311–322. https://doi.org/10.1287/mnsc.1050.0451
  • Gao, R., & Kleywegt, A. J. (2016). Distributionally Robust Stochastic Optimization with Wasserstein Distance. arXiv:1604.02199.
  • Blanchet, J., & Murthy, K. (2019). Quantifying Distributional Model Risk via Optimal Transport. Mathematics of Operations Research, 44(2), 565–600. https://doi.org/10.1287/moor.2018.0936
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Wasserstein Distributionally Robust Optimization II: The Gelbrich Ambiguity Set and Elliptical TractabilityTextbook

Motivation

Distributionally robust optimization (DRO) hedges a decision against every distribution within some ambiguity set around an estimated (nominal) distribution, rather than trusting the estimate exactly. When the ambiguity set is a ball of radius ε\varepsilonε around the empirical distribution P^N\hat P_NP^N​ in the type-ppp Wasserstein metric, the resulting worst-case risk problem inherits attractive statistical guarantees (Mohajerin Esfahani & Kuhn 2018) but is, in general, an optimization problem over an infinite-dimensional space of measures. Kuhn, Mohajerin Esfahani, Nguyen & Shafieezadeh-Abadeh's 2019 INFORMS TutORials chapter surveys when this problem becomes computationally tractable. One route — the subject of this mission — discards everything about the nominal distribution except its mean vector and covariance matrix and replaces the Wasserstein ball with a set built only from these two moments, the Gelbrich hull. The construction is due to Gelbrich (1990), who first bounded the Wasserstein distance between two distributions using only their means and covariances.

Setting

Fix Ξ⊆Rm\Xi \subseteq \mathbb{R}^mΞ⊆Rm, a nominal distribution P^N∈P(Ξ)\hat P_N \in \mathcal{P}(\Xi)P^N​∈P(Ξ), a radius ε>0\varepsilon > 0ε>0 and an exponent p≥1p \ge 1p≥1. The type-ppp Wasserstein distance between two probability measures Q,Q′Q, Q'Q,Q′ on Rm\mathbb{R}^mRm is

Wp(Q,Q′)=(inf⁡π∈Π(Q,Q′)∫∥ξ−ξ′∥p dπ(ξ,ξ′))1/p,W_p(Q,Q') = \Big(\inf_{\pi \in \Pi(Q,Q')} \int \|\xi-\xi'\|^p \, d\pi(\xi,\xi')\Big)^{1/p},Wp​(Q,Q′)=(π∈Π(Q,Q′)inf​∫∥ξ−ξ′∥pdπ(ξ,ξ′))1/p,

the infimum over couplings π\piπ (probability measures on Rm×Rm\mathbb{R}^m \times \mathbb{R}^mRm×Rm with marginals QQQ and Q′Q'Q′) of the ppp-th root of the expected ppp-th power of Euclidean distance. The Wasserstein ambiguity set is Bε,p(P^N)={Q∈P(Ξ):Wp(Q,P^N)≤ε}B_{\varepsilon,p}(\hat P_N) = \{Q \in \mathcal{P}(\Xi) : W_p(Q,\hat P_N) \le \varepsilon\}Bε,p​(P^N​)={Q∈P(Ξ):Wp​(Q,P^N​)≤ε}, and the worst-case risk of a loss function ℓ\ellℓ is Rε,p(P^N,ℓ)=sup⁡Q∈Bε,p(P^N)EQ[ℓ(ξ)]R_{\varepsilon,p}(\hat P_N,\ell) = \sup_{Q \in B_{\varepsilon,p}(\hat P_N)} E_Q[\ell(\xi)]Rε,p​(P^N​,ℓ)=supQ∈Bε,p​(P^N​)​EQ​[ℓ(ξ)].

Suppose P^N\hat P_NP^N​ has mean vector μ^\hat\muμ^​ and covariance matrix Σ^∈S+m\hat\Sigma \in S^m_+Σ^∈S+m​ (the positive semidefinite m×mm\times mm×m matrices). The mean-covariance uncertainty set is

Uε(μ^,Σ^)={(μ,Σ)∈Rm×S+m:∥μ^−μ∥22+Tr[Σ^+Σ−2(Σ^1/2ΣΣ^1/2)1/2]≤ε2},U_\varepsilon(\hat\mu,\hat\Sigma) = \Big\{(\mu,\Sigma) \in \mathbb{R}^m \times S^m_+ : \|\hat\mu-\mu\|_2^2 + \mathrm{Tr}\big[\hat\Sigma+\Sigma-2(\hat\Sigma^{1/2}\Sigma\hat\Sigma^{1/2})^{1/2}\big] \le \varepsilon^2\Big\},Uε​(μ^​,Σ^)={(μ,Σ)∈Rm×S+m​:∥μ^​−μ∥22​+Tr[Σ^+Σ−2(Σ^1/2ΣΣ^1/2)1/2]≤ε2},

where Σ1/2\Sigma^{1/2}Σ1/2 is the positive-semidefinite square root. The Gelbrich hull is Gε(μ^,Σ^)={Q∈P(Ξ):(EQ[ξ],CovQ[ξ])∈Uε(μ^,Σ^)}G_\varepsilon(\hat\mu,\hat\Sigma) = \{Q \in \mathcal{P}(\Xi) : (E_Q[\xi],\mathrm{Cov}_Q[\xi]) \in U_\varepsilon(\hat\mu,\hat\Sigma)\}Gε​(μ^​,Σ^)={Q∈P(Ξ):(EQ​[ξ],CovQ​[ξ])∈Uε​(μ^​,Σ^)}: the distributions on Ξ\XiΞ whose own mean and covariance lie in Uε(μ^,Σ^)U_\varepsilon(\hat\mu,\hat\Sigma)Uε​(μ^​,Σ^). An elliptical distribution Eg(μ,Σ)E_g(\mu,\Sigma)Eg​(μ,Σ) has density f(ξ)=C⋅det⁡(Σ)−1g((ξ−μ)⊤Σ−1(ξ−μ))f(\xi) = C \cdot \det(\Sigma)^{-1} g\big((\xi-\mu)^\top\Sigma^{-1}(\xi-\mu)\big)f(ξ)=C⋅det(Σ)−1g((ξ−μ)⊤Σ−1(ξ−μ)) for a density generator ggg and normalizing constant CCC; two elliptical distributions "have the same density generator" when their ggg coincide (e.g. both Gaussian, both Student-tνt_\nutν​ for the same ν\nuν).

Formalization targets

Goal (Theorem 13, Gelbrich hull). For every p≥2p \ge 2p≥2,

Bε,p(P^N)⊆Gε(μ^,Σ^).B_{\varepsilon,p}(\hat P_N) \subseteq G_\varepsilon(\hat\mu,\hat\Sigma).Bε,p​(P^N​)⊆Gε​(μ^​,Σ^).

This is an outer approximation: every distribution within ε\varepsilonε of P^N\hat P_NP^N​ in Wasserstein distance has a mean and covariance inside Uε(μ^,Σ^)U_\varepsilon(\hat\mu,\hat\Sigma)Uε​(μ^​,Σ^), so optimizing over the Gelbrich hull instead of the Wasserstein ball can only enlarge the feasible set, never shrink it below the truth.

Supporting results. Theorem 4 (Gelbrich bound) gives the moment-only lower bound on W2W_2W2​ that Theorem 13 is built from, with equality for elliptical distributions sharing a generator. Proposition 1 sharpens the goal's containment to an equality on the mean-covariance projection itself, under the same two conditions (Ξ=Rm\Xi = \mathbb{R}^mΞ=Rm, P^N\hat P_NP^N​ elliptical). Corollary 1 propagates the goal's set containment to the risk level: Rε,p(P^N,ℓ)≤Rε(μ^,Σ^,ℓ)R_{\varepsilon,p}(\hat P_N,\ell) \le R_\varepsilon(\hat\mu,\hat\Sigma,\ell)Rε,p​(P^N​,ℓ)≤Rε​(μ^​,Σ^,ℓ) for every ℓ\ellℓ, where Rε(μ^,Σ^,ℓ)=sup⁡Q∈Gε(μ^,Σ^)EQ[ℓ(ξ)]R_\varepsilon(\hat\mu,\hat\Sigma,\ell) = \sup_{Q \in G_\varepsilon(\hat\mu,\hat\Sigma)} E_Q[\ell(\xi)]Rε​(μ^​,Σ^,ℓ)=supQ∈Gε​(μ^​,Σ^)​EQ​[ℓ(ξ)] is the Gelbrich risk.

Significance

Theorem 13 is the hinge between an intractable infinite-dimensional worst-case-risk problem and a tractable one: the paper goes on (Theorem 16, outside this mission's scope) to show that for quadratic loss functions and elliptical nominal distributions the Gelbrich risk itself equals the optimal value of a semidefinite program with two linear matrix inequality constraints — and that, under those same conditions, the Wasserstein worst-case risk, the Gelbrich risk and the SDP value all coincide. Corollary 1 is what makes the Gelbrich risk usable as a conservative surrogate even outside that special case: it upper-bounds the true worst-case risk for any loss function and any p≥2p \ge 2p≥2, at the cost of discarding all but first- and second-order information about the nominal distribution. Formalizing the goal and Corollary 1 gives the exact scope in which this moment-relaxation is licensed — the p≥2p \ge 2p≥2 restriction and the outer-approximation direction are both easy to get backwards, and this mission's Lean encoding fixes both irreversibly.

Difficulty

The obvious first argument is to prove containment pointwise: fix Q∈Bε,p(P^N)Q \in B_{\varepsilon,p}(\hat P_N)Q∈Bε,p​(P^N​) and show its mean and covariance land in Uε(μ^,Σ^)U_\varepsilon(\hat\mu,\hat\Sigma)Uε​(μ^​,Σ^). That reduces Theorem 13 to Proposition 1's containment half, which in turn reduces to the Gelbrich bound (Theorem 4) applied to the pair (Q,P^N)(Q,\hat P_N)(Q,P^N​) — the inequality direction of Theorem 4 suffices for containment; only the sharper equality direction (needed for Proposition 1's own equality clause) requires the elliptical hypothesis. The non-obvious step is Theorem 4 itself: bounding W2(Q,Q′)W_2(Q,Q')W2​(Q,Q′) below by a closed-form expression in the two distributions' first two moments only, for arbitrary Q,Q′Q,Q'Q,Q′ with those moments, requires an argument that survives every coupling π\piπ — the paper's proof goes through a lower bound on the coupling's cross-covariance term via the eigenvalues of Σ1/2Σ′Σ1/2\Sigma^{1/2}\Sigma'\Sigma^{1/2}Σ1/2Σ′Σ1/2, not a direct manipulation of W2W_2W2​'s definition.

Formalization scope

Rm\mathbb{R}^mRm is EuclideanSpace ℝ (Fin m); a "distribution" is a MeasureTheory.Measure on it constrained by Q Set.univ = 1 (probability) and Q Ξᶜ = 0 (support in Ξ). The Wasserstein distance is ENNReal-valued (Definition 1's infimum over couplings, matching 01-duality's convention); the worst-case and Gelbrich risks are EReal-valued suprema restricted to loss functions integrable under the candidate distribution, avoiding Mathlib's junk value for a non-integrable Bochner integral. Σ1/2\Sigma^{1/2}Σ1/2 is the positive-semidefinite matrix square root, picked by choice from its defining existential and applied in this mission only to matrices hypothesized (or, per Section 2.3's standing assumption, given) positive semidefinite. Elliptical distributions (IsElliptical) are represented by the paper's own density formula (a measure equal to volume.withDensity of C·det(Σ)⁻¹·g((ξ-μ)ᵀΣ⁻¹(ξ-μ)) for some C>0), together with the mean/covariance facts every theorem in this chunk reads off directly; an earlier draft kept only the latter, under which "same density generator" held vacuously for any moment-matched pair — corrected after moderation flagged it (see STATUS.md). Because 01-duality (Wasserstein distance, ambiguity set, worst-case risk) is not yet a published mission, this chunk redefines those objects locally in its own namespace rather than importing an unpublished draft, per the series' definition-reuse policy; a future upload can retire the duplication once 01-duality is live. A formalization that dropped Theorem 4's "same density generator" condition from its equality clause, or that stated the goal's containment for all p≥1p\ge 1p≥1 rather than p≥2p \ge 2p≥2, would be trivializing or simply false — both are explicit hypotheses in the Lean statements. Matrix.PosSemidef and its Loewner order carry the S+mS^m_+S+m​ constraints; no elliptical-distribution or Gelbrich-hull infrastructure exists elsewhere on the platform, so this mission's definitions are original contributions reusable by any later extension (Theorem 16/17, Lemma 1/2's SDP representations) of this series.

Selected references

  • Kuhn, D., Mohajerin Esfahani, P., Nguyen, V. A., & Shafieezadeh-Abadeh, S. (2019). Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning. INFORMS TutORials in Operations Research. https://doi.org/10.1287/educ.2019.0198
  • Gelbrich, M. (1990). On a formula for the L2 Wasserstein metric between measures on Euclidean and Hilbert spaces. Mathematische Nachrichten, 147(1), 185–203.
  • Mohajerin Esfahani, P., & Kuhn, D. (2018). Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations. Mathematical Programming, 171(1), 115–166.
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Wasserstein Distributionally Robust Optimization III: Finite-Sample and Asymptotic Performance GuaranteesTextbook

Motivation

A decision maker who solves a distributionally robust optimization (DRO) problem over a Wasserstein ball chooses a radius ε\varepsilonε by hand, and it is natural to ask what guarantee that choice actually buys: how large must ε\varepsilonε be, as a function of the sample size NNN and a desired confidence level, before the resulting worst-case risk is provably not an underestimate of the true (unknown-distribution) risk? Kuhn, Mohajerin Esfahani, Nguyen & Shafieezadeh-Abadeh's 2019 INFORMS TutORials chapter answers this for the mean-covariance relaxation of Wasserstein DRO introduced via the Gelbrich hull (Section 2.3): Theorem 21 gives a concentration inequality for how fast the sample mean and covariance approach the true mean and covariance, and Theorem 22 turns that concentration bound into a finite-sample statistical guarantee for the Gelbrich risk itself. This mission formalizes both.

Setting

Fix m∈Nm \in \mathbb{N}m∈N. Let PPP be the unknown true distribution on Rm\mathbb{R}^mRm with mean vector μ\muμ and covariance matrix Σ∈S+m\Sigma \in S^m_+Σ∈S+m​, and suppose PPP is light-tailed: there exist α>2\alpha > 2α>2 and A>0A > 0A>0 with EP[exp⁡(∥ξ∥2α)]≤AE_P[\exp(\|\xi\|_2^\alpha)] \le AEP​[exp(∥ξ∥2α​)]≤A. Let ξ^1,…,ξ^N\hat\xi_1,\dots,\hat \xi_Nξ^​1​,…,ξ^​N​ be NNN independent, identically distributed samples from PPP; write PNP^NPN for their joint law (the NNN-fold product measure) and μ^,Σ^\hat\mu, \hat\Sigmaμ^​,Σ^ for the resulting sample mean and sample covariance, i.e. the mean and covariance of the empirical distribution P^N=1N∑iδξ^i\hat P_N = \frac{1}{N}\sum_i \delta_{\hat\xi_i}P^N​=N1​∑i​δξ^​i​​. Recall from the Gelbrich construction the mean-covariance uncertainty set Uε(μ^,Σ^)={(μ,Σ)∈Rm×S+m:∥μ^−μ∥22+Tr[Σ^+Σ−2(Σ^1/2ΣΣ^1/2)1/2]≤ε2}U_\varepsilon(\hat\mu,\hat\Sigma) = \{(\mu,\Sigma) \in \mathbb{R}^m \times S^m_+ : \|\hat\mu-\mu\|_2^2 + \mathrm{Tr}[\hat\Sigma+\Sigma-2(\hat\Sigma^{1/2} \Sigma\hat\Sigma^{1/2})^{1/2}] \le \varepsilon^2\}Uε​(μ^​,Σ^)={(μ,Σ)∈Rm×S+m​:∥μ^​−μ∥22​+Tr[Σ^+Σ−2(Σ^1/2ΣΣ^1/2)1/2]≤ε2}, and the Gelbrich risk Rε(μ^,Σ^,ℓ)=sup⁡Q∈Gε(μ^,Σ^)EQ[ℓ(ξ)]R_\varepsilon(\hat\mu,\hat\Sigma,\ell) = \sup_{Q \in G_\varepsilon(\hat\mu,\hat\Sigma)} E_Q[\ell(\xi)]Rε​(μ^​,Σ^,ℓ)=supQ∈Gε​(μ^​,Σ^)​EQ​[ℓ(ξ)] of a loss function ℓ\ellℓ over the Gelbrich hull Gε(μ^,Σ^)G_\varepsilon(\hat\mu,\hat \Sigma)Gε​(μ^​,Σ^).

Formalization targets

Milestone (Theorem 21, concentration inequalities II). There is c>1c > 1c>1, depending on PPP only through μ,Σ,α,A,m\mu,\Sigma,\alpha,A,mμ,Σ,α,A,m (not on any finer feature of PPP), such that for every η∈(0,1]\eta \in (0,1]η∈(0,1],

PN[(μ,Σ)∈Uε(μ^,Σ^)]≥1−ηwheneverε≥εN(η):=log⁡(c/η)N.P^N\big[(\mu,\Sigma) \in U_\varepsilon(\hat\mu,\hat\Sigma)\big] \ge 1-\eta \quad \text{whenever} \quad \varepsilon \ge \varepsilon_N(\eta) := \frac{\log(c/\eta)}{\sqrt N}.PN[(μ,Σ)∈Uε​(μ^​,Σ^)]≥1−ηwheneverε≥εN​(η):=N​log(c/η)​.

Goal (Theorem 22(a), finite sample guarantees II). Under the same hypotheses, for every η∈(0,1)\eta \in (0,1)η∈(0,1) and ε≥εN(η)\varepsilon \ge \varepsilon_N(\eta)ε≥εN​(η),

PN{R(P,ℓ)≤Rε(μ^,Σ^,ℓ)    ∀ℓ∈L}≥1−η.P^N\Big\{R(P,\ell) \le R_\varepsilon(\hat\mu,\hat\Sigma,\ell) \;\; \forall \ell \in L\Big\} \ge 1-\eta.PN{R(P,ℓ)≤Rε​(μ^​,Σ^,ℓ)∀ℓ∈L}≥1−η.

With probability at least 1−η1-\eta1−η over the draw of the training sample, the Gelbrich risk computed from that sample upper-bounds the true risk of every admissible loss function simultaneously — not just of one fixed ℓ\ellℓ chosen in advance. (The paper's part (b), the analogous guarantee $P^N\{R(P,\ell^\star) \le R_\varepsilon(\hat\mu,\hat\Sigma,\ell^\star)\} \ge 1-\eta$ for the specific optimizer ℓ⋆\ell^\starℓ⋆ of the Gelbrich risk minimization problem, is not formalized in this mission — see Formalization scope.)

Significance

Theorem 22 is what makes the Gelbrich-risk relaxation of Wasserstein DRO more than a computational convenience: it certifies that solving the tractable Gelbrich risk minimization problem gives a decision whose true out-of-sample risk is, with high probability, no worse than the value the solver reports — a genuine confidence guarantee, not merely an approximation of the Wasserstein worst-case risk. Theorem 21's rate, εN(η)=O(N−1/2)\varepsilon_N(\eta) = O(N^{-1/2})εN​(η)=O(N−1/2), is also of independent interest: it is dimension-free (no curse of dimensionality), in contrast to the paper's earlier general-distribution concentration result (Theorem 18, out of scope for this mission) whose rate degrades with mmm. Formalizing Theorem 21 fixes, machine-checkably, the exact functional form of εN(η)\varepsilon_N(\eta)εN​(η) and the precise sense in which ccc is "distribution-free" given (μ,Σ,α,A,m)(\mu,\Sigma,\alpha,A,m)(μ,Σ,α,A,m) — a subtlety easy to state informally but easy to get wrong formally (see Difficulty).

Difficulty

The central formalization difficulty is not proving the theorems (both are left as sorry in this draft) but stating the existential constant ccc correctly. The paper says ccc "depends on PPP only through μ,Σ,α,A,m\mu,\Sigma,\alpha,A,mμ,Σ,α,A,m" — informally, a promise that ccc is uniform across every distribution PPP sharing those five parameters, not merely that some ccc exists for each PPP separately (a vacuously true, much weaker statement obtained by naively quantifying ccc after PPP). The correct encoding places ∃c\exists c∃c before the universal quantifier over PPP: for fixed (μ,Σ,α,A,m)(\mu,\Sigma,\alpha,A,m)(μ,Σ,α,A,m), one ccc must work for every PPP with that mean, covariance, and tail bound. Getting this quantifier order backwards silently converts a genuine finite-sample guarantee into a triviality (FAITHFULNESS_TRAPS.md trap 8).

Formalization scope

Distributions live on EuclideanSpace ℝ (Fin m); PNP^NPN, the law of NNN iid samples, is the NNN-fold product measure MeasureTheory.Measure.pi (fun _ => P) on Fin N → EuclideanSpace ℝ (Fin m) — an event about the random sample sequence is a set of such tuples, and "PN[event]≥1−ηP^N[\text{event}] \ge 1-\etaPN[event]≥1−η" is that product measure's mass on the event set. All risk and uncertainty-set definitions (meanVector, covarianceMatrix, meanCovarianceUncertaintySet, gelbrichHull, gelbrichRisk, nominalRisk, empiricalDistribution) are redefined locally in this chapter's own namespace, matching 02-gelbrich's conventions exactly, since neither 01-duality nor 02-gelbrich is yet a published mission (CAPTAIN_ADDENDUM_WAVE2.md rule 5); a later upload can retire the duplication once those missions are live. The existential constant c is placed before the universal quantifier over P in both theorems, exactly capturing "depends on P only through µ,Σ,α,A,m" — see Difficulty. Only Theorem 22's part (a) (the uniform bound over a loss class L) is formalized; part (b) — the bound for the specific optimizer ℓ* of the Gelbrich risk minimization problem (19) — is left out, because it requires first formalizing "ℓ* is an optimizer of problem (19)" as an object (an infimum-attaining selection over a data-dependent optimization problem), which is additional infrastructure this mission's time budget did not cover; formalizing it as an unconditional bound over an arbitrary data-dependent ℓ* (dropping the optimality hypothesis) would be unfaithful — the guarantee genuinely depends on ℓ* being an optimizer, not an arbitrary measurable function of the sample. The goal theorem also carries hΞ, stating Ξ contains the support of P (the paper's own standing assumption, p. 6, for every later use of Ξ), and hLInt, an Integrable ℓ P guard for every ℓ ∈ L, matching Assumption 1 (p. 9); both were added after moderation found the goal's original statement, without them, admitted a counter-instance (Ξ = ∅ collapses the Gelbrich hull to empty and the risk supremum to ⊥, making the guarantee provably false rather than merely undisclosed). Theorem 18 (the general, dimension- dependent concentration inequality with its piecewise ε_N(η) formula) and Theorems 19/20/23 (its downstream guarantees and the asymptotic-consistency results) are out of scope for this mission, which targets the Gelbrich-risk branch (Theorems 21/22) specifically.

Selected references

  • Kuhn, D., Mohajerin Esfahani, P., Nguyen, V. A., & Shafieezadeh-Abadeh, S. (2019). Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning. INFORMS TutORials in Operations Research. https://doi.org/10.1287/educ.2019.0198
  • Fournier, N., & Guillin, A. (2015). On the rate of convergence in Wasserstein distance of the empirical measure. Probability Theory and Related Fields, 162(3), 707–738.
  • Gao, R., & Kleywegt, A. J. (2023). Distributionally robust stochastic optimization with Wasserstein distance. Mathematics of Operations Research, 48(2), 603–655.
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Wasserstein Distributionally Robust Optimization IV: Regularization by Robustification in Classification and RegressionTextbook

Motivation

Regularization — adding a penalty on model complexity to an empirical risk minimization objective — is one of the oldest and most reliably effective tools in statistical learning: ridge regression, LASSO, and margin-based support vector machines all fit this template. For decades the regularization weight and penalty function were chosen heuristically or by cross-validation, with only asymptotic or worst-case generalization bounds explaining why they help. Kuhn, Mohajerin Esfahani, Nguyen & Shafieezadeh-Abadeh's 2019 INFORMS TutORials chapter on Wasserstein distributionally robust optimization (DRO) gives regularization a different, non-asymptotic justification: a decision rule that is robust to adversarial perturbations of its training data, measured in Wasserstein distance, is exactly a regularized empirical risk minimizer — no approximation, no asymptotics. This mission formalizes the general form of that equivalence, Theorem 10 (p. 14), which underlies every regularization-by-robustification result the chapter derives for classification and regression alike.

Setting

Fix a normed space Ξ=Rm\Xi = \mathbb{R}^mΞ=Rm, a convex loss function ℓ:Ξ→R\ell : \Xi \to \mathbb{R}ℓ:Ξ→R, a radius ε≥0\varepsilon \ge 0ε≥0, and NNN training samples ξ^1,…,ξ^N∈Ξ\hat\xi_1,\dots,\hat\xi_N \in \Xiξ^​1​,…,ξ^​N​∈Ξ (N≥1N \ge 1N≥1). The empirical distribution is P^N=1N∑i=1Nδξ^i\hat P_N = \frac{1}{N}\sum_{i=1}^N \delta_{\hat\xi_i}P^N​=N1​∑i=1N​δξ^​i​​. The worst-case risk of ℓ\ellℓ at radius ε\varepsilonε (eq. (6), p. 6) is

Rε,p(P^N,ℓ)=sup⁡Q∈Bε,p(P^N)EQ[ℓ(ξ)],R_{\varepsilon,p}(\hat P_N,\ell) = \sup_{Q \in B_{\varepsilon,p}(\hat P_N)} E_Q[\ell(\xi)],Rε,p​(P^N​,ℓ)=Q∈Bε,p​(P^N​)sup​EQ​[ℓ(ξ)],

where Bε,p(P^N)B_{\varepsilon,p}(\hat P_N)Bε,p​(P^N​) is the type-ppp Wasserstein ball of radius ε\varepsilonε around P^N\hat P_NP^N​ (Definition 1, p. 3) — the set of probability measures on Ξ\XiΞ within Wasserstein distance ε\varepsilonε of the empirical distribution, under a norm ∥⋅∥\|\cdot\|∥⋅∥ on Ξ\XiΞ and its transportation exponent ppp. The Lipschitz modulus Lip(ℓ)=sup⁡ξ≠ξ′∣ℓ(ξ)−ℓ(ξ′)∣∥ξ−ξ′∥\mathrm{Lip}(\ell) = \sup_{\xi\ne\xi'} \frac{|\ell(\xi)-\ell(\xi')|}{\|\xi-\xi'\|}Lip(ℓ)=supξ=ξ′​∥ξ−ξ′∥∣ℓ(ξ)−ℓ(ξ′)∣​ (possibly +∞+\infty+∞) measures how fast ℓ\ellℓ can grow.

Formalization targets

Goal (Theorem 10, convex loss and p=1p=1p=1). If ℓ\ellℓ is convex and p=1p=1p=1, then the worst-case risk of ℓ\ellℓ over the type-1 Wasserstein ball around the empirical distribution coincides with the Lipschitz-regularized empirical loss:

Rε,1(P^N,ℓ)=R(P^N,ℓ)+ε⋅Lip(ℓ),R_{\varepsilon,1}(\hat P_N,\ell) = R(\hat P_N,\ell) + \varepsilon \cdot \mathrm{Lip}(\ell),Rε,1​(P^N​,ℓ)=R(P^N​,ℓ)+ε⋅Lip(ℓ),

where R(P^N,ℓ)=1N∑i=1Nℓ(ξ^i)R(\hat P_N,\ell) = \frac{1}{N}\sum_{i=1}^N \ell(\hat\xi_i)R(P^N​,ℓ)=N1​∑i=1N​ℓ(ξ^​i​) is the ordinary empirical risk. The left side is the worst-case expected loss under adversarial perturbations of the training data of bounded aggregate Wasserstein cost; the right side is the ordinary empirical risk plus a regularization term proportional to the perturbation radius ε\varepsilonε and the loss's own Lipschitz modulus — no approximation, an exact equality for every convex ℓ\ellℓ.

Significance

This is the single result underlying every specific regularization-by-robustification corollary the chapter derives — the ℓ2\ell_2ℓ2​-regularized SVM and its ℓ1\ell_1ℓ1​/ℓ∞\ell_\inftyℓ∞​ variants, regularized logistic regression, and the regression analogue with a Lipschitz loss (Proposition 3) — because each of those is obtained by substituting a specific convex, Lipschitz loss (hinge, logloss, a linear-model margin loss) for the general ℓ\ellℓ here and reading off Lip(ℓ)\mathrm{Lip}(\ell)Lip(ℓ) in closed form. Theorem 10 is exact (p=1p=1p=1, Ξ = R^m) precisely because a type-1 transportation cost is dual to the Lipschitz modulus (a consequence of the Kantorovich- Rubinstein duality this book's earlier duality theorems establish), whereas the corresponding statement for p≥2p \ge 2p≥2 (Theorem 11 elsewhere in the chapter) needs a strictly stronger hypothesis on ℓ\ellℓ. Formalizing Theorem 10 fixes, machine-checkably, the exact scope of the equivalence — which losses qualify (convex, no boundedness or smoothness needed), which transportation exponent is required (p=1p=1p=1, not any p≥1p\ge1p≥1), and that the equality is exact, not an upper or lower bound — the single fact every classification- and regression-specific robustification corollary in the chapter cites without re-deriving.

Difficulty

The natural first attempt treats the worst-case risk as an instance of the general finite convex reduction (Theorem 8, which needs ℓ\ellℓ or a related concave/convex-conjugate structure and applies for a general norm exponent p,qp,qp,q with 1/p+1/q=11/p+1/q=11/p+1/q=1) and specializes it to p=1p=1p=1. This is not the paper's own route for Theorem 10: at p=1p=1p=1 the dual exponent q=∞q=\inftyq=∞, and the general finite-convex-program reduction (11) degenerates in a way that is more naturally derived directly from the type-1 Wasserstein distance's own dual (Kantorovich-Rubinstein) representation — a Lipschitz test function pairs exactly with a type-1 transportation cost, which is why the answer is Lipschitz-regularization and not some other penalty. The Lean statement records only the final equality (the proof itself, via Theorem 8 or the direct Kantorovich-Rubinstein route, is left as sorry, as required for a draft item), but the choice of which milestones would support that proof is exactly this: the type-1/Lipschitz-modulus duality is a structurally different argument from the finite-convex-program machinery Theorem 8 needs for other ppp, which is why this chapter's earlier draft mistakenly tried to reach a specialization of Theorem 10 (Proposition 2, restated for a labeled, κ=∞\kappa=\inftyκ=∞ ambiguity set) through a finite-atom shortcut that does not actually capture the general type-1 ball Theorem 10's own proof needs — see Formalization scope.

Formalization scope

Ξ\XiΞ is EuclideanSpace ℝ (Fin m) (fixed to Set.univ, matching the theorem's own "Ξ = R^m" hypothesis) with an arbitrary fixed norm as a type-class parameter, not specialized to Euclidean. The worst-case risk, Wasserstein distance, ambiguity set, nominal risk, empirical distribution and Lipschitz modulus are all redefined locally in this chapter's own namespace, verbatim restatements of 01-duality's own drafts of the same objects (identical EReal/ENNReal/Integrable conventions), because 01-duality is not yet a published mission (CAPTAIN_ADDENDUM_WAVE2.md rule 5); a later upload can retire the duplication once it is live. hN : 0 < N excludes the empty-sample case the paper's own "N training samples" presupposes; hℓ : Integrable ℓ (empiricalDistribution ξhat) guards the empirical risk's Bochner integral (automatically satisfied under any real-valued ℓ since the empirical distribution is a finite convex combination of Dirac masses, but stated explicitly rather than assumed silently). No constant is pinned to a numeral. This mission originally targeted Proposition 2 (regularization by robustification for classification, p. 25), a specialization of Theorem 10 to a labeled, κ=∞ input-output ambiguity set — but that draft's κ=∞ ambiguity set restricted admissible perturbations to a finite family of exactly N atoms, each sample's entire mass moving as one indivisible unit, which is a strict, non-faithful subset of the true κ=∞ Wasserstein ball (splitting a sample's mass across several destinations is a legitimate, and for a convex loss strictly more powerful, perturbation by Jensen's inequality). This made the goal theorem false for at least one of the three loss functions (Table 1) the mission itself certified as covered (logloss), not merely narrower than the paper's claim — moderation caught this and required either a faithful general-ambiguity-set reformulation or retargeting the goal. This mission takes the latter: Theorem 10 itself, already correctly and generally stated using the unrestricted Wasserstein ball throughout, is now the goal, with no further milestone (no other numbered result in this chunk's scope is needed for Theorem 10's own statement beyond the shared definitions above). A future mission in this series can revisit Proposition 2/3 with a properly general labeled ambiguity set once that construction (label-pinned marginal plus an aggregate coupling condition on the input coordinate, rather than a finite atom family) is built.

Selected references

  • Kuhn, D., Mohajerin Esfahani, P., Nguyen, V. A., & Shafieezadeh-Abadeh, S. (2019). Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning. INFORMS TutORials in Operations Research. https://doi.org/10.1287/educ.2019.0198
  • Shafieezadeh-Abadeh, S., Esfahani, P. M., & Kuhn, D. (2015). Distributionally robust logistic regression. Advances in Neural Information Processing Systems, 28.
  • Blanchet, J., Kang, Y., & Murthy, K. (2019). Robust Wasserstein profile inference and applications to machine learning. Journal of Applied Probability, 56(3), 830–857.
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Wasserstein Distributionally Robust Optimization V: The Wasserstein Shrinkage Estimator and Robust MMSE EstimationTextbook

Motivation

Minimum mean square error (MMSE) estimation — predicting a signal xxx from a noisy observation yyy by minimizing expected squared prediction error — underlies linear systems theory, linear regression, Kalman filtering, and multiple-input multiple-output signal processing. Its classical solution assumes the joint distribution of (x,y)(x,y)(x,y) is known exactly; in practice it is estimated from data, and the estimator inherits sampling error and model risk. Kuhn, Mohajerin Esfahani, Nguyen & Shafieezadeh-Abadeh's 2019 INFORMS TutORials chapter shows that hedging the MMSE objective against every distribution in a Wasserstein ball around the empirical distribution — an infinite-dimensional worst case over an intractable set of measures, a priori — collapses to a tractable, finite-dimensional convex semidefinite program (Theorem 25, p. 29), building on the Gelbrich-hull machinery of Section 2.3. This mission formalizes that reduction.

Setting

Fix mx,my∈Nm_x, m_y \in \mathbb{N}mx​,my​∈N and let ξ=(x,y)∈Rmx×Rmy\xi = (x,y) \in \mathbb{R}^{m_x} \times \mathbb{R}^{m_y}ξ=(x,y)∈Rmx​×Rmy​ be a random vector: xxx the signal to be estimated, yyy the observation. An estimator is a measurable function ψ:Rmy→Rmx\psi : \mathbb{R}^{m_y} \to \mathbb{R}^{m_x}ψ:Rmy​→Rmx​; write Ψ\PsiΨ for the family of all estimators. The distribution of ξ\xiξ is only known to lie in a type-2 Wasserstein ball Bε,2(P^N)B_{\varepsilon,2}(\hat P_N)Bε,2​(P^N​) centered at an elliptical nominal distribution P^N=Eg(μ^,Σ^)\hat P_N = E_g(\hat\mu,\hat\Sigma)P^N​=Eg​(μ^​,Σ^) with nominal mean μ^∈Rm\hat\mu \in \mathbb{R}^mμ^​∈Rm (m=mx+mym=m_x+m_ym=mx​+my​), nominal covariance Σ^∈S+m\hat\Sigma \in S^m_+Σ^∈S+m​, and density generator ggg. The distributionally robust MMSE estimation problem is

inf⁡ψ∈Ψsup⁡Q∈Bε,2(P^N)EQ[∥x−ψ(y)∥22].(35)\inf_{\psi \in \Psi} \sup_{Q \in B_{\varepsilon,2}(\hat P_N)} E_Q\big[\|x-\psi(y)\|_2^2\big]. \tag{35}ψ∈Ψinf​Q∈Bε,2​(P^N​)sup​EQ​[∥x−ψ(y)∥22​].(35)

Writing Σ^=(Σ^xxΣ^xyΣ^yxΣ^yy)\hat\Sigma = \begin{pmatrix}\hat\Sigma_{xx}&\hat\Sigma_{xy}\\\hat\Sigma_{yx}& \hat\Sigma_{yy}\end{pmatrix}Σ^=(Σ^xx​Σ^yx​​Σ^xy​Σ^yy​​) blockwise, the nonlinear convex SDP

max⁡Sf(S)=Tr[Sxx−SxySyy−1Syx]s.t.S=(SxxSxySyxSyy)⪰0,  Sxx⪰0,  Syy⪰0,  Tr[S+Σ^−2(Σ^1/2SΣ^1/2)1/2]≤ε2,  S⪰λmin⁡(Σ^)I(36)\max_S f(S) = \mathrm{Tr}[S_{xx} - S_{xy}S_{yy}^{-1}S_{yx}] \quad \text{s.t.} \quad S = \begin{pmatrix}S_{xx}&S_{xy}\\S_{yx}&S_{yy}\end{pmatrix} \succeq 0,\; S_{xx} \succeq 0,\; S_{yy} \succeq 0,\; \mathrm{Tr}[S+\hat\Sigma-2(\hat\Sigma^{1/2}S\hat\Sigma^{1/2})^{1/2}] \le \varepsilon^2,\; S \succeq \lambda_{\min}(\hat\Sigma) I \tag{36}Smax​f(S)=Tr[Sxx​−Sxy​Syy−1​Syx​]s.t.S=(Sxx​Syx​​Sxy​Syy​​)⪰0,Sxx​⪰0,Syy​⪰0,Tr[S+Σ^−2(Σ^1/2SΣ^1/2)1/2]≤ε2,S⪰λmin​(Σ^)I(36)

is the finite-dimensional relaxation the chapter builds toward.

Formalization targets

Goal (Theorem 25, distributionally robust MMSE estimator). If Σ^≻0\hat\Sigma \succ 0Σ^≻0, then the optimal value of problem (35) equals the optimal value of SDP (36). Moreover, if S⋆S^\starS⋆ is optimal in (36) with Syy⋆S^\star_{yy}Syy⋆​ invertible, then the affine function

ψ⋆(y)=Sxy⋆(Syy⋆)−1(y−μ^y)+μ^x\psi^\star(y) = S^\star_{xy}(S^\star_{yy})^{-1}(y-\hat\mu_y) + \hat\mu_xψ⋆(y)=Sxy⋆​(Syy⋆​)−1(y−μ^​y​)+μ^​x​

attains the outer infimum of (35) — it is a distributionally robust MMSE estimator, exhibited in closed form from an SDP optimizer.

Significance

Theorem 25 reduces an a priori infinite-dimensional, worst-case functional optimization problem (an infimum over all measurable estimators of a supremum over all distributions within a Wasserstein ball) to a finite convex program with one linear matrix inequality, one Loewner-order lower bound, and one trace/matrix-square-root constraint — solvable in polynomial time, with the optimal estimator recovered in closed form from the SDP's optimal block matrix. It shows that robustifying MMSE estimation against distributional ambiguity does not sacrifice tractability: the resulting estimator remains affine, the same functional form as the classical (non-robust) best linear unbiased estimator, only with its coefficients drawn from a regularized covariance estimate rather than the raw sample covariance. Formalizing it fixes, machine-checkably, the exact shape of that regularization — which SDP constraints are load-bearing (the Loewner lower bound in particular rules out a numerically unstable near-singular SyyS_{yy}Syy​) and which conditions (Σ^≻0\hat\Sigma \succ 0Σ^≻0, Syy⋆S^\star_{yy}Syy⋆​ invertible) the closed-form estimator formula actually needs.

Difficulty

The paper's own remark (p. 29) names the two nontrivial steps: first, "establishing a minimax theorem for (35) and exploiting the properties of elliptical distributions" to show the outer infimum is attained by an affine estimator — a priori (35) ranges over all measurable ψ\psiψ, and there is no obvious reason the worst case forces linearity. Second, "combining this structural insight with Theorem 16" (the SDP-representability result for indefinite quadratic losses under an elliptical nominal distribution, itself a nontrivial closed-form reduction of an infinite-dimensional worst-case risk) to convert the now-restricted problem over affine estimators into the finite SDP (36). Neither step is a routine consequence of the ambiguity-set definitions alone; each requires structural facts about elliptical distributions and quadratic losses proved earlier in the chapter.

Formalization scope

The signal-observation space is EuclideanSpace ℝ (Fin mx ⊕ Fin my), with xxx and yyy recovered as the two summand projections; the block matrix SSS is Matrix (Fin mx ⊕ Fin my) (Fin mx ⊕ Fin my) ℝ, and Matrix.toBlocks₁₁/toBlocks₁₂/toBlocks₂₁/toBlocks₂₂ give its four blocks. The constraint "Sxy=Syx⊤S_{xy}=S_{yx}^\topSxy​=Syx⊤​" is not stated as a separate hypothesis: it follows automatically once SSS is symmetric (implied by S.PosSemidef), so encoding the feasible set from a single symmetric S rather than four independently-quantified blocks makes it structurally impossible to drop — see pitfall 4 of BRIEF.md. The outer infimum of problem (35) ranges only over measurable ψ\psiψ (Measurable ψ on the binder), matching the paper's own definition of Ψ\PsiΨ as "the family of all possible measurable estimators" (p. 29) exactly. λ_min(Σ̂) is taken as a hypothesis parameter characterized by the two properties that make it the minimum ("≤ every eigenvalue of Σ̂, and attained by some eigenvalue"), rather than invoking a specific Mathlib min-eigenvalue API by name. S_{yy}⁻¹ uses the ordinary matrix inverse (junk zero matrix when singular), matching the paper's literal notation; S^\star_{yy} invertible is stated as an added hypothesis, not present verbatim on the page, because the paper leaves the formula's well-definedness implicit — disclosed per pitfall 5 rather than silently assumed away. The paper's own "which is always solvable" clause is not asserted: Theorem 25 states, as part of itself, that SDP (36) attains its maximum (an unconditional existence claim for an optimal S⋆S^\starS⋆); this formalization states only the conditional consequences of such an S⋆S^\starS⋆ existing, not that one does — proving or asserting solvability is out of this mission's scope, so the Lean statement is strictly weaker than Theorem 25's own conclusion on this point, disclosed rather than silently dropped. All risk-style suprema are EReal-valued and Integrable-guarded, matching the series' convention. No milestone theorem is included: the paper's own proof sketch derives (33)'s and by extension (36)'s SDP "via Theorem 16", but Theorem 16 (indefinite quadratic loss and p=2p=2p=2, eq. 23) was itself judged too heavy to state faithfully in 02-gelbrich's time budget and is not redefined here either — see STATUS.md. Theorem 24 (the Wasserstein shrinkage estimator, this chapter's originally recommended goal) is out of scope: its closed-form eigenvalue transformation (eq. 34a/34b) requires transcribing nested square roots from a rendered PDF page that this session's time budget did not allow verifying to the standard the brief demands (pitfall 1); the brief's own documented fallback to Theorem 25 was taken instead.

Selected references

  • Kuhn, D., Mohajerin Esfahani, P., Nguyen, V. A., & Shafieezadeh-Abadeh, S. (2019). Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning. INFORMS TutORials in Operations Research. https://doi.org/10.1287/educ.2019.0198
  • Nguyen, V. A., Shafieezadeh-Abadeh, S., Yue, M.-C., Kuhn, D., & Wiesemann, W. (2021). Optimistic distributionally robust optimization for nonparametric likelihood approximation. Advances in Neural Information Processing Systems, 32.
  • Shafieezadeh-Abadeh, S., Nguyen, V. A., Kuhn, D., & Mohajerin Esfahani, P. (2018). Wasserstein distributionally robust Kalman filtering. Advances in Neural Information Processing Systems, 31.
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Robust Solutions of Optimization Problems Affected by Uncertain Probabilities I: The Robust Counterpart of a Linear Constraint under φ-Divergence UncertaintyResearch Paper

Motivation

Many decision problems contain a constraint whose coefficients are an expectation under a probability vector that is not known exactly: an expected cost under uncertain scenario probabilities, an expected payoff of an asset under an estimated distribution, the expected demand in a newsvendor model. The probabilities are usually estimated from data, and a solution that is feasible for the estimate can be infeasible for the true distribution. Robust optimization protects against this by requiring the constraint to hold for every probability vector in an uncertainty region around the estimate.

A natural region is a ball in a φ-divergence, a family of statistical distances between probability vectors that contains the Kullback–Leibler divergence, the Burg entropy, the χ² distances, the Hellinger distance and the variation distance. Such balls arise as asymptotic confidence sets for the true distribution given observed frequencies (Pardo 2006), so the radius has a statistical meaning. Ben-Tal, den Hertog, De Waegenaere, Melenberg and Rennen (Management Science 59(2), 2013) showed that the robust version of a linear constraint over such a ball is equivalent to a finite convex system involving the convex conjugate of φ. This reformulation is a standard tool in the later literature on distributionally robust optimization.

Setting

A φ-divergence function is a function ϕ:R→R∪{+∞}\phi:\mathbb R\to\mathbb R\cup\{+\infty\}ϕ:R→R∪{+∞} that is convex on [0,∞)[0,\infty)[0,∞), finite on (0,∞)(0,\infty)(0,∞), and satisfies ϕ(1)=0\phi(1)=0ϕ(1)=0; the value ϕ(0)\phi(0)ϕ(0) may be +∞+\infty+∞. Examples are ϕ(t)=tlog⁡t−t+1\phi(t)=t\log t-t+1ϕ(t)=tlogt−t+1 (Kullback–Leibler), ϕ(t)=−log⁡t+t−1\phi(t)=-\log t+t-1ϕ(t)=−logt+t−1 (Burg), ϕ(t)=(t−1)2\phi(t)=(t-1)^2ϕ(t)=(t−1)2 (modified χ²) and ϕ(t)=∣t−1∣\phi(t)=|t-1|ϕ(t)=∣t−1∣ (variation). For p,q∈Rmp,q\in\mathbb R^mp,q∈Rm with q>0q>0q>0 the φ-divergence is

Iϕ(p,q)=∑i=1mqi ϕ ⁣(piqi),I_\phi(p,q)=\sum_{i=1}^m q_i\,\phi\!\left(\frac{p_i}{q_i}\right),Iϕ​(p,q)=i=1∑m​qi​ϕ(qi​pi​​),

and the conjugate of ϕ\phiϕ is ϕ∗(s)=sup⁡t≥0{st−ϕ(t)}\phi^*(s)=\sup_{t\ge0}\{st-\phi(t)\}ϕ∗(s)=supt≥0​{st−ϕ(t)}, a function with values in R∪{+∞}\mathbb R\cup\{+\infty\}R∪{+∞}.

Fix a∈Rna\in\mathbb R^na∈Rn, B∈Rn×mB\in\mathbb R^{n\times m}B∈Rn×m with columns bib_ibi​, β∈R\beta\in\mathbb Rβ∈R, C∈Rk×mC\in\mathbb R^{k\times m}C∈Rk×m with columns cic_ici​, d∈Rkd\in\mathbb R^kd∈Rk, a nominal vector q∈Rmq\in\mathbb R^mq∈Rm and a radius ρ>0\rho>0ρ>0. The uncertainty region is

U={p∈Rm∣p≥0, Cp≤d, Iϕ(p,q)≤ρ},U=\{p\in\mathbb R^m\mid p\ge0,\ Cp\le d,\ I_\phi(p,q)\le\rho\},U={p∈Rm∣p≥0, Cp≤d, Iϕ​(p,q)≤ρ},

where the linear constraints Cp≤dCp\le dCp≤d can encode e⊤p=1e^\top p=1e⊤p=1 and any further information on ppp. A decision x∈Rnx\in\mathbb R^nx∈Rn satisfies the robust linear constraint if

(a+Bp)⊤x≤βfor all p∈U.(11)(a+Bp)^\top x\le\beta\qquad\text{for all }p\in U. \tag{11}(a+Bp)⊤x≤βfor all p∈U.(11)

Inequalities between vectors are componentwise throughout.

Formalization targets

Goal: Theorem 1

Assume q>0q>0q>0 and q∈Uq\in Uq∈U. Then xxx satisfies (11) if and only if there are η∈Rk\eta\in\mathbb R^kη∈Rk and λ∈R\lambda\in\mathbb Rλ∈R with

a⊤x+d⊤η+ρλ+λ∑iqi ϕ∗ ⁣(bi⊤x−ci⊤ηλ)≤β,η≥0, λ≥0,(13)a^\top x+d^\top\eta+\rho\lambda+\lambda\sum_{i}q_i\,\phi^*\!\left(\frac{b_i^\top x-c_i^\top\eta}{\lambda}\right)\le\beta,\qquad\eta\ge0,\ \lambda\ge0, \tag{13}a⊤x+d⊤η+ρλ+λi∑​qi​ϕ∗(λbi⊤​x−ci⊤​η​)≤β,η≥0, λ≥0,(13)

where 0ϕ∗(s/0):=00\phi^*(s/0):=00ϕ∗(s/0):=0 for s≤0s\le0s≤0 and 0ϕ∗(s/0):=+∞0\phi^*(s/0):=+\infty0ϕ∗(s/0):=+∞ for s>0s>0s>0. The statement fixes no constants and no particular φ; it holds for the whole class.

Milestones

The proof in the paper has three displayed steps, which are the milestones. With the Lagrange function L(p,λ,η)=(a+Bp)⊤x+ρλ−λIϕ(p,q)+η⊤(d−Cp)L(p,\lambda,\eta)=(a+Bp)^\top x+\rho\lambda-\lambda I_\phi(p,q)+\eta^\top(d-Cp)L(p,λ,η)=(a+Bp)⊤x+ρλ−λIϕ​(p,q)+η⊤(d−Cp) and the dual objective g(λ,η)=sup⁡p≥0L(p,λ,η)g(\lambda,\eta)=\sup_{p\ge0}L(p,\lambda,\eta)g(λ,η)=supp≥0​L(p,λ,η):

  1. Closing identity. For λ≥0\lambda\ge0λ≥0, (λϕ)∗(s)=sup⁡t≥0{st−λϕ(t)}(\lambda\phi)^*(s)=\sup_{t\ge0}\{st-\lambda\phi(t)\}(λϕ)∗(s)=supt≥0​{st−λϕ(t)} equals λϕ∗(s/λ)\lambda\phi^*(s/\lambda)λϕ∗(s/λ), with the convention above at λ=0\lambda=0λ=0.
  2. Eq. (15). For q>0q>0q>0 and λ≥0\lambda\ge0λ≥0,
g(λ,η)=a⊤x+d⊤η+ρλ+∑i=1mqi(λϕ)∗(bi⊤x−ci⊤η).g(\lambda,\eta)=a^\top x+d^\top\eta+\rho\lambda+\sum_{i=1}^m q_i(\lambda\phi)^*(b_i^\top x-c_i^\top\eta).g(λ,η)=a⊤x+d⊤η+ρλ+i=1∑m​qi​(λϕ)∗(bi⊤​x−ci⊤​η).
  1. Duality. Under the hypotheses of Theorem 1, xxx satisfies (11) if and only if g(λ,η)≤βg(\lambda,\eta)\le\betag(λ,η)≤β for some λ≥0\lambda\ge0λ≥0, η≥0\eta\ge0η≥0. This is split into the weak-duality direction and the strong-duality direction with attainment.

An additional item states Corollary 1, the specialization to U={p≥0, e⊤p=1, Iϕ(p,q)≤ρ}U=\{p\ge0,\ e^\top p=1,\ I_\phi(p,q)\le\rho\}U={p≥0, e⊤p=1, Iϕ​(p,q)≤ρ}, where the multiplier η∈R\eta\in\mathbb Rη∈R of the normalization is free in sign.

Significance

Theorem 1 turns a semi-infinite constraint, one inequality for each ppp in a convex set, into a single convex inequality in (x,λ,η)(x,\lambda,\eta)(x,λ,η). The left side of (13) is jointly convex because λϕ∗(s/λ)\lambda\phi^*(s/\lambda)λϕ∗(s/λ) is the perspective of a convex function. For the divergences of Table 4 of the paper the conjugate has a closed form, and the robust constraint becomes a linear, conic quadratic or self-concordant-barrier-representable constraint. The paper's applications (robust asset pricing, a robust newsvendor, and the tractability results of its §5) all start from this theorem, as do its Corollaries 2–5.

The theorem is proved in the paper; no machine-checked proof of it is known. Formalizing it adds a checked robust-counterpart theorem for φ-divergence regions, a reusable encoding of φ-divergences with extended values, and a strong-duality statement with attainment for convex programs whose constraint function takes the value +∞+\infty+∞ on the boundary of the orthant. It also records a correction: the paper states the theorem for q≥0q\ge0q≥0, and that version is false (see Formalization scope).

Difficulty

The separation step (15) and the conjugate identity are elementary manipulations of suprema, but in extended arithmetic: ϕ\phiϕ may be +∞+\infty+∞ at 000, the conjugate may be +∞+\infty+∞, and the case λ=0\lambda=0λ=0 follows its own convention. The central difficulty is the duality step. The worst-case problem is a convex program whose constraint Iϕ(p,q)≤ρI_\phi(p,q)\le\rhoIϕ​(p,q)≤ρ is not a finite convex function on a closed set: for the Burg or χ² divergence it is +∞+\infty+∞ on the boundary of the orthant, and UUU itself need not be closed. Textbook statements of Slater-type strong duality usually assume finite-valued convex functions on a closed domain, so they do not apply as stated. The statement also requires attainment of the dual minimum, not only the absence of a duality gap, and this is the part a naive limiting argument does not give.

Formalization scope

Conventions:

  • Vectors are Fin n → ℝ with the componentwise order; BBB and CCC are Matrix (Fin n) (Fin m) ℝ and Matrix (Fin k) (Fin m) ℝ; bib_ibi​ and cic_ici​ are the columns fun j => B j i and fun j => C j i.
  • ϕ\phiϕ is ℝ → EReal, never −∞-\infty−∞, finite on (0,∞)(0,\infty)(0,∞), with ϕ(1)=0\phi(1)=0ϕ(1)=0 and convexity on [0,∞)[0,\infty)[0,∞) written out in EReal. ϕ(0)=+∞\phi(0)=+\inftyϕ(0)=+∞ is allowed, so the Burg, χ² and J divergences are covered.
  • Iϕ(p,q)I_\phi(p,q)Iϕ​(p,q), ϕ∗\phi^*ϕ∗, (λϕ)∗(\lambda\phi)^*(λϕ)∗, LLL, ggg and the left side of (13) are EReal-valued. λϕ(t)\lambda\phi(t)λϕ(t) is the EReal product, in which 0⋅(+∞)=00\cdot(+\infty)=00⋅(+∞)=0. The term λϕ∗(s/λ)\lambda\phi^*(s/\lambda)λϕ∗(s/λ) is defined by an explicit case split at λ=0\lambda=0λ=0, and λ∑iqiϕ∗(⋅/λ)\lambda\sum_i q_i\phi^*(\cdot/\lambda)λ∑i​qi​ϕ∗(⋅/λ) in (13) is read as ∑iqi (λϕ∗(⋅/λ))\sum_i q_i\,(\lambda\phi^*(\cdot/\lambda))∑i​qi​(λϕ∗(⋅/λ)) with the convention applied term by term.
  • The paper's max⁡p≥0\max_{p\ge0}maxp≥0​ in ggg is a supremum; min⁡λ,η≥0g≤β\min_{\lambda,\eta\ge0}g\le\betaminλ,η≥0​g≤β is stated in its attained form, ∃ λ≥0,η≥0\exists\,\lambda\ge0,\eta\ge0∃λ≥0,η≥0 with g(λ,η)≤βg(\lambda,\eta)\le\betag(λ,η)≤β.
  • mmm and kkk may be 000.

Corrected slip. The paper's standing assumption is q≥0q\ge0q≥0. The third equality of (15) substitutes pi=qitp_i=q_itpi​=qi​t, which needs qi>0q_i>0qi​>0, and Theorem 1 is false for q≥0q\ge0q≥0: with m=k=2m=k=2m=k=2, n=1n=1n=1, ϕ(t)=∣t−1∣\phi(t)=|t-1|ϕ(t)=∣t−1∣, q=(1,0)q=(1,0)q=(1,0), both columns of CCC equal to (1,−1)⊤(1,-1)^\top(1,−1)⊤, d=(1,−1)d=(1,-1)d=(1,−1), a=0a=0a=0, B=(0  1)B=(0\ \ 1)B=(0  1), x=1x=1x=1, ρ=1\rho=1ρ=1, β=0\beta=0β=0, the vector p=(1/2,1/2)p=(1/2,1/2)p=(1/2,1/2) lies in UUU and violates (11), while η=0\eta=0η=0, λ=0\lambda=0λ=0 satisfy (13). Every statement of the mission therefore assumes qi>0q_i>0qi​>0 for all iii. The hypothesis q∈Uq\in Uq∈U (the paper's "such that q∈Uq\in Uq∈U") and ρ>0\rho>0ρ>0 are kept.

Ruled-out trivializations: a conjugate taken as a supremum over all t∈Rt\in\mathbb Rt∈R of a real-valued φ with junk values at t<0t<0t<0 is a different function; computing the λ=0\lambda=0λ=0 term as 0⋅ϕ∗(s/0)0\cdot\phi^*(s/0)0⋅ϕ∗(s/0) with Lean's s/0=0s/0=0s/0=0 makes it identically 000; a real-valued, everywhere finite φ silently excludes the Burg, χ² and J divergences; dropping q∈Uq\in Uq∈U or ρ>0\rho>0ρ>0 removes the Slater point and changes the theorem. The mission's definitions avoid all four.

Needed infrastructure: suprema of EReal-valued families over half-lines and orthants, the interchange of a supremum over a product with a finite sum, and a Lagrangian strong-duality theorem with attainment for a convex program with finitely many affine inequality constraints and one convex, possibly infinite-valued, inequality constraint with a Slater point in the interior of its domain. That duality theorem, and the φ-divergence definitions, are reusable beyond this mission, in particular for the paper's Corollaries 2–5 and for other distributionally robust formulations. Contributions of any of these pieces as separate theorems are welcome.

Selected references

  • A. Ben-Tal, D. den Hertog, A. De Waegenaere, B. Melenberg, G. Rennen, Robust Solutions of Optimization Problems Affected by Uncertain Probabilities, Management Science 59(2):341–357, 2013. https://doi.org/10.1287/mnsc.1120.1641
  • L. Pardo, Statistical Inference Based on Divergence Measures, Chapman & Hall/CRC, 2006. https://doi.org/10.1201/9781420034813
  • A. Ben-Tal, L. El Ghaoui, A. Nemirovski, Robust Optimization, Princeton University Press, 2009. https://doi.org/10.1515/9781400831050
  • R. T. Rockafellar, Convex Analysis, Princeton University Press, 1970. https://doi.org/10.1515/9781400873173
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Robust Solutions of Optimization Problems Affected by Uncertain Probabilities II: A Self-Concordant Barrier for the Perspective ConstraintResearch Paper

Motivation

Robust optimization protects a decision against every scenario in an uncertainty set. When the uncertain data are probabilities, a natural uncertainty set is a ball around a nominal distribution measured by a φ-divergence (Kullback–Leibler, Burg entropy, χ², Hellinger and others). Ben-Tal, den Hertog, De Waegenaere, Melenberg and Rennen (Management Science 59(2), 2013) show that the robust counterpart of a linear constraint over such a set is a finite convex system, and then ask whether that system is computationally tractable: can an interior-point method solve it in polynomial time?

For the Burg and Kullback–Leibler divergences the reformulated constraints (Eqs. (29) and (32) of the paper) have the shape λf(si/λ)≤…\lambda f(s_i/\lambda)\le\dotsλf(si​/λ)≤…, a perspective constraint. Polynomial-time solvability by interior-point methods follows once the constraint set carries a self-concordant barrier in the sense of Nesterov and Nemirovski (Interior-Point Polynomial Algorithms in Convex Programming, SIAM 1994). Theorem 2 of the paper supplies such a barrier for every perspective constraint whose generating function satisfies a one-dimensional differential inequality. The same question arises for perspective and relative-entropy cones in conic optimization generally, so the criterion is of interest beyond φ-divergences.

Setting

A function φ:F→R\varphi:F\to\mathbb Rφ:F→R on an open convex set F⊆RnF\subseteq\mathbb R^nF⊆Rn is κ\kappaκ-self-concordant (κ≥0\kappa\ge0κ≥0) if it is three times continuously differentiable on FFF and for every y∈Fy\in Fy∈F and every direction h∈Rnh\in\mathbb R^nh∈Rn

∣∇3φ(y)[h,h,h]∣≤2κ (hT∇2φ(y)h)3/2,\bigl|\nabla^3\varphi(y)[h,h,h]\bigr|\le 2\kappa\,\bigl(h^{\mathsf T}\nabla^2\varphi(y)h\bigr)^{3/2},​∇3φ(y)[h,h,h]​≤2κ(hT∇2φ(y)h)3/2,

where ∇kφ(y)[h,…,h]\nabla^k\varphi(y)[h,\dots,h]∇kφ(y)[h,…,h] is the kkk-th differential of φ\varphiφ at yyy in direction hhh (Definition 1, p. 350). In Lean this is PhiDivRobust.Barrier.IsSelfConcordant κ F φ.

Let fff be a real function on (0,∞)(0,\infty)(0,∞). Its perspective is g(s,y)=y f(s/y)g(s,y)=y\,f(s/y)g(s,y)=yf(s/y) for s,y>0s,y>0s,y>0 (perspective f). The constraint set (34) is

{(s,y,z): yf(s/y)≤z, s≥0, y≥0},\{(s,y,z):\ y f(s/y)\le z,\ s\ge0,\ y\ge0\},{(s,y,z): yf(s/y)≤z, s≥0, y≥0},

and its logarithmic barrier (35) is

φB(s,y,z)=−ln⁡(z−yf(s/y))−ln⁡s−ln⁡y\varphi_B(s,y,z)=-\ln\bigl(z-yf(s/y)\bigr)-\ln s-\ln yφB​(s,y,z)=−ln(z−yf(s/y))−lns−lny

(logBarrier f), finite on the open set Ff={(s,y,z):s>0, y>0, yf(s/y)<z}F_f=\{(s,y,z): s>0,\ y>0,\ yf(s/y)<z\}Ff​={(s,y,z):s>0, y>0, yf(s/y)<z} (barrierDomain f). Directions are h=(h1,h2)h=(h_1,h_2)h=(h1​,h2​) for ggg, with h1h_1h1​ along sss and h2h_2h2​ along yyy, and h∈R3h\in\mathbb R^3h∈R3 for φB\varphi_BφB​.

Formalization targets

Goal: Theorem 2 (p. 350)

If fff is convex on (0,∞)(0,\infty)(0,∞) and, for some κ>0\kappa>0κ>0,

∣f′′′(s)∣≤κ f′′(s)s(s>0),(33)|f'''(s)|\le\kappa\,\frac{f''(s)}{s}\qquad(s>0),\tag{33}∣f′′′(s)∣≤κsf′′(s)​(s>0),(33)

then φB\varphi_BφB​ is (2+23κ)\bigl(2+\tfrac{\sqrt2}{3}\kappa\bigr)(2+32​​κ)-self-concordant on FfF_fFf​.

Milestones (the displayed steps of the proof)

  1. Eq. (37): ∇2g(s,y)[h,h]=f′′(s/y)(h12/y−2sh1h2/y2+s2h22/y3)\nabla^2 g(s,y)[h,h]=f''(s/y)\bigl(h_1^2/y-2sh_1h_2/y^2+s^2h_2^2/y^3\bigr)∇2g(s,y)[h,h]=f′′(s/y)(h12​/y−2sh1​h2​/y2+s2h22​/y3).
  2. The third differential of ggg in terms of f′′(s/y)f''(s/y)f′′(s/y) and f′′′(s/y)f'''(s/y)f′′′(s/y).
  3. Under (33), inequality (36) with β=3+κ2\beta=3+\kappa\sqrt2β=3+κ2​:
∣∇3g(s,y)[h,h,h]∣≤β hT∇2g(s,y)h h12/s2+h22/y2.\bigl|\nabla^3 g(s,y)[h,h,h]\bigr|\le\beta\,h^{\mathsf T}\nabla^2 g(s,y)h\,\sqrt{h_1^2/s^2+h_2^2/y^2}.​∇3g(s,y)[h,h,h]​≤βhT∇2g(s,y)hh12​/s2+h22​/y2​.
  1. Lemma A.2 of den Hertog (1994), as quoted in the proof: if (36) holds with β≥0\beta\ge0β≥0, then φB\varphi_BφB​ is (1+β/3)(1+\beta/3)(1+β/3)-self-concordant on FfF_fFf​.

Milestones 3 and 4 give the goal, since 1+13(3+κ2)=2+23κ1+\tfrac13(3+\kappa\sqrt2)=2+\tfrac{\sqrt2}{3}\kappa1+31​(3+κ2​)=2+32​​κ. A further item records the paper's application: f(s)=−log⁡sf(s)=-\log sf(s)=−logs (the Burg case) satisfies (33) with κ=2\kappa=2κ=2.

Significance

The result. Theorem 2 turns a two-line calculus check on a scalar function into a certificate of polynomial-time solvability for a three-dimensional convex constraint. The paper uses it to conclude that the robust counterparts for the Burg entropy and Kullback–Leibler uncertainty sets are tractable, and the criterion applies to any other convex fff satisfying (33); for example f(s)=slog⁡sf(s)=s\log sf(s)=slogs satisfies it with κ=1\kappa=1κ=1, which covers the relative-entropy cone. The constant 2+23κ2+\tfrac{\sqrt2}{3}\kappa2+32​​κ enters the complexity bound of any path-following method through the barrier parameter.

Formalizing it. The theorem is proved in the paper, but the decisive step is delegated to Lemma A.2 of den Hertog's monograph, which in turn belongs to the compatibility theory of Nesterov and Nemirovski. As far as is known none of these statements has a machine-checked proof. The mission produces a checked version of the compatibility lemma for perspective constraints, which is reusable for any barrier of the form −ln⁡(z−g)−ln⁡s−ln⁡y-\ln(z-g)-\ln s-\ln y−ln(z−g)−lns−lny, together with explicit second- and third-differential formulas for perspectives in Mathlib's iteratedFDeriv language. The printed third-differential display contains a typo (see below); the formal statements fix it.

Difficulty

The differential identities (milestones 1 and 2) are routine but heavy: they require computing iterated Fréchet derivatives of a composition with a quotient in two variables and matching them with one-variable iterated derivatives of fff. The inequality (milestone 3) is elementary real-variable algebra once the differentials are available.

The central difficulty is den Hertog's lemma. The obvious approach, bounding the three terms of ∇3φB\nabla^3\varphi_B∇3φB​ separately against (∇2φB)3/2(\nabla^2\varphi_B)^{3/2}(∇2φB​)3/2, fails: the cross term −3 (∇ω⋅h) ∇2g[h,h]/ω2-3\,(\nabla\omega\cdot h)\,\nabla^2 g[h,h]/\omega^2−3(∇ω⋅h)∇2g[h,h]/ω2 with ω=z−g\omega=z-gω=z−g couples the first and second differentials, and bounding it separately loses the constant 1+β/31+\beta/31+β/3. A further practical difficulty is that FfF_fFf​ is open and convex only because the perspective of a convex function is jointly convex and continuous, which must itself be established.

Formalization scope

Points are (s,y,z)∈R×R×R(s,y,z)\in\mathbb R\times\mathbb R\times\mathbb R(s,y,z)∈R×R×R and directions for ggg are in R×R\mathbb R\times\mathbb RR×R. Differentials are iteratedFDeriv ℝ k applied to the constant tuple (h,…,h)(h,\dots,h)(h,…,h); f′′f''f′′ and f′′′f'''f′′′ are iteratedDeriv 2 f and iteratedDeriv 3 f. The power x3/2x^{3/2}x3/2 is Real.rpow, which is 000 for x<0x<0x<0; this makes the Lean definition of self-concordance no weaker than the paper's. Real.log and division have junk values outside FfF_fFf​, but FfF_fFf​ is open, so no differential at a point of FfF_fFf​ sees them.

Committed conventions and disclosed deviations:

  • "f:R+→Rf:\mathbb R^+\to\mathbb Rf:R+→R" is read as fff convex on the open half-line (0,∞)(0,\infty)(0,∞); the Burg case f=−log⁡f=-\logf=−log is undefined at 000, and fff is only evaluated at s/ys/ys/y with s,y>0s,y>0s,y>0.
  • fff is assumed C3C^3C3 on (0,∞)(0,\infty)(0,∞). The page does not say so, but (33) uses f′′′f'''f′′′ and Definition 1 requires the barrier to be C3C^3C3.
  • The printed third-differential display ends in s3hx3/y5s^3h_x^3/y^5s3hx3​/y5; the correct term is s3h23/y5s^3h_2^3/y^5s3h23​/y5, and the Lean statement uses it. The milestone text keeps the printed version.
  • Lemma A.2 is stated with β≥0\beta\ge0β≥0 added. The quoted text says "if there exists a β\betaβ", which is false for β<0\beta<0β<0: with f≡0f\equiv0f≡0, (36) holds for every β\betaβ and β=−3\beta=-3β=−3 would give a 000-self-concordant −ln⁡z−ln⁡s−ln⁡y-\ln z-\ln s-\ln y−lnz−lns−lny. The goal uses β=3+κ2>0\beta=3+\kappa\sqrt2>0β=3+κ2​>0 and is unaffected.

A trivializing formalization is excluded. The self-concordance predicate requires C3C^3C3 regularity and quantifies over all directions h∈R3h\in\mathbb R^3h∈R3, the domain is exactly FfF_fFf​ (not a subset such as ∅\emptyset∅), and κ>0\kappa>0κ>0 is as printed. The constant of the conclusion is tied to the same κ\kappaκ as in (33).

Useful infrastructure, reusable beyond this mission: iterated derivatives of perspectives, joint convexity of perspectives, and the calculus of self-concordance (sums, −ln⁡-\ln−ln of a concave function composed with an affine map). Proofs of the milestones independently of the goal are welcome, as are proofs of the Burg item's consequence and of the analogous statement for f(s)=slog⁡sf(s)=s\log sf(s)=slogs.

Selected references

  • A. Ben-Tal, D. den Hertog, A. De Waegenaere, B. Melenberg, G. Rennen, Robust Solutions of Optimization Problems Affected by Uncertain Probabilities, Management Science 59(2):341–357, 2013. https://doi.org/10.1287/mnsc.1120.1641
  • D. den Hertog, Interior Point Approach to Linear, Quadratic and Convex Programming: Algorithms and Complexity, Kluwer Academic Publishers, 1994. https://doi.org/10.1007/978-94-011-1134-8
  • Yu. Nesterov, A. Nemirovskii, Interior-Point Polynomial Algorithms in Convex Programming, SIAM Studies in Applied Mathematics 13, 1994. https://doi.org/10.1137/1.9781611970791
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Robust Mean-Covariance Solutions for Stochastic Optimization I: The General Projection Property of Mean-Covariance Distribution ClassesResearch Paper

Motivation

In robust stochastic optimization a decision maker chooses a decision xxx whose outcome depends on a random vector R\mathbf RR, but knows only the first two moments of R\mathbf RR: its mean vector μ\muμ and its covariance matrix Σ\SigmaΣ. The decision is evaluated by its worst-case expected utility over every distribution consistent with those moments. This model is standard in portfolio selection, where estimated means and covariances are the usual inputs, and in pricing and inventory problems with mean-variance information. It goes back to Scarf's min-max newsvendor (1958) and the Chebyshev-type moment bounds of Bertsimas and Popescu (2005).

For a linear outcome x′Rx'\mathbf Rx′R, such as the return of a portfolio with weights xxx, the robust objective is

U(x)=min⁡R∼(μ,Σ)E[u(x′R)],U(x) = \min_{\mathbf R \sim (\mu,\Sigma)} E[u(x'\mathbf R)],U(x)=R∼(μ,Σ)min​E[u(x′R)],

an optimization over an infinite-dimensional set of nnn-variate distributions. Popescu (2007) showed that this problem depends on μ\muμ and Σ\SigmaΣ only through the scalar mean μx=x′μ\mu_x = x'\muμx​=x′μ and variance σx2=x′Σx\sigma_x^2 = x'\Sigma xσx2​=x′Σx. The multivariate robust problem then reduces to a univariate moment problem, and for many utilities to a parametric quadratic program. The reduction rests on one structural fact, the general projection property, which this mission formalizes.

Setting

Fix a dimension nnn. A law on Rn\mathbb R^nRn is a Borel probability measure on Rn\mathbb R^nRn. For a vector μ∈Rn\mu \in \mathbb R^nμ∈Rn and a real n×nn\times nn×n matrix Σ\SigmaΣ, the mean-covariance class M(μ,Σ)n\mathbb M^n_{(\mu,\Sigma)}M(μ,Σ)n​ is the set of laws PPP under which every coordinate RiR_iRi​ has a finite second moment and

∫Ri dP(R)=μi,∫(Ri−μi)(Rj−μj) dP(R)=Σij(1≤i,j≤n).\int R_i\,dP(R) = \mu_i, \qquad \int (R_i-\mu_i)(R_j-\mu_j)\,dP(R) = \Sigma_{ij} \qquad (1\le i,j\le n).∫Ri​dP(R)=μi​,∫(Ri​−μi​)(Rj​−μj​)dP(R)=Σij​(1≤i,j≤n).

Writing R∼(μ,Σ)\mathbf R \sim (\mu,\Sigma)R∼(μ,Σ) means that the law of R\mathbf RR lies in M(μ,Σ)n\mathbb M^n_{(\mu,\Sigma)}M(μ,Σ)n​. For n=1n=1n=1 the superscript is dropped: for real mmm and vvv, M(m,v)\mathbb M_{(m,v)}M(m,v)​ is the set of laws on R\mathbb RR with finite second moment, mean mmm and variance vvv.

For a vector x∈Rnx \in \mathbb R^nx∈Rn, the xxx-projection sends the law PPP of R\mathbf RR to the law of the scalar r=x′R\mathbf r = x'\mathbf Rr=x′R, that is, to the pushforward of PPP under R↦x′RR \mapsto x'RR↦x′R. Write μx=x′μ\mu_x = x'\muμx​=x′μ and σx2=x′Σx\sigma_x^2 = x'\Sigma xσx2​=x′Σx. The matrix Σ\SigmaΣ is positive semidefinite, Σ⪰0\Sigma \succeq 0Σ⪰0, when x′Σx≥0x'\Sigma x \ge 0x′Σx≥0 for all xxx (and Σ\SigmaΣ is symmetric); Σ1/2\Sigma^{1/2}Σ1/2 denotes its positive semidefinite square root.

Formalization targets

Goal: Theorem 1 (General Projection Property)

For every μ∈Rn\mu \in \mathbb R^nμ∈Rn, every Σ⪰0\Sigma \succeq 0Σ⪰0 and every nonzero x∈Rnx \in \mathbb R^nx∈Rn, the xxx-projection maps M(μ,Σ)n\mathbb M^n_{(\mu,\Sigma)}M(μ,Σ)n​ into and onto M(μx,σx2)\mathbb M_{(\mu_x,\sigma_x^2)}M(μx​,σx2​)​:

{ law of x′R  :  R∼(μ,Σ)}  =  M(x′μ,  x′Σx).\bigl\{\, \text{law of } x'\mathbf R \;:\; \mathbf R \sim (\mu,\Sigma) \bigr\} \;=\; \mathbb M_{(x'\mu,\; x'\Sigma x)}.{law of x′R:R∼(μ,Σ)}=M(x′μ,x′Σx)​.

The "into" half says every projected law has the right mean and variance. The "onto" half says that every univariate law with mean μx\mu_xμx​ and variance σx2\sigma_x^2σx2​, however heavy-tailed or irregular, is the law of x′Rx'\mathbf Rx′R for some R∼(μ,Σ)\mathbf R \sim (\mu,\Sigma)R∼(μ,Σ). The degenerate case x′Σx=0x'\Sigma x = 0x′Σx=0 is included.

Milestones

  1. The into half (§2.1, justification of (4)): x′Rx'\mathbf Rx′R has mean x′μx'\mux′μ and variance x′Σxx'\Sigma xx′Σx.
  2. The degenerate case: if x′Σx=0x'\Sigma x = 0x′Σx=0 then x′R=x′μx'\mathbf R = x'\mux′R=x′μ almost surely.
  3. Standardization: if r∼(m,v)\mathbf r \sim (m, v)r∼(m,v) with v>0v > 0v>0, then v−1/2(r−m)∼(0,1)v^{-1/2}(\mathbf r - m) \sim (0,1)v−1/2(r−m)∼(0,1).
  4. Normalization: for x′Σx>0x'\Sigma x > 0x′Σx>0, the vector y=(x′Σx)−1/2Σ1/2xy = (x'\Sigma x)^{-1/2}\Sigma^{1/2}xy=(x′Σx)−1/2Σ1/2x satisfies y′y=1y'y = 1y′y=1.
  5. Isotropic lift: if y′y=1y'y = 1y′y=1 and z∼(0,1)\mathbf z \sim (0,1)z∼(0,1), there is Z∼(0,In)\mathbf Z \sim (0, I_n)Z∼(0,In​) with y′Zy'\mathbf Zy′Z distributed as z\mathbf zz.
  6. Affine image: if Z∼(0,In)\mathbf Z \sim (0,I_n)Z∼(0,In​) then μ+Σ1/2Z∼(μ,Σ)\mu + \Sigma^{1/2}\mathbf Z \sim (\mu,\Sigma)μ+Σ1/2Z∼(μ,Σ), and x′(μ+Σ1/2Z)=x′μ+(x′Σx)1/2 y′Zx'(\mu + \Sigma^{1/2}Z) = x'\mu + (x'\Sigma x)^{1/2}\,y'Zx′(μ+Σ1/2Z)=x′μ+(x′Σx)1/2y′Z for every ZZZ.

Significance

The result. Theorem 1 immediately yields Proposition 1 of the paper: for every objective uuu,

min⁡R∼(μ,Σ)E[u(x′R)]=min⁡r∼(μx,σx2)E[u(r)],\min_{\mathbf R\sim(\mu,\Sigma)} E[u(x'\mathbf R)] = \min_{\mathbf r\sim(\mu_x,\sigma_x^2)} E[u(\mathbf r)],R∼(μ,Σ)min​E[u(x′R)]=r∼(μx​,σx2​)min​E[u(r)],

with minima in the wide sense of infima. The robust objective is therefore a function of (μx,σx)(\mu_x, \sigma_x)(μx​,σx​) alone, which makes every robust mean-covariance problem with a linear outcome a bicriteria mean-variance problem. The paper's later results use this: the two-point and one-point support properties, the parametric quadratic programming solution, and the portfolio applications (bonus schemes, value at risk). The projection property holds with no assumption on uuu, so it serves non-concave, discontinuous and quantile-based objectives alike.

Formalizing it. The theorem is proved in the paper; no machine-checked version is known. The mission produces a formal definition of mean-covariance classes that treats integrability honestly, a proof of the projection property, and through it a formally verified reduction of multivariate moment-robust problems to univariate ones. The paper's own construction of the lifted vector has a gap (see Difficulty), so a formal proof also records a corrected argument.

Difficulty

The into half is a computation with linearity of expectation. The difficulty is entirely in the onto half. Given an arbitrary univariate law with prescribed mean and variance, one must build an nnn-variate law with a prescribed full covariance matrix whose one-dimensional marginal in direction xxx is exactly the given law. This is a coupling problem: the obvious approach, taking independent coordinates, fixes the marginal in direction xxx as a convolution and cannot reproduce an arbitrary target. Taking R\mathbf RR supported on the line through μ\muμ in a single direction reproduces the target law but has a rank-one covariance and fails whenever Σ\SigmaΣ has rank above one.

The paper's appendix constructs the lift through conditional distributions of the remaining coordinates given the projected one. As printed, the conditional second-moment requirement it imposes cannot hold for unbounded targets, so that argument does not go through verbatim. The milestone for the lift states only the claim, not the printed construction.

The integrability bookkeeping is real work: every intermediate law must be shown to have finite second moments before its moments can be computed.

Formalization scope

  • Rn\mathbb R^nRn is EuclideanSpace ℝ (Fin n) with its Borel σ-algebra; x′Rx'Rx′R is the inner product ⟨x,R⟩\langle x, R\rangle⟨x,R⟩; x′Σxx'\Sigma xx′Σx is x.ofLp ⬝ᵥ S *ᵥ x.ofLp, where the matrix Σ\SigmaΣ is named S (the symbol Σ is reserved in Lean).
  • Laws are probability measures. Both classes require finite second moments (MemLp … 2), so that means and covariances are genuine integrals, not the default value 000 that Lean assigns to non-integrable functions. The univariate class is parametrized by the variance v=σ2v = \sigma^2v=σ2, not by σ\sigmaσ.
  • The projection is the pushforward P.map (fun R => ⟪x, R⟫) under a continuous map. "Pathwise" identities in the paper become equalities of pushforward laws, or pointwise algebraic identities.
  • Σ1/2\Sigma^{1/2}Σ1/2 is CFC.sqrt S, acting through Matrix.toEuclideanCLM, as in Mathlib's multivariateGaussian.
  • The goal is stated as Set.MapsTo ∧ Set.SurjOn with both classes explicit. Its only hypotheses are Σ⪰0\Sigma \succeq 0Σ⪰0 and x≠0x \ne 0x=0, as in the paper. No bound on nnn, no invertibility of Σ\SigmaΣ and no positivity of x′Σxx'\Sigma xx′Σx is assumed. Restricting the target to Gaussian, bounded or finitely supported laws, or dropping the finite-second-moment clause (which would admit Cauchy laws as "mean 0, variance 0"), would trivialize or change the theorem and is ruled out.
  • Milestones 3, 4 and 6 assume x′Σx>0x'\Sigma x > 0x′Σx>0 (or v>0v > 0v>0), the case the proof treats after its first sentence; milestone 2 covers the complementary case.

Needed infrastructure: moments of pushforwards under linear and affine maps, a covariance calculus for coordinates of random vectors, and a coupling that realizes the isotropic lift. Mathlib's multivariateGaussian, stdGaussian and CFC.sqrt are available. A reusable lemma "the covariance of AZ+bA\mathbf Z + bAZ+b is A Cov(Z)A′A\,\mathrm{Cov}(\mathbf Z)A'ACov(Z)A′" would serve beyond this mission. Related platform work on moment-based ambiguity sets: Wasserstein Distributionally Robust Optimization II. Contributions of any milestone, and alternative proofs of the lift, are welcome.

Selected references

  • I. Popescu, Robust Mean-Covariance Solutions for Stochastic Optimization, Operations Research 55(1):98–112, 2007. https://doi.org/10.1287/opre.1060.0353
  • D. Bertsimas, I. Popescu, Optimal Inequalities in Probability Theory: A Convex Optimization Approach, SIAM Journal on Optimization 15(3):780–804, 2005. https://doi.org/10.1137/S1052623401399903
  • H. Scarf, A Min-Max Solution of an Inventory Problem, in Studies in the Mathematical Theory of Inventory and Production, Stanford University Press, 1958.
  • W. W. Rogosinski, Moments of Non-Negative Mass, Proceedings of the Royal Society A 245:1–27, 1958. https://doi.org/10.1098/rspa.1958.0062
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Robust Mean-Covariance Solutions for Stochastic Optimization II: An Inverse S-Shaped Derivative with Finite Limits Gives the Two-Point Support PropertyResearch Paper

Motivation

In stochastic optimization the law of a random return rrr is rarely known exactly, while its mean and variance can be estimated. A robust mean-covariance decision maker therefore evaluates a utility uuu by its worst case

U=inf⁡{ Eν[u(r)]:ν a law on R with mean μ and variance σ2 }.U=\inf\{\,E_\nu[u(r)] : \nu \text{ a law on } \mathbb R \text{ with mean } \mu \text{ and variance } \sigma^2\,\}.U=inf{Eν​[u(r)]:ν a law on R with mean μ and variance σ2}.

Popescu (Operations Research 55(1), 2007) shows that for large classes of utilities this infinite-dimensional problem collapses to a one-dimensional one. The paper projects multivariate problems to a single dimension (the subject of the first mission of this series) and then asks for which uuu the univariate worst case sits on laws with two support points. This mission formalizes the answer the paper gives for utilities whose marginal utility u′u'u′ is decreasing and changes curvature once, with finite limits: log-logistic utilities C+log⁡11+e−axC+\log\frac{1}{1+e^{-ax}}C+log1+e−ax1​ used in statistics and classification, and catenary-type utilities C−bcosh⁡(ax)C-b\cosh(ax)C−bcosh(ax), each plus a concave quadratic.

The result has a bounded-support precursor: Birge and Dulá (Annals of Operations Research 30, 1991, Theorem 5.1, as cited on p. 102 of Popescu 2007) proved an analogous two-point statement for functions on a bounded interval. Popescu's Proposition 5 is the unbounded version on the whole real line.

Setting

Let u:R→Ru:\mathbb R\to\mathbb Ru:R→R.

  • The family Q\mathcal QQ collects the coefficient triples of quadratics lying below uuu: Q={(A,B,C)∣q(y)=Ay2+By+C≤u(y) ∀y∈R}\mathcal Q=\{(A,B,C) \mid q(y)=Ay^2+By+C\le u(y)\ \forall y\in\mathbb R\}Q={(A,B,C)∣q(y)=Ay2+By+C≤u(y) ∀y∈R}.
  • A two-point law with support {a,b}\{a,b\}{a,b}, a<ba<ba<b, puts mass p∈(0,1)p\in(0,1)p∈(0,1) on aaa and 1−p1-p1−p on bbb. It has mean μ\muμ and variance σ2\sigma^2σ2 when pa+(1−p)b=μpa+(1-p)b=\mupa+(1−p)b=μ and p(a−μ)2+(1−p)(b−μ)2=σ2p(a-\mu)^2+(1-p)(b-\mu)^2=\sigma^2p(a−μ)2+(1−p)(b−μ)2=σ2.
  • Two-point support property (Definition 1). uuu has it with respect to (μ,σ2)(\mu,\sigma^2)(μ,σ2) if some quadratic qqq with coefficients in Q\mathcal QQ meets uuu at two points a<ba<ba<b, i.e. q(a)=u(a)q(a)=u(a)q(a)=u(a), q(b)=u(b)q(b)=u(b)q(b)=u(b), and a two-point law with support {a,b}\{a,b\}{a,b}, mean μ\muμ and variance σ2\sigma^2σ2 exists. uuu has the two-point support property if this holds for every μ∈R\mu\in\mathbb Rμ∈R and every σ>0\sigma>0σ>0.
  • Shapes (Definition 2). f:R→Rf:\mathbb R\to\mathbb Rf:R→R is convex-concave if for some x0x_0x0​ it is convex on (−∞,x0)(-\infty,x_0)(−∞,x0​) and concave on (x0,∞)(x_0,\infty)(x0​,∞); concave-convex if −f-f−f is convex-concave; S-shaped if increasing and convex-concave; inverse S-shaped if −f-f−f is S-shaped. So an inverse S-shaped fff is decreasing, concave on (−∞,x0)(-\infty,x_0)(−∞,x0​) and convex on (x0,∞)(x_0,\infty)(x0​,∞).
  • Lemma 1's quadratic. For a<ba<ba<b and slopes qa,qbq_a,q_bqa​,qb​, set
A=qb−qa2(b−a),B=bqa−aqbb−a,C=bu(a)−au(b)b−a−ab qa−qb2(b−a),A=\frac{q_b-q_a}{2(b-a)},\quad B=\frac{bq_a-aq_b}{b-a},\quad C=\frac{bu(a)-au(b)}{b-a}-ab\,\frac{q_a-q_b}{2(b-a)},A=2(b−a)qb​−qa​​,B=b−abqa​−aqb​​,C=b−abu(a)−au(b)​−ab2(b−a)qa​−qb​​,

and q(y)=Ay2+By+Cq(y)=Ay^2+By+Cq(y)=Ay2+By+C (lemma1Quad).

  • The function ggg. For μ∈R\mu\in\mathbb Rμ∈R, σ>0\sigma>0σ>0 and y<μy<\muy<μ let z=μ+σ2/(μ−y)z=\mu+\sigma^2/(\mu-y)z=μ+σ2/(μ−y) (partnerPoint) and g(y)=u(z)−u(y)z−y−u′(y)+u′(z)2g(y)=\frac{u(z)-u(y)}{z-y}-\frac{u'(y)+u'(z)}{2}g(y)=z−yu(z)−u(y)​−2u′(y)+u′(z)​ (prop5Gap).

Formalization targets

Goal: Proposition 5 (p. 102)

If uuu is differentiable, u′u'u′ is inverse S-shaped, and the limits lim⁡y→−∞u′(y)\lim_{y\to-\infty}u'(y)limy→−∞​u′(y) and lim⁡y→+∞u′(y)\lim_{y\to+\infty}u'(y)limy→+∞​u′(y) exist and are finite, then

u satisfies the two-point support property.u \text{ satisfies the two-point support property.}u satisfies the two-point support property.

Milestones

  1. Proof of Lemma 1, first sentence. If a<ba<ba<b and u(b)−u(a)b−a=qa+qb2\frac{u(b)-u(a)}{b-a}=\frac{q_a+q_b}{2}b−au(b)−u(a)​=2qa​+qb​​, then q(a)=u(a)q(a)=u(a)q(a)=u(a) and q(b)=u(b)q(b)=u(b)q(b)=u(b).
  2. Tangency (p. 110). q′(a)=qaq'(a)=q_aq′(a)=qa​ and q′(b)=qbq'(b)=q_bq′(b)=qb​.
  3. Lemma 1. uuu has two-point support if and only if for all μ\muμ and σ>0\sigma>0σ>0 there are a<ba<ba<b and qa,qbq_a,q_bqa​,qb​ with
(b−μ)(μ−a)=σ2,u(b)−u(a)b−a=qa+qb2,q≤u on R.(b-\mu)(\mu-a)=\sigma^2,\qquad \frac{u(b)-u(a)}{b-a}=\frac{q_a+q_b}{2},\qquad q\le u \text{ on } \mathbb R.(b−μ)(μ−a)=σ2,b−au(b)−u(a)​=2qa​+qb​​,q≤u on R.
  1. Limits of ggg (p. 110). Under the goal's hypotheses, with ℓ±=lim⁡y→±∞u′(y)\ell_\pm=\lim_{y\to\pm\infty}u'(y)ℓ±​=limy→±∞​u′(y),
lim⁡y→−∞g(y)=ℓ−−u′(μ)2>0,lim⁡y→μ−g(y)=ℓ+−u′(μ)2<0.\lim_{y\to-\infty}g(y)=\frac{\ell_--u'(\mu)}{2}>0,\qquad \lim_{y\to\mu^-}g(y)=\frac{\ell_+-u'(\mu)}{2}<0 .y→−∞lim​g(y)=2ℓ−​−u′(μ)​>0,y→μ−lim​g(y)=2ℓ+​−u′(μ)​<0.
  1. A zero of ggg (p. 110). There is a<μa<\mua<μ with g(a)=0g(a)=0g(a)=0; with b=μ+σ2/(μ−a)b=\mu+\sigma^2/(\mu-a)b=μ+σ2/(μ−a) one has a<ba<ba<b, (b−μ)(μ−a)=σ2(b-\mu)(\mu-a)=\sigma^2(b−μ)(μ−a)=σ2 and u(b)−u(a)b−a=u′(a)+u′(b)2\frac{u(b)-u(a)}{b-a}=\frac{u'(a)+u'(b)}{2}b−au(b)−u(a)​=2u′(a)+u′(b)​.

Significance

The result. Through the paper's Proposition 4, two-point support turns the worst-case expected utility over all laws with mean μ\muμ and variance σ2\sigma^2σ2 into a minimization over a single parameter p∈(0,1)p\in(0,1)p∈(0,1) of pu(μ+(1−p)/p σ)+(1−p)u(μ−p/(1−p) σ)pu(\mu+\sqrt{(1-p)/p}\,\sigma)+(1-p)u(\mu-\sqrt{p/(1-p)}\,\sigma)pu(μ+(1−p)/p​σ)+(1−p)u(μ−p/(1−p)​σ). Combined with the projection property of the paper's Section 2, this gives tractable robust counterparts of multivariate stochastic programs whose objective depends on a linear combination x′Rx'Rx′R of random returns. Proposition 5 is the paper's sufficient condition that places a concrete class of utilities in this regime; it is also closed under adding any quadratic.

Formalizing it. The result is proved on paper; no machine-checked version is known. The formalization produces a checked characterization of two-point support (Lemma 1), a reusable encoding of convex-concave and S-shaped functions, and a proof of Proposition 5. The printed final step of the paper's proof is incomplete (see Difficulty), so a complete formal proof requires an argument the paper does not spell out.

Difficulty

Conditions (a) and (b) of Lemma 1 come from a sign change of ggg on (−∞,μ)(-\infty,\mu)(−∞,μ): the two limits in milestone 4 need a l'Hôpital-type argument and the continuity of a monotone derivative. The central difficulty is condition (c): showing that the quadratic built from a pair (a,b)(a,b)(a,b) lies below uuu on the whole line. The obvious argument takes any zero aaa of ggg and counts the intersections of the linear q′q'q′ with the inverse S-shaped u′u'u′. This fails when u′u'u′ is affine on an interval: a zero of ggg can then produce a quadratic that coincides with uuu on [a,b][a,b][a,b] but crosses above uuu just left of aaa. A proof must therefore choose the zero of ggg, or the pair (a,b)(a,b)(a,b), with care, and the curvature hypotheses are not strict.

Formalization scope

  • Functions are ℝ → ℝ; u′u'u′ is deriv u, and the goal assumes Differentiable ℝ u. Finite limits are Tendsto (deriv u) atBot (𝓝 l) and Tendsto (deriv u) atTop (𝓝 l) for some real l; the one-sided limit at μ\muμ is along 𝓝[<] μ.
  • "Increasing" in Definition 2 is strict (StrictMono); the paper writes "nondecreasing" for the weak notion. Convexity and concavity are ConvexOn/ConcaveOn on the open half-lines Set.Iio x₀, Set.Ioi x₀, as printed.
  • A two-point law is encoded by its mass p∈(0,1)p\in(0,1)p∈(0,1) on aaa, with a<ba<ba<b; this is equivalent to a probability measure on R\mathbb RR with support {a,b}\{a,b\}{a,b}, mean μ\muμ and variance σ2\sigma^2σ2.
  • "Intersects it at two points a,ba,ba,b" is read as q(a)=u(a)q(a)=u(a)q(a)=u(a) and q(b)=u(b)q(b)=u(b)q(b)=u(b) for some a<ba<ba<b (at least two contact points). This is the reading under which Lemma 1 is an equivalence.
  • The two-point support property quantifies over σ>0\sigma>0σ>0: no two-point law has variance 000, so including σ=0\sigma=0σ=0 would make the property false for every uuu.
  • The two-point support property is defined from Definition 1 (supporting quadratic plus feasible law), not from Lemma 1's conditions, so Lemma 1 is not a tautology. Every division by b−ab-ab−a, z−yz-yz−y or μ−y\mu-yμ−y occurs under a<ba<ba<b or y<μy<\muy<μ.

Useful infrastructure: l'Hôpital's rule at infinity (Analysis/Calculus/LHopital), Darboux's theorem for derivatives, the intermediate value theorem, and one-sided limits of monotone functions. The shape definitions of Definition 2 are reusable for S-shaped value functions elsewhere (prospect theory, sigmoidal utilities). Proofs of the milestones, of the goal, and alternative arguments for condition (c) are all welcome. Related platform work: Wasserstein Distributionally Robust Optimization II.

Selected references

  • I. Popescu, Robust Mean-Covariance Solutions for Stochastic Optimization, Operations Research 55(1):98–112, 2007. https://doi.org/10.1287/opre.1060.0353
  • J. R. Birge, J. H. Dulá, Bounding separable recourse functions with limited distribution information, Annals of Operations Research 30:277–298, 1991 (cited in Popescu 2007, reference list)
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Robust Solutions to Least-Squares Problems with Uncertain Data I: The Worst-Case Residual and Its Unique MinimizerResearch Paper

Motivation

The least-squares (LS) problem min⁡x∥Ax−b∥\min_x \|Ax - b\|minx​∥Ax−b∥ assumes that the data A∈Rn×mA \in \mathbb{R}^{n\times m}A∈Rn×m, b∈Rnb \in \mathbb{R}^nb∈Rn are exact. In applications they rarely are: they come from measurements, from linearizations, or from models with neglected dynamics. A classical response is sensitivity analysis or regularization (Tikhonov), where a weight trades the size of the solution against the fit, and the choice of that weight is left to the user. El Ghaoui and Lebret (SIAM J. Matrix Anal. Appl. 18(4), 1997) take a deterministic view instead: the true data lie in a known ball around (A,b)(A, b)(A,b), and the solution should minimize the residual it can be forced to have in the worst case over that ball. The paper shows that this robust least-squares (RLS) problem is solvable exactly, in the unstructured case by a second-order cone program (SOCP). The same worst-case idea, applied to regression, underlies the later equivalence between robustness and regularization (Xu, Caramanis and Mannor, 2009) and is a standard entry point to robust optimization (Ben-Tal, El Ghaoui and Nemirovski, Robust Optimization, 2009).

This mission formalizes the first main result of the paper, Theorem 3.1: the worst-case residual has a closed form, its minimizer is unique, and minimizing it is an SOCP.

Setting

Vectors carry the Euclidean norm ∥v∥=(∑ivi2)1/2\|v\| = (\sum_i v_i^2)^{1/2}∥v∥=(∑i​vi2​)1/2. For a matrix XXX, ∥X∥F=(∑i,jXij2)1/2\|X\|_F = (\sum_{i,j} X_{ij}^2)^{1/2}∥X∥F​=(∑i,j​Xij2​)1/2 is the Frobenius norm and ∥X∥\|X\|∥X∥ the largest singular value, i.e. the smallest c≥0c \ge 0c≥0 with ∥Xv∥≤c∥v∥\|Xv\| \le c\|v\|∥Xv∥≤c∥v∥ for all vvv.

Fix A∈Rn×mA \in \mathbb{R}^{n\times m}A∈Rn×m and b∈Rnb \in \mathbb{R}^nb∈Rn. A perturbation is a pair ΔA∈Rn×m\Delta A \in \mathbb{R}^{n\times m}ΔA∈Rn×m, Δb∈Rn\Delta b \in \mathbb{R}^nΔb∈Rn, collected in the augmented matrix Δ=[ΔA Δb]∈Rn×(m+1)\Delta = [\Delta A\ \Delta b] \in \mathbb{R}^{n\times(m+1)}Δ=[ΔA Δb]∈Rn×(m+1). For a bound ρ≥0\rho \ge 0ρ≥0 and x∈Rmx \in \mathbb{R}^mx∈Rm, the worst-case residual is (paper, eq. (1))

r(A,b,ρ,x)=max⁡∥[ΔA Δb]∥F≤ρ∥(A+ΔA)x−(b+Δb)∥,r(A,b,\rho,x) = \max_{\|[\Delta A\ \Delta b]\|_F \le \rho} \|(A+\Delta A)x - (b+\Delta b)\|,r(A,b,ρ,x)=∥[ΔA Δb]∥F​≤ρmax​∥(A+ΔA)x−(b+Δb)∥,

and xxx is an RLS solution if it minimizes r(A,b,ρ,⋅)r(A,b,\rho,\cdot)r(A,b,ρ,⋅). The bound constrains the augmented matrix jointly, not ΔA\Delta AΔA and Δb\Delta bΔb separately. The paper normalizes ρ=1\rho = 1ρ=1 and writes r(A,b,x)=r(A,b,1,x)r(A,b,x) = r(A,b,1,x)r(A,b,x)=r(A,b,1,x). Finally, [x;1]∈Rm+1[x;1] \in \mathbb{R}^{m+1}[x;1]∈Rm+1 denotes xxx stacked over 111. In the Lean development these are RobustLS.Unstructured.eucNorm, frobNorm, specNorm, augment, stackOne, worstCaseResidual A b ρ x, its largest-singular-value variant worstCaseResidualSpec, and the SOCP constraint predicate SocpFeasible A b x λ τ.

Formalization targets

Goal: Theorem 3.1 (p. 1040)

For n≥1n \ge 1n≥1, every AAA, bbb:

r(A,b,x)=∥Ax−b∥+∥x∥2+1for all x∈Rm,r(A,b,x) = \|Ax-b\| + \sqrt{\|x\|^2+1} \quad \text{for all } x \in \mathbb{R}^m,r(A,b,x)=∥Ax−b∥+∥x∥2+1​for all x∈Rm,

the problem min⁡x∈Rmr(A,b,x)\min_{x \in \mathbb{R}^m} r(A,b,x)minx∈Rm​r(A,b,x) has exactly one solution xRLSx_{\mathrm{RLS}}xRLS​, and it is the SOCP

minimize λsubject to∥Ax−b∥≤λ−τ,∥[x;1]∥≤τ,(15)\text{minimize } \lambda \quad\text{subject to}\quad \|Ax-b\| \le \lambda-\tau,\quad \|[x;1]\| \le \tau, \tag{15}minimize λsubject to∥Ax−b∥≤λ−τ,∥[x;1]∥≤τ,(15)

in the sense that r(A,b,x)r(A,b,x)r(A,b,x) is the least λ\lambdaλ for which some τ\tauτ makes (x,λ,τ)(x,\lambda,\tau)(x,λ,τ) feasible.

Milestones

  1. Eq. (16). Every perturbation with ∥[ΔA Δb]∥F≤1\|[\Delta A\ \Delta b]\|_F \le 1∥[ΔA Δb]∥F​≤1 has residual at most ∥Ax−b∥+∥x∥2+1\|Ax-b\| + \sqrt{\|x\|^2+1}∥Ax−b∥+∥x∥2+1​.
  2. The worst-case perturbation. For a unit vector uuu aligned with Ax−bAx - bAx−b (arbitrary if Ax=bAx = bAx=b), the rank-one matrix Δ=u[xT −1]/∥x∥2+1\Delta = u[x^T\ {-1}]/\sqrt{\|x\|^2+1}Δ=u[xT −1]/∥x∥2+1​ has ∥Δ∥F=∥Δ∥=1\|\Delta\|_F = \|\Delta\| = 1∥Δ∥F​=∥Δ∥=1 and attains the bound.
  3. Spectral norm. The worst case over the larger ball ∥[ΔA Δb]∥≤1\|[\Delta A\ \Delta b]\| \le 1∥[ΔA Δb]∥≤1 is the same value.
  4. Strict convexity. x↦r(A,b,x)x \mapsto r(A,b,x)x↦r(A,b,x) is strictly convex on Rm\mathbb{R}^mRm.
  5. The SOCP (15). For every xxx, r(A,b,x)r(A,b,x)r(A,b,x) is the optimal λ\lambdaλ of (15) with xxx fixed, and xxx is an RLS solution exactly when it is the xxx-part of an optimal solution of (15).

Significance

The closed form replaces a maximization over a matrix ball of dimension n(m+1)n(m+1)n(m+1) by two Euclidean norms. It shows that the RLS objective is the LS residual plus a penalty ∥x∥2+1\sqrt{\|x\|^2+1}∥x∥2+1​ that does not depend on AAA or bbb, which is the starting point for the paper's Theorem 3.2 (the RLS solution is a Tikhonov-regularized LS solution with a data-dependent weight) and its analysis of continuity and conditioning. The SOCP formulation places the problem in the class solved by interior-point methods, at a cost the paper compares with one singular value decomposition of AAA. The spectral-norm statement says the worst case does not depend on which of the two standard matrix norms bounds the perturbation.

The result is proved in the paper; the proof is short. To the best of the planning survey (September 2026), no machine-checked proof exists, and Prove2Me has no statement about worst-case residuals or robust least squares. The mission produces a verified closed form that later missions of this series (Tikhonov form of the solution, structured and linear-fractional perturbations) and any formalization of robust regression can import.

Difficulty

The upper bound alone does not give the theorem: the statement is an equality, and the equality needs an explicit maximizer. The paper's printed maximizer is wrong by a sign: with [xT 1][x^T\ 1][xT 1] in place of [xT −1][x^T\ {-1}][xT −1] the perturbation does not attain the bound (for A=0A = 0A=0, x=0x = 0x=0, b=e1b = e_1b=e1​ it gives residual 000 instead of 222), so a transcription of the printed proof fails. Two further points are silent in the paper. The operator norm of a rank-one matrix has to be computed from the definition of the largest singular value. Uniqueness of the minimizer needs existence first, which follows from growth of rrr at infinity and is not stated. Working with the sSup definition of the worst case requires showing the set of residuals is bounded, which is milestone 1.

Formalization scope

  • Dimensions are Fin n, Fin m; AAA is Matrix (Fin n) (Fin m) ℝ, bbb and xxx are functions Fin n → ℝ, Fin m → ℝ. The augmented matrix [ΔA Δb][\Delta A\ \Delta b][ΔA Δb] is indexed by Fin m ⊕ Unit, and so is [x;1][x;1][x;1].
  • Vector norms are the Euclidean norm written as ∑ivi2\sqrt{\sum_i v_i^2}∑i​vi2​​ (eucNorm), never Mathlib's ‖·‖ on Fin n → ℝ, which is the sup norm. The Frobenius norm and the largest singular value are explicit definitions (frobNorm, specNorm); specNorm is the infimum of admissible operator constants.
  • The maximum in (1) is sSup of the set of attained residuals. For ρ≥0\rho \ge 0ρ≥0 the set is nonempty and bounded, so this is the true maximum; milestones 1 and 2 state the bound and the attaining perturbation directly, so no statement relies on the value of sSup on an unbounded set.
  • The paper's normalization ρ=1\rho = 1ρ=1 is kept; general ρ>0\rho > 0ρ>0 follows from the scaling ϕ(A,b,ρ)=ρ ϕ(A/ρ,b/ρ,1)\phi(A,b,\rho) = \rho\,\phi(A/\rho,b/\rho,1)ϕ(A,b,ρ)=ρϕ(A/ρ,b/ρ,1) the paper records on p. 1039 and is not a target.
  • The goal assumes n≥1n \ge 1n≥1. For n=0n = 0n=0 the only perturbation is the empty matrix, the worst case is 000, and the closed form fails; the paper's setting (Ax≃bAx \simeq bAx≃b with data b∈Rnb \in \mathbb{R}^nb∈Rn) has n≥1n \ge 1n≥1. Milestones 3–5 carry the same hypothesis.
  • Milestone 2 states the corrected perturbation [xT −1][x^T\ {-1}][xT −1]; the printed [xT 1][x^T\ 1][xT 1] is false.
  • A trivializing formalization — an upper bound in place of the equality, a worst case over ΔA\Delta AΔA and Δb\Delta bΔb bounded separately, or uniqueness among critical points only — is ruled out: the goal is the equality for the jointly bounded augmented matrix and ∃! of a global minimizer over all of Rm\mathbb{R}^mRm.

Contributions welcome: lemmas on Frobenius and operator norms of rank-one matrices, the inequality ∥Mz∥≤∥M∥F∥z∥\|Mz\| \le \|M\|_F\|z\|∥Mz∥≤∥M∥F​∥z∥ in this explicit setting, and strict convexity of x↦∥x∥2+1x \mapsto \sqrt{\|x\|^2+1}x↦∥x∥2+1​; these are reusable beyond the mission.

Selected references

  • L. El Ghaoui and H. Lebret, Robust Solutions to Least-Squares Problems with Uncertain Data, SIAM Journal on Matrix Analysis and Applications 18(4):1035–1064, 1997. https://doi.org/10.1137/S0895479896298130
  • A. Ben-Tal, L. El Ghaoui and A. Nemirovski, Robust Optimization, Princeton University Press, 2009. https://doi.org/10.1515/9781400831050
  • H. Xu, C. Caramanis and S. Mannor, Robust Regression and Lasso, Journal of Machine Learning Research 10:1485–1510, 2009 (IEEE Trans. Inf. Theory 56(7), 2010). https://jmlr.org/papers/v10/xu09b.html
  • M. S. Lobo, L. Vandenberghe, S. Boyd and H. Lebret, Applications of Second-Order Cone Programming, Linear Algebra and its Applications 284:193–228, 1998. https://doi.org/10.1016/S0024-3795(98)10032-0
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Robust Solutions to Least-Squares Problems with Uncertain Data II: Robust Least Squares as Tikhonov RegularizationResearch Paper

Motivation

Least squares fits a linear model Ax≃bAx \simeq bAx≃b by minimizing ∥Ax−b∥\|Ax - b\|∥Ax−b∥, and its solution can be extremely sensitive to errors in the data (A,b)(A, b)(A,b) when AAA is ill-conditioned. The standard remedy is Tikhonov regularization (ridge regression): minimize ∥Ax−b∥2+μ∥x∥2\|Ax - b\|^2 + \mu\|x\|^2∥Ax−b∥2+μ∥x∥2, whose solution x=(A⊤A+μI)−1A⊤bx = (A^\top A + \mu I)^{-1}A^\top bx=(A⊤A+μI)−1A⊤b is stable but depends on a parameter μ>0\mu > 0μ>0 that must be chosen by some external rule.

El Ghaoui and Lebret (SIAM J. Matrix Anal. Appl. 18(4), 1997) proposed instead to take the uncertainty in (A,b)(A, b)(A,b) seriously: the robust least-squares (RLS) solution minimizes the worst-case residual over all perturbations [ΔA Δb][\Delta A\ \Delta b][ΔA Δb] of Frobenius norm at most ρ\rhoρ. Their Theorem 3.1 shows that for ρ=1\rho = 1ρ=1 this worst-case residual equals ∥Ax−b∥+∥x∥2+1\|Ax - b\| + \sqrt{\|x\|^2 + 1}∥Ax−b∥+∥x∥2+1​ and that its minimization is the second-order cone program (15). Theorem 3.2, the subject of this mission, reads off the optimal solution: it is a Tikhonov-regularized solution, and the regularization parameter is not a free choice but is fixed by the data. This gives a principled answer to the question of how to choose μ\muμ, and it is the reason the paper describes RLS as "a Tikhonov regularization procedure" with "a rigorous way to compute the regularization parameter" (abstract, p. 1035).

A closely related model for least squares with bounded data uncertainty was developed at the same time by Chandrasekaran, Golub, Gu and Sayed; the paper notes that their preliminary draft (its reference [5]) gives a solution to the unstructured RLS problem similar to that of §3.2 (pp. 1036–1037).

Setting

Throughout, A∈Rn×mA \in \mathbb R^{n\times m}A∈Rn×m, b∈Rnb \in \mathbb R^nb∈Rn, x∈Rmx \in \mathbb R^mx∈Rm, and every vector norm is Euclidean, ∥v∥=∑ivi2\|v\| = \sqrt{\sum_i v_i^2}∥v∥=∑i​vi2​​. For x∈Rmx \in \mathbb R^mx∈Rm, [x;1]∈Rm+1[x; 1] \in \mathbb R^{m+1}[x;1]∈Rm+1 is xxx with a coordinate 111 appended, so ∥[x;1]∥=∥x∥2+1\|[x;1]\| = \sqrt{\|x\|^2 + 1}∥[x;1]∥=∥x∥2+1​.

The SOCP (15) is the problem, in the variables x∈Rmx \in \mathbb R^mx∈Rm and λ,τ∈R\lambda, \tau \in \mathbb Rλ,τ∈R,

minimize λsubject to∥Ax−b∥≤λ−τ,∥[x;1]∥≤τ.\text{minimize } \lambda \quad\text{subject to}\quad \|Ax - b\| \le \lambda - \tau,\qquad \|[x;1]\| \le \tau.minimize λsubject to∥Ax−b∥≤λ−τ,∥[x;1]∥≤τ.

A triple (x,λ,τ)(x, \lambda, \tau)(x,λ,τ) is optimal for (15) if it is feasible and λ≤λ′\lambda \le \lambda'λ≤λ′ for every feasible (x′,λ′,τ′)(x', \lambda', \tau')(x′,λ′,τ′). Its dual, derived in the paper from the general second-order cone duality of §2.1, is the problem in z∈Rnz \in \mathbb R^nz∈Rn, u∈Rmu \in \mathbb R^mu∈Rm, v∈Rv \in \mathbb Rv∈R

maximize b⊤z−vsubject toA⊤z+u=0,∥z∥≤1,∥[u;v]∥≤1.\text{maximize } b^\top z - v \quad\text{subject to}\quad A^\top z + u = 0,\quad \|z\| \le 1,\quad \|[u; v]\| \le 1.maximize b⊤z−vsubject toA⊤z+u=0,∥z∥≤1,∥[u;v]∥≤1.

The minimum-norm solution of Ax=bAx = bAx=b is a solution xxx with ∥x∥≤∥y∥\|x\| \le \|y\|∥x∥≤∥y∥ for every other solution yyy; when Ax=bAx = bAx=b is consistent it is A†bA^\dagger bA†b, with A†A^\daggerA† the Moore–Penrose pseudoinverse.

In the Lean development these objects are IsSOCPFeasible, IsSOCPOptimal, IsDualFeasible, dualObjective, IsDualOptimal and IsMinNormSolution, in the namespace RobustLS.Tikhonov, with the Euclidean norm eucNorm.

Formalization targets

Goal: Theorem 3.2 with the identity for μ\muμ

Let (x,λ,τ)(x, \lambda, \tau)(x,λ,τ) be optimal for (15) and set μ=(λ−τ)/τ\mu = (\lambda - \tau)/\tauμ=(λ−τ)/τ. Then

x={(μI+A⊤A)−1A⊤bif μ>0,A†belse,andμ=∥Ax−b∥∥x∥2+1.x = \begin{cases} (\mu I + A^\top A)^{-1}A^\top b & \text{if } \mu > 0,\\ A^\dagger b & \text{else,}\end{cases}\qquad\text{and}\qquad \mu = \frac{\|Ax - b\|}{\sqrt{\|x\|^2 + 1}}.x={(μI+A⊤A)−1A⊤bA†b​if μ>0,else,​andμ=∥x∥2+1​∥Ax−b∥​.

By Theorem 3.1 (the subject of the companion mission I of this series), the xxx-part of an optimal point of (15) is the RLS solution for ρ=1\rho = 1ρ=1, so this is formula (17) of the paper. The identity for μ\muμ is the final display of the paper's proof and is the claim in the mission's title.

Milestones (in the order of the paper's proof, p. 1041)

  1. Both (15) and its dual have optimal points.
  2. If λ=τ\lambda = \tauλ=τ at the optimum, then Ax=bAx = bAx=b and λ=τ=∥x∥2+1\lambda = \tau = \sqrt{\|x\|^2 + 1}λ=τ=∥x∥2+1​.
  3. In that case xxx is the minimum-norm solution of Ax=bAx = bAx=b, x=A†bx = A^\dagger bx=A†b.
  4. Eq. (18): for λ>τ\lambda > \tauλ>τ, primal and dual optimal values coincide,
∥Ax−b∥+∥[x;1]∥=λ=b⊤z−v=−(Ax−b)⊤z−[x⊤ 1][−A⊤zv].\|Ax - b\| + \|[x;1]\| = \lambda = b^\top z - v = -(Ax-b)^\top z - [x^\top\ 1]\begin{bmatrix} -A^\top z\\ v\end{bmatrix}.∥Ax−b∥+∥[x;1]∥=λ=b⊤z−v=−(Ax−b)⊤z−[x⊤ 1][−A⊤zv​].
  1. The dual optimal point is z=−(Ax−b)/∥Ax−b∥z = -(Ax - b)/\|Ax - b\|z=−(Ax−b)/∥Ax−b∥, [u;v]=−[x;1]/∥x∥2+1[u; v] = -[x; 1]/\sqrt{\|x\|^2 + 1}[u;v]=−[x;1]/∥x∥2+1​.
  2. Substituting into A⊤z+u=0A^\top z + u = 0A⊤z+u=0: x=(A⊤A+μI)−1A⊤bx = (A^\top A + \mu I)^{-1}A^\top bx=(A⊤A+μI)−1A⊤b with μ=(λ−τ)/τ=∥Ax−b∥/∥x∥2+1\mu = (\lambda - \tau)/\tau = \|Ax - b\|/\sqrt{\|x\|^2 + 1}μ=(λ−τ)/τ=∥Ax−b∥/∥x∥2+1​.

A further item states Remark 3.1: for λ>τ\lambda > \tauλ>τ, xxx is the unique minimizer of the weighted residual ∥[A;I;0]y−[b;0;1]∥Θ\big\|[A; I; 0]y - [b; 0; 1]\big\|_\Theta​[A;I;0]y−[b;0;1]​Θ​ with Θ=diag((λ−τ)I,τI,τ)\Theta = \mathbf{diag}((\lambda-\tau)I, \tau I, \tau)Θ=diag((λ−τ)I,τI,τ) and ∥r∥Θ=∥Θ−1/2r∥\|r\|_\Theta = \|\Theta^{-1/2} r\|∥r∥Θ​=∥Θ−1/2r∥.

Significance

The result. Theorem 3.2 turns a robust optimization problem into a familiar linear-algebra object. It says that the robust solution always lies on the Tikhonov path {(A⊤A+μI)−1A⊤b:μ>0}\{(A^\top A + \mu I)^{-1}A^\top b : \mu > 0\}{(A⊤A+μI)−1A⊤b:μ>0} or at its endpoint A†bA^\dagger bA†b, and it identifies the point on the path through a fixed-point equation relating μ\muμ to the residual and the size of the solution. The paper builds on this in §3.3 (a one-dimensional search for μ\muμ via the SVD) and in §6 (continuity of the RLS solution in the data), and Remark 3.1 is the template for the weighted least-squares interpretation of the structured and linear-fractional problems in §5.

Formalizing it. The theorem is proved in the paper; to our knowledge it has no machine-checked proof. The mission produces a formal account of second-order cone duality for a concrete program, the characterization of the optimal dual point by equality in the Cauchy–Schwarz inequality, and the minimum-norm characterization of A†bA^\dagger bA†b, all in terms of explicit Euclidean norms on Fin k → ℝ.

Difficulty

The paper's proof rests on strong duality for (15) ("both primal and dual problems are strictly feasible"), which it cites from the SOCP literature rather than proving; Mathlib has no second-order cone duality, so this step is the main gap. The degenerate case λ=τ\lambda = \tauλ=τ also needs care: there ∥Ax−b∥=0\|Ax - b\| = 0∥Ax−b∥=0, the residual term is not differentiable at the optimum, and the conclusion changes from a regularized inverse to a pseudoinverse. A statement that only handles the case Ax≠bAx \ne bAx=b, or that assumes the matrix A⊤A+μIA^\top A + \mu IA⊤A+μI invertible without deriving it from μ>0\mu > 0μ>0, misses part of the theorem.

Formalization scope

  • Normalization. The paper states Theorem 3.2 for ρ=1\rho = 1ρ=1 ("we take ρ=1\rho = 1ρ=1 in what follows", p. 1039) and obtains general ρ\rhoρ by the scaling φ(A,b,ρ)=ρ φ(A/ρ,b/ρ,1)\varphi(A, b, \rho) = \rho\,\varphi(A/\rho, b/\rho, 1)φ(A,b,ρ)=ρφ(A/ρ,b/ρ,1). Only the ρ=1\rho = 1ρ=1 statement is formalized.
  • The RLS solution. The perturbation model is not used here: all statements are about optimal points of (15). That the xxx-part of such a point is the RLS solution is Theorem 3.1 (mission I), and it is recalled in prose only.
  • Norms. Vectors are Fin k → ℝ; the Euclidean norm is the explicit eucNorm v = √(∑ vᵢ²) (Mathlib's ‖·‖ on Fin k → ℝ is the sup norm). Stacked vectors [x;1][x;1][x;1] and [u;v][u;v][u;v] are indexed by Fin m ⊕ Unit.
  • Optimality. "Optimal point" means feasible with objective no worse than every feasible point; the minimum and maximum are therefore attained by definition, and milestone 1 guarantees they exist.
  • Pseudoinverse. Mathlib has no matrix pseudoinverse, so A†bA^\dagger bA†b is stated as the minimum-norm solution of Ax=bAx = bAx=b, which is how the proof uses it. The branch "else" is ¬(μ>0)\neg(\mu > 0)¬(μ>0).
  • Inverse. (μI+A⊤A)−1(\mu I + A^\top A)^{-1}(μI+A⊤A)−1 is Mathlib's Matrix.inv; it is used only where μ>0\mu > 0μ>0, where the matrix is positive definite. τ≥1\tau \ge 1τ≥1 at every feasible point, so μ\muμ is well defined without an extra hypothesis.
  • No trivialization. The goal quantifies over optimal points of (15) over the whole feasible set, not over feasible points, and milestone 1 shows the hypothesis is satisfiable for every (A,b)(A, b)(A,b), including n=0n = 0n=0 or m=0m = 0m=0.
  • Weighted norm. For Remark 3.1, ∥r∥Θ\|r\|_\Theta∥r∥Θ​ for the diagonal Θ\ThetaΘ is written as ∑iri2/θi\sqrt{\sum_i r_i^2/\theta_i}∑i​ri2​/θi​​, which equals ∥Θ−1/2r∥\|\Theta^{-1/2}r\|∥Θ−1/2r∥ for positive weights.

Contributions welcome: second-order cone (or general conic) weak and strong duality for finite-dimensional programs, the equality case of Cauchy–Schwarz in the explicit-norm form used here, and a Moore–Penrose pseudoinverse for real matrices with its minimum-norm property. The platform's ConvexOptimization.conic_slater_strong_duality may help with the duality step.

Selected references

  • L. El Ghaoui and H. Lebret, Robust Solutions to Least-Squares Problems with Uncertain Data, SIAM J. Matrix Anal. Appl. 18(4):1035–1064, 1997. https://doi.org/10.1137/S0895479896298130
  • S. Chandrasekaran, G. H. Golub, M. Gu and A. H. Sayed, A new linear least-squares type model for parameter estimation in the presence of data uncertainties, cited as submitted to SIAM J. Matrix Anal. Appl. (reference [5] of the paper).
  • A. N. Tikhonov and V. Y. Arsenin, Solutions of Ill-Posed Problems, Wiley, New York, 1977 (reference [43] of the paper).
  • Y. Nesterov and A. Nemirovskii, Interior-Point Polynomial Algorithms in Convex Programming, SIAM, 1994. https://doi.org/10.1137/1.9781611970791
  • M. S. Lobo, L. Vandenberghe, S. Boyd and H. Lebret, Applications of Second-Order Cone Programming, Linear Algebra Appl. 284:193–228, 1998. https://doi.org/10.1016/S0024-3795(98)10032-0
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Robust Solutions to Least-Squares Problems with Uncertain Data III: Structured Robust Least Squares Is Solved Exactly by a Semidefinite ProgramResearch Paper

Motivation

Least squares fits a model Ax≈bAx \approx bAx≈b as if the data (A,b)(A, b)(A,b) were exact. In practice they are measured, rounded or estimated, and the least-squares solution can be very sensitive to such errors. El Ghaoui and Lebret (SIAM J. Matrix Anal. Appl. 18(4), 1997) proposed to treat the errors as deterministic, unknown but bounded, and to choose xxx minimizing the worst-case residual over all admissible data. For unstructured perturbations of [A b][A\ b][A b] bounded in Frobenius norm this leads to a second-order cone program (missions I and II of this series).

In many applications the perturbations have a known structure: a Toeplitz matrix stays Toeplitz, a parameter enters several entries at once, or only some entries are uncertain. An unstructured bound then over-estimates the worst case. The paper's §4 treats perturbations that are affine in a parameter vector δ\deltaδ bounded in Euclidean norm, and shows that the resulting structured robust least-squares (SRLS) problem is still solved exactly, now by a semidefinite program (SDP). This model of uncertainty (an ellipsoid of affinely parametrized data) is the one later adopted as the basic uncertainty set of robust optimization; see Ben-Tal and Nemirovski, Math. Oper. Res. 23(4), 1998.

Setting

Vectors carry the Euclidean norm ∥v∥=vTv\|v\| = \sqrt{v^Tv}∥v∥=vTv​. Given matrices A0,A1,…,Ap∈Rn×mA_0, A_1, \dots, A_p \in \mathbb{R}^{n\times m}A0​,A1​,…,Ap​∈Rn×m and vectors b0,b1,…,bp∈Rnb_0, b_1, \dots, b_p \in \mathbb{R}^nb0​,b1​,…,bp​∈Rn, define for every δ∈Rp\delta \in \mathbb{R}^pδ∈Rp

A(δ)=A0+∑i=1pδiAi,b(δ)=b0+∑i=1pδibi.\mathbf A(\delta) = A_0 + \sum_{i=1}^p \delta_i A_i, \qquad \mathbf b(\delta) = b_0 + \sum_{i=1}^p \delta_i b_i .A(δ)=A0​+i=1∑p​δi​Ai​,b(δ)=b0​+i=1∑p​δi​bi​.

For ρ≥0\rho \ge 0ρ≥0 and x∈Rmx \in \mathbb{R}^mx∈Rm the structured worst-case residual is

rS(A,b,ρ,x)=max⁡∥δ∥≤ρ∥A(δ)x−b(δ)∥,r_S(\mathbf A, \mathbf b, \rho, x) = \max_{\|\delta\| \le \rho} \|\mathbf A(\delta)x - \mathbf b(\delta)\|,rS​(A,b,ρ,x)=∥δ∥≤ρmax​∥A(δ)x−b(δ)∥,

and xxx is an SRLS solution if it minimizes rS(A,b,ρ,⋅)r_S(\mathbf A, \mathbf b, \rho, \cdot)rS​(A,b,ρ,⋅) over Rm\mathbb{R}^mRm. The paper takes ρ=1\rho = 1ρ=1 throughout §4 and writes rS(A,b,x)r_S(\mathbf A, \mathbf b, x)rS​(A,b,x).

For fixed xxx let M(x)=[A1x−b1 ⋯ Apx−bp]∈Rn×pM(x) = [A_1x - b_1\ \cdots\ A_px - b_p] \in \mathbb{R}^{n\times p}M(x)=[A1​x−b1​ ⋯ Ap​x−bp​]∈Rn×p and

F=M(x)TM(x),g=M(x)T(A0x−b0),h=∥A0x−b0∥2.F = M(x)^TM(x), \qquad g = M(x)^T(A_0x - b_0), \qquad h = \|A_0x - b_0\|^2 .F=M(x)TM(x),g=M(x)T(A0​x−b0​),h=∥A0​x−b0​∥2.

Since A(δ)x−b(δ)=(A0x−b0)+M(x)δ\mathbf A(\delta)x - \mathbf b(\delta) = (A_0x - b_0) + M(x)\deltaA(δ)x−b(δ)=(A0​x−b0​)+M(x)δ, the squared residual at δ\deltaδ is the quadratic function h+2gTδ+δTFδh + 2g^T\delta + \delta^TF\deltah+2gTδ+δTFδ. Finally, for scalars λ,τ\lambda, \tauλ,τ,

F(λ,τ)=[λ−τ−h−gT−gτI−F].\mathcal F(\lambda, \tau) = \begin{bmatrix} \lambda - \tau - h & -g^T \\ -g & \tau I - F \end{bmatrix}.F(λ,τ)=[λ−τ−h−g​−gTτI−F​].

Formalization targets

Goal: Theorem 4.2

With p≥1p \ge 1p≥1 and ρ=1\rho = 1ρ=1, consider the SDP in (λ,τ,x)(\lambda, \tau, x)(λ,τ,x)

minimize λsubject to[λ−τ0(A0x−b0)T0τIM(x)TA0x−b0M(x)I]⪰0.(32)\text{minimize } \lambda \quad \text{subject to} \quad \begin{bmatrix} \lambda - \tau & 0 & (A_0x - b_0)^T \\ 0 & \tau I & M(x)^T \\ A_0x - b_0 & M(x) & I \end{bmatrix} \succeq 0. \tag{32}minimize λsubject to​λ−τ0A0​x−b0​​0τIM(x)​(A0​x−b0​)TM(x)TI​​⪰0.(32)

The goal states that (a) for all xxx and λ\lambdaλ, some τ\tauτ makes (λ,τ,x)(\lambda, \tau, x)(λ,τ,x) feasible if and only if rS(A,b,x)2≤λr_S(\mathbf A, \mathbf b, x)^2 \le \lambdarS​(A,b,x)2≤λ; and (b) (λ,τ,x)(\lambda, \tau, x)(λ,τ,x) is optimal for (32) if and only if xxx is an SRLS solution, λ=rS(A,b,x)2\lambda = r_S(\mathbf A, \mathbf b, x)^2λ=rS​(A,b,x)2, and (λ,τ,x)(\lambda, \tau, x)(λ,τ,x) is feasible. This is the precise content of the paper's "the SRLS can be solved by computing an optimal solution of (32)".

Milestones

  1. Lemma 2.1 (S-procedure), in two items: the multiplier condition is sufficient for every ppp; for p=1p = 1p=1 it is also necessary when F1(ζ0)>0F_1(\zeta_0) > 0F1​(ζ0​)>0 for some ζ0\zeta_0ζ0​.
  2. Eq. (28): rS(A,b,x)2=max⁡δTδ≤1[1;δ]T[hgTgF][1;δ]r_S(\mathbf A, \mathbf b, x)^2 = \max_{\delta^T\delta \le 1} [1;\delta]^T \begin{bmatrix} h & g^T \\ g & F\end{bmatrix} [1;\delta]rS​(A,b,x)2=maxδTδ≤1​[1;δ]T[hg​gTF​][1;δ].
  3. Eq. (29): for λ≥0\lambda \ge 0λ≥0, that quadratic form is ≤λ\le \lambda≤λ on the unit ball if and only if F(λ,τ)⪰0\mathcal F(\lambda, \tau) \succeq 0F(λ,τ)⪰0 for some τ\tauτ.
  4. Theorem 4.1, first assertion: rS(A,b,x)2=min⁡{λ:∃τ, F(λ,τ)⪰0}r_S(\mathbf A, \mathbf b, x)^2 = \min\{\lambda : \exists \tau,\ \mathcal F(\lambda, \tau) \succeq 0\}rS​(A,b,x)2=min{λ:∃τ, F(λ,τ)⪰0}, the minimum attained.
  5. §4.2, Schur-complement step: the matrix of (32) is positive semidefinite if and only if F(λ,τ)\mathcal F(\lambda, \tau)F(λ,τ) is.

Significance

The result shows that a min–max problem over a nonconvex worst case (the inner problem maximizes a convex quadratic over a ball) is equivalent to a single convex SDP whose size is linear in nnn, mmm and ppp, and hence solvable in polynomial time by interior-point methods. It covers as special cases the unstructured problem of §3, least squares with uncertainty in selected entries, and Toeplitz or otherwise patterned perturbations. The exactness contrasts with the next section of the paper, where the linear-fractional and ℓ∞\ell_\inftyℓ∞​-bounded versions are in general only bounded from above, or shown NP-hard.

The result is proved in the paper; to the best of current knowledge it has not been formalized. The platform already has the one-constraint S-procedure (ConvexOptimization.s_procedure, proved, in a different sign and block convention); this mission adds the robust least-squares objects, the reduction to the S-procedure, the Schur-complement step, and the optimal-solution correspondence of Theorem 4.2. The worst-case residual and SDP (32) definitions are reusable by later robust-regression missions.

Difficulty

The obvious approach is to compute the inner maximum directly. The function δ↦h+2gTδ+δTFδ\delta \mapsto h + 2g^T\delta + \delta^TF\deltaδ↦h+2gTδ+δTFδ is convex, so its maximum over the unit ball is attained on the boundary, but it is not given by any closed-form expression in general, and maximizing a convex function is not a convex problem. Exactness therefore rests on the lossless S-procedure for one quadratic constraint, a nonconvex duality statement that fails for two or more constraints; the sufficient direction alone only yields an upper bound.

A second point is passing from "for fixed xxx" (Theorem 4.1) to "optimal over xxx" (Theorem 4.2): F(λ,τ)\mathcal F(\lambda, \tau)F(λ,τ) is quadratic in xxx, and only the Schur-complement lift (32) is jointly affine in (λ,τ,x)(\lambda, \tau, x)(λ,τ,x). The correspondence of optimal solutions must then be checked in both directions, including that the optimal λ\lambdaλ is the squared residual and not the residual.

Formalization scope

  • Data are A0 : Matrix (Fin n) (Fin m) ℝ, A : Fin p → Matrix (Fin n) (Fin m) ℝ, b0 : Fin n → ℝ, b : Fin p → Fin n → ℝ; A i is the paper's Ai+1A_{i+1}Ai+1​ (0-based index). Vectors live in Fin k → ℝ with the Euclidean norm written out as ∑ivi2\sqrt{\sum_i v_i^2}∑i​vi2​​, never Mathlib's sup norm.
  • The maximum defining rSr_SrS​ is sSup of the set of attained residuals over the closed ball; for ρ≥0\rho \ge 0ρ≥0 this set is nonempty and bounded, so sSup is the true maximum. The theorems use ρ=1\rho = 1ρ=1, as the paper does; the paper derives general ρ\rhoρ by scaling and that is not stated here.
  • Block matrices are Matrix.fromBlocks in the printed order (scalar block first: Unit ⊕ Fin p; for (32), (Unit ⊕ Fin p) ⊕ Fin n). "⪰0\succeq 0⪰0" is Mathlib's PosSemidef, which includes symmetry; all matrices here are symmetric by construction.
  • p≥1p \ge 1p≥1 is assumed in (29), Theorem 4.1 and Theorem 4.2, although the paper does not state it: for p=0p = 0p=0 the block τI\tau IτI is empty, τ\tauτ is unconstrained, every λ\lambdaλ is feasible and both SDPs lose their meaning. Eq. (28), Lemma 2.1 and the Schur-complement step hold for every ppp and are stated without it.
  • Optimality in (32) is stated as feasibility plus λ≤λ′\lambda \le \lambda'λ≤λ′ for every feasible (λ′,τ′,x′)(\lambda', \tau', x')(λ′,τ′,x′). A formalization that only proves existence of some feasible τ\tauτ, or only an inequality between the optimal values, is weaker than Theorem 4.2 and does not close the goal.
  • Theorem 4.1's second and third assertions (the one-dimensional reformulation (30)–(31) and the worst-case perturbation) are not included: they use the notion "(F,g)(F, g)(F,g)-controllable", which the paper does not define.
  • Useful infrastructure: Mathlib's Schur-complement lemmas (Matrix.PosSemidef.fromBlocks₂₂ and relatives in LinearAlgebra.Matrix.SchurComplement); the platform's ConvexOptimization.s_procedure and ConvexOptimization.single_constraint_quadratic_strong_duality with their definitions ConvexOptimization_quadraticForms, included as reference items. A bridge lemma between the platform's block convention and this mission's is a welcome contribution, as is a general-ρ\rhoρ version.

Selected references

  • L. El Ghaoui and H. Lebret, Robust Solutions to Least-Squares Problems with Uncertain Data, SIAM J. Matrix Anal. Appl. 18(4):1035–1064, 1997. https://doi.org/10.1137/S0895479896298130
  • S. Boyd, L. El Ghaoui, E. Feron and V. Balakrishnan, Linear Matrix Inequalities in System and Control Theory, SIAM, 1994 (the S-procedure, p. 24). https://doi.org/10.1137/1.9781611970777
  • A. Ben-Tal and A. Nemirovski, Robust Convex Optimization, Math. Oper. Res. 23(4):769–805, 1998. https://doi.org/10.1287/moor.23.4.769
  • I. Pólik and T. Terlaky, A Survey of the S-Lemma, SIAM Review 49(3):371–418, 2007. https://doi.org/10.1137/S003614450444614X
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Robust Solutions to Uncertain Semidefinite Programs I: Exact SDP Reformulation of the Robust LMI under Full Linear-Fractional PerturbationsResearch Paper

Motivation

A semidefinite program (SDP) minimizes a linear objective cTxc^TxcTx subject to a linear matrix inequality (LMI) F(x)=F0+∑i=1mxiFi⪰0F(x) = F_0 + \sum_{i=1}^m x_iF_i \succeq 0F(x)=F0​+∑i=1m​xi​Fi​⪰0. SDPs model problems in control, combinatorial optimization, statistics and engineering design, and they are solved efficiently by interior-point methods. In applications the data F0,…,FmF_0,\dots,F_mF0​,…,Fm​ are rarely known exactly: they come from measurements, from linearized models, or from rounding. A solution that is optimal for the nominal data may violate the constraint for data that differ only slightly.

El Ghaoui, Oustry and Lebret (SIAM J. Optim. 9(1), 1998) asked for robust solutions: points xxx that satisfy the constraint for every admissible value of an unknown but bounded perturbation, and among them one that minimizes cTxc^TxcTx. Their paper, together with the contemporaneous work of Ben-Tal and Nemirovski on robust convex optimization (Math. Oper. Res. 23(4), 1998), founded robust semidefinite programming. The perturbation model they use, the linear-fractional representation (LFR), is the standard uncertainty model of robust control, where the same exact reformulation appears as the multiplier characterization of quadratic stability under norm-bounded uncertainty.

This mission formalizes the first main result of the paper: when the perturbation is full (an arbitrary matrix of bounded spectral norm), the robust problem is exactly an SDP with one extra scalar variable.

Setting

Fix natural numbers m,n,p,qm, n, p, qm,n,p,q and a decision vector x∈Rmx \in \mathbb{R}^mx∈Rm. The data are:

  • symmetric matrices F0,…,Fm∈Rn×nF_0,\dots,F_m \in \mathbb{R}^{n\times n}F0​,…,Fm​∈Rn×n, defining the affine map F(x)=F0+∑ixiFiF(x) = F_0 + \sum_i x_iF_iF(x)=F0​+∑i​xi​Fi​;
  • matrices R0,…,Rm∈Rq×nR_0,\dots,R_m \in \mathbb{R}^{q\times n}R0​,…,Rm​∈Rq×n, defining R(x)=R0+∑ixiRiR(x) = R_0 + \sum_i x_iR_iR(x)=R0​+∑i​xi​Ri​;
  • fixed matrices L∈Rn×pL \in \mathbb{R}^{n\times p}L∈Rn×p and D∈Rq×pD \in \mathbb{R}^{q\times p}D∈Rq×p;
  • a level ρ>0\rho > 0ρ>0.

For a matrix XXX, ∥X∥\|X\|∥X∥ denotes its largest singular value (the spectral norm), and X⪰0X \succeq 0X⪰0 means that XXX is symmetric positive semidefinite. A perturbation is a matrix Δ∈Rp×q\Delta \in \mathbb{R}^{p\times q}Δ∈Rp×q. The perturbed constraint matrix is the LFR (5)

F(x,Δ)=F(x)+LΔ(I−DΔ)−1R(x)+R(x)T(I−ΔTDT)−1ΔTLT,\mathbf{F}(x,\Delta) = F(x) + L\Delta(I - D\Delta)^{-1}R(x) + R(x)^T(I - \Delta^TD^T)^{-1}\Delta^TL^T,F(x,Δ)=F(x)+LΔ(I−DΔ)−1R(x)+R(x)T(I−ΔTDT)−1ΔTLT,

which is well defined exactly when det⁡(I−DΔ)≠0\det(I - D\Delta) \neq 0det(I−DΔ)=0. For a linear subspace D\mathcal{D}D of Rp×q\mathbb{R}^{p\times q}Rp×q, the robust feasible set (2) is

Xρ={x∈Rm:for every Δ∈D with ∥Δ∥≤ρ, F(x,Δ) is well defined and F(x,Δ)⪰0},\mathcal{X}_\rho = \bigl\{x \in \mathbb{R}^m : \text{for every } \Delta \in \mathcal{D} \text{ with } \|\Delta\| \le \rho,\ \mathbf{F}(x,\Delta) \text{ is well defined and } \mathbf{F}(x,\Delta) \succeq 0\bigr\},Xρ​={x∈Rm:for every Δ∈D with ∥Δ∥≤ρ, F(x,Δ) is well defined and F(x,Δ)⪰0},

and the robust SDP (4) is: minimize cTxc^TxcTx subject to x∈Xρx \in \mathcal{X}_\rhox∈Xρ​, for a given c∈Rm∖{0}c \in \mathbb{R}^m \setminus \{0\}c∈Rm∖{0}. In this mission D=Rp×q\mathcal{D} = \mathbb{R}^{p\times q}D=Rp×q, the full perturbation case, and the paper's standing assumption of §3.1 is ∥D∥<ρ−1\|D\| < \rho^{-1}∥D∥<ρ−1.

Formalization targets

Goal: Theorem 3.1 (p. 36), as a set identity

Under ρ>0\rho > 0ρ>0, ∥D∥<ρ−1\|D\| < \rho^{-1}∥D∥<ρ−1, q≥1q \ge 1q≥1 and L≠0L \ne 0L=0, for every x∈Rmx \in \mathbb{R}^mx∈Rm,

x∈Xρ  ⟺  ∃ τ∈R: [F(x)−τLLTR(x)T−τLDTR(x)−τDLTτ(ρ−2I−DDT)]⪰0.(10)x \in \mathcal{X}_\rho \iff \exists\,\tau \in \mathbb{R}:\ \begin{bmatrix} F(x) - \tau LL^T & R(x)^T - \tau LD^T \\ R(x) - \tau DL^T & \tau(\rho^{-2}I - DD^T)\end{bmatrix} \succeq 0. \qquad (10)x∈Xρ​⟺∃τ∈R: [F(x)−τLLTR(x)−τDLT​R(x)T−τLDTτ(ρ−2I−DDT)​]⪰0.(10)

The paper states that the robust SDP and a corresponding solution can be computed by solving the SDP "minimize cTxc^TxcTx subject to (10)" in the variables (x,τ)(x, \tau)(x,τ). Both problems have the objective cTxc^TxcTx, so the identity above, between Xρ\mathcal{X}_\rhoXρ​ and the xxx-projection of the feasible set of (10), is the content of that sentence. A companion item states the solution correspondence explicitly: xxx is optimal for the robust SDP if and only if (x,τ)(x,\tau)(x,τ) is optimal for (10) for some τ\tauτ.

Milestones

  1. Well-posedness (§3.1, p. 36). For ρ>0\rho > 0ρ>0: det⁡(I−DΔ)≠0\det(I - D\Delta) \ne 0det(I−DΔ)=0 for every Δ\DeltaΔ with ∥Δ∥≤ρ\|\Delta\| \le \rho∥Δ∥≤ρ if and only if ∥D∥<ρ−1\|D\| < \rho^{-1}∥D∥<ρ−1.
  2. Lemma 3.1 (p. 36). For F=FTF = F^TF=FT, q≥1q \ge 1q≥1 and L≠0L \ne 0L=0: det⁡(I−DΔ)≠0\det(I - D\Delta) \ne 0det(I−DΔ)=0 and F+LΔ(I−DΔ)−1R+RT(I−DΔ)−TΔTLT⪰0F + L\Delta(I - D\Delta)^{-1}R + R^T(I - D\Delta)^{-T}\Delta^TL^T \succeq 0F+LΔ(I−DΔ)−1R+RT(I−DΔ)−TΔTLT⪰0 for every ∥Δ∥≤1\|\Delta\| \le 1∥Δ∥≤1 if and only if ∥D∥<1\|D\| < 1∥D∥<1 and some scalar τ\tauτ satisfies
[F−τLLTRT−τLDTR−τDLTτ(I−DDT)]⪰0.\begin{bmatrix} F - \tau LL^T & R^T - \tau LD^T \\ R - \tau DL^T & \tau(I - DD^T)\end{bmatrix} \succeq 0.[F−τLLTR−τDLT​RT−τLDTτ(I−DDT)​]⪰0.

The paper cites the S-procedure as the classical result behind Lemma 3.1; it is already proved on the platform (ConvexOptimization.s_procedure) and is included as a reference item.

Significance

The robust feasible set is defined by infinitely many matrix inequalities, one per perturbation, each rational in Δ\DeltaΔ; in general such a set is convex but has no tractable description, and the paper notes that the structured version of the problem is NP-hard. Theorem 3.1 shows that for full perturbations nothing is lost by replacing that semi-infinite constraint with a single LMI of size n+qn + qn+q in one extra variable. Consequences: the robust problem is solved by a standard SDP solver; the largest admissible perturbation level is a generalized eigenvalue problem; and the exact result is the benchmark against which the paper's sufficient conditions for structured perturbations (Theorem 3.2) and its closed-form counterparts for unstructured perturbations (Theorem 5.1) are measured.

The result is proved in the paper (from the S-procedure, with the details deferred to a cited report). To the best of available knowledge it has no machine-checked proof. The mission produces a formal statement of the LFR model and of the robust feasible set that later missions on robust SDPs can reuse, a formal proof of the well-posedness condition, and a formal proof of the exact reformulation built on the platform's S-procedure. Formalizing it also records two points the printed statement leaves implicit: the result needs L≠0L \ne 0L=0 and a nonempty perturbation output dimension q≥1q \ge 1q≥1.

Difficulty

The direction from the LMI to robust feasibility is elementary. The converse is the substance: robust feasibility is a statement about a continuum of perturbations, each entering rationally, and testing the LMI against finitely many extreme perturbations does not produce a multiplier τ\tauτ. The exactness of the reformulation rests on a lossless certificate for an implication between quadratic inequalities, which holds only under a strict feasibility condition; that condition is where L≠0L \ne 0L=0 enters, and without it the lemma is false. The well-posedness milestone requires showing that ∥D∥<ρ−1\|D\| < \rho^{-1}∥D∥<ρ−1 is also necessary, which is not a norm estimate but needs a perturbation that makes I−DΔI - D\DeltaI−DΔ singular.

Formalization scope

Matrices are Mathlib Matrix (Fin a) (Fin b) ℝ. The affine maps are given by coefficient lists indexed by Fin (m + 1), the constant term first. The norm on matrices is the ℓ2\ell^2ℓ2 operator norm, opened with open scoped Matrix.Norms.L2Operator; it is the largest singular value, and no other matrix norm is used. X⪰0X \succeq 0X⪰0 is Matrix.PosSemidef, which includes symmetry. Block matrices are Matrix.fromBlocks over the index type Fin n ⊕ Fin q, with R(x)T−τLDTR(x)^T - \tau LD^TR(x)T−τLDT top-right and R(x)−τDLTR(x) - \tau DL^TR(x)−τDLT bottom-left. Mathlib's matrix inverse returns 000 at a singular matrix, so the condition det⁡(I−DΔ)≠0\det(I - D\Delta) \ne 0det(I−DΔ)=0 appears in the robust feasible set in the same universally quantified clause as positive semidefiniteness, as the paper's "well defined" requires; dropping it, or using an entrywise matrix norm, would change the set and is excluded.

Readings and corrections of the printed statements:

  • "The RSDP (4) and a corresponding solution xxx can be computed by solving the SDP" is read as the identity of Xρ\mathcal{X}_\rhoXρ​ with the xxx-projection of the feasible set of (10), for every xxx, together with the solution correspondence item. A statement of equal optimal values alone would be weaker and is not used.
  • Correction: L≠0L \ne 0L=0 is added to Lemma 3.1 and Theorem 3.1. The printed statements fail for L=0L = 0L=0: with n=p=q=1n = p = q = 1n=p=q=1, F=0F = 0F=0, L=0L = 0L=0, D=0D = 0D=0, R=1R = 1R=1, the perturbation does not enter, so the robust condition holds, while the LMI reads [011⋅]⪰0\begin{bmatrix}0 & 1\\1 & \cdot\end{bmatrix} \succeq 0[01​1⋅​]⪰0, which is infeasible.
  • q≥1q \ge 1q≥1 makes "matrices of appropriate size" explicit; for q=0q = 0q=0 the lower-right block is empty and the equivalence fails.
  • The standing assumptions ρ>0\rho > 0ρ>0 (§3) and ∥D∥<ρ−1\|D\| < \rho^{-1}∥D∥<ρ−1 (§3.1) are hypotheses of the goal. In Lemma 3.1, ∥D∥<1\|D\| < 1∥D∥<1 is part of the conclusion, as printed, and τ\tauτ carries no sign constraint, as printed.
  • The paper's standing assumption that the nominal problem is feasible (X0≠∅\mathcal{X}_0 \ne \emptysetX0​=∅) is not needed for the identity and is not added.

Welcome contributions: proofs of the well-posedness milestone (a spectral-norm and singular-vector argument, reusable wherever I−DΔI - D\DeltaI−DΔ must be invertible); of Lemma 3.1 from the S-procedure (the reachability lemma for norm-bounded perturbations is reusable in robust control); of the goal from Lemma 3.1 by rescaling; and general lemmas on the spectral norm of rank-one matrices and on Schur complements of block matrices.

Selected references

  • L. El Ghaoui, F. Oustry and H. Lebret, Robust Solutions to Uncertain Semidefinite Programs, SIAM J. Optim. 9(1), 33–52, 1998. https://doi.org/10.1137/S1052623496305717
  • A. Ben-Tal and A. Nemirovski, Robust Convex Optimization, Math. Oper. Res. 23(4), 769–805, 1998. https://doi.org/10.1287/moor.23.4.769
  • S. Boyd, L. El Ghaoui, E. Feron and V. Balakrishnan, Linear Matrix Inequalities in System and Control Theory, SIAM, 1994. https://doi.org/10.1137/1.9781611970777
  • S. Boyd and L. Vandenberghe, Convex Optimization, Cambridge University Press, 2004, Appendix B.2 (the S-procedure). https://web.stanford.edu/~boyd/cvxbook/
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Robust Solutions to Uncertain Semidefinite Programs II: An SDP Inner Approximation of the Robust Feasible Set under Structured PerturbationsResearch Paper

Motivation

A semidefinite program (SDP) minimizes a linear objective cTxc^TxcTx subject to a linear matrix inequality F(x)=F0+∑i=1mxiFi⪰0F(x) = F_0 + \sum_{i=1}^m x_i F_i \succeq 0F(x)=F0​+∑i=1m​xi​Fi​⪰0. In engineering applications the coefficient matrices are rarely known exactly: they come from measurements, from a model of a physical plant, or from a finite-precision implementation. El Ghaoui, Oustry and Lebret (SIAM J. Optim. 9(1), 1998) asked for solutions that remain feasible for every admissible value of the uncertain data, and showed how to compute such robust solutions by semidefinite programming. The paper appeared alongside Ben-Tal and Nemirovski's robust convex programming (Math. Oper. Res. 23(4), 1998) and is one of the two founding treatments of robust SDP.

When the uncertainty has structure (a block-diagonal perturbation, repeated scalar parameters, a symmetric matrix), the exact robust problem is NP-hard (El Ghaoui and Lebret, SIAM J. Matrix Anal. Appl. 18, 1997). This is the same obstacle that robust control meets in computing the structured singular value, and the remedy the paper uses, scaling matrices that commute with the perturbation structure, goes back to that literature (Doyle, IEE Proc. D 129, 1982; Fan, Tits and Doyle, IEEE Trans. Automat. Control 36, 1991). This mission formalizes the resulting tractable conservative approximation, Theorem 3.2 of the paper, together with the lemma it rests on and an application to integer feasibility problems.

Setting

Fix natural numbers m,n,p,qm, n, p, qm,n,p,q. The decision variable is x∈Rmx \in \mathbb{R}^mx∈Rm. The nominal data are affine maps

F(x)=F0+∑i=1mxiFi∈Rn×n,R(x)=R0+∑i=1mxiRi∈Rq×n,F(x) = F_0 + \sum_{i=1}^m x_i F_i \in \mathbb{R}^{n\times n}, \qquad R(x) = R_0 + \sum_{i=1}^m x_i R_i \in \mathbb{R}^{q\times n},F(x)=F0​+i=1∑m​xi​Fi​∈Rn×n,R(x)=R0​+i=1∑m​xi​Ri​∈Rq×n,

with every FiF_iFi​ symmetric, and fixed matrices L∈Rn×pL \in \mathbb{R}^{n\times p}L∈Rn×p, D∈Rq×pD \in \mathbb{R}^{q\times p}D∈Rq×p. A perturbation is a matrix Δ∈Rp×q\Delta \in \mathbb{R}^{p\times q}Δ∈Rp×q, and the perturbed constraint matrix is the linear-fractional representation (LFR)

F(x,Δ)=F(x)+LΔ(I−DΔ)−1R(x)+R(x)T(I−ΔTDT)−1ΔTLT,\mathbf{F}(x,\Delta) = F(x) + L\Delta(I - D\Delta)^{-1}R(x) + R(x)^T(I - \Delta^TD^T)^{-1}\Delta^TL^T,F(x,Δ)=F(x)+LΔ(I−DΔ)−1R(x)+R(x)T(I−ΔTDT)−1ΔTLT,

which is defined when det⁡(I−DΔ)≠0\det(I - D\Delta) \neq 0det(I−DΔ)=0. The perturbation ranges over a linear subspace D⊆Rp×q\mathcal{D} \subseteq \mathbb{R}^{p\times q}D⊆Rp×q, which encodes the structure, and is bounded by a level ρ>0\rho > 0ρ>0 in the spectral norm ∥Δ∥\|\Delta\|∥Δ∥ (the largest singular value). The robust feasible set is

Xρ={x:for every Δ∈D with ∥Δ∥≤ρ, det⁡(I−DΔ)≠0 and F(x,Δ)⪰0},\mathcal{X}_\rho = \{x : \text{for every } \Delta \in \mathcal{D} \text{ with } \|\Delta\| \le \rho,\ \det(I - D\Delta) \neq 0 \text{ and } \mathbf{F}(x,\Delta) \succeq 0\},Xρ​={x:for every Δ∈D with ∥Δ∥≤ρ, det(I−DΔ)=0 and F(x,Δ)⪰0},

and the robust SDP (RSDP) is to minimize cTxc^TxcTx over Xρ\mathcal{X}_\rhoXρ​.

The scaling set of D\mathcal{D}D is the linear subspace

B={(S,T,G)∈Rp×p×Rq×q×Rp×q:SΔ=ΔT, GΔT=−ΔGT for every Δ∈D}.\mathcal{B} = \{(S,T,G) \in \mathbb{R}^{p\times p}\times\mathbb{R}^{q\times q}\times\mathbb{R}^{p\times q} : S\Delta = \Delta T,\ G\Delta^T = -\Delta G^T \text{ for every } \Delta \in \mathcal{D}\}.B={(S,T,G)∈Rp×p×Rq×q×Rp×q:SΔ=ΔT, GΔT=−ΔGT for every Δ∈D}.

Formalization targets

Goal: Theorem 3.2 (p. 37), as an inclusion of feasible sets

For every xxx: if some (S,T,G)∈B(S,T,G) \in \mathcal{B}(S,T,G)∈B has S≻0S \succ 0S≻0, T≻0T \succ 0T≻0 and

[F(x)−LSLTR(x)T−LSDT+LGR(x)−DSLT+GTLTρ−2T−DSDT+DG+GTDT]≻0,\begin{bmatrix} F(x) - LSL^T & R(x)^T - LSD^T + LG \\ R(x) - DSL^T + G^TL^T & \rho^{-2}T - DSD^T + DG + G^TD^T\end{bmatrix} \succ 0,[F(x)−LSLTR(x)−DSLT+GTLT​R(x)T−LSDT+LGρ−2T−DSDT+DG+GTDT​]≻0,

then x∈Xρx \in \mathcal{X}_\rhox∈Xρ​, and in fact F(x,Δ)≻0\mathbf{F}(x,\Delta) \succ 0F(x,Δ)≻0 for every Δ∈D\Delta \in \mathcal{D}Δ∈D with ∥Δ∥≤ρ\|\Delta\| \le \rho∥Δ∥≤ρ. A companion item states the consequence for optimal values: the SDP value is an upper bound on the RSDP value, with both infima taken in the extended reals.

Milestones

  1. Lemma 3.2 (p. 37): the same implication for constant FFF, RRR and ρ=1\rho = 1ρ=1, with the matrix (13).
  2. The full-perturbation case (p. 37): for D=Rp×q\mathcal{D} = \mathbb{R}^{p\times q}D=Rp×q and p,q≥1p, q \ge 1p,q≥1, B\mathcal{B}B consists exactly of the triples (τIp,τIq,0)(\tau I_p, \tau I_q, 0)(τIp​,τIq​,0), with τ≥0\tau \ge 0τ≥0 when S⪰0S \succeq 0S⪰0.
  3. Theorem 5.6 (p. 48): if Fi=2LiRiF_i = 2L_iR_iFi​=2Li​Ri​ with ri=rank⁡Fir_i = \operatorname{rank} F_iri​=rankFi​, and xfeasx_{\mathrm{feas}}xfeas​ satisfies, for some λ≥0\lambda \ge 0λ≥0 and block-diagonal S=STS = S^TS=ST, G=−GTG = -G^TG=−GT,
[F(xfeas)−λI−LSLT12RT+LG12R−GLTS]≻0,\begin{bmatrix} F(x_{\mathrm{feas}}) - \lambda I - LSL^T & \tfrac12R^T + LG \\ \tfrac12R - GL^T & S\end{bmatrix} \succ 0,[F(xfeas​)−λI−LSLT21​R−GLT​21​RT+LGS​]≻0,

then every integer vector closest to xfeasx_{\mathrm{feas}}xfeas​ in the maximum norm satisfies F(z)⪰0F(z) \succeq 0F(z)⪰0.

Significance

The result. Theorem 3.2 replaces an NP-hard semi-infinite constraint, one matrix inequality for each admissible perturbation, by a single linear matrix inequality in the enlarged variable (x,S,T,G)(x, S, T, G)(x,S,T,G). Every point it certifies is robustly feasible, so its optimal value is a certified upper bound on the robust optimum and its optimizer is a usable robust solution. In the full case the scalings collapse to one multiplier τ\tauτ (milestone 2), which connects the bound to the exact reformulation of Section 3.1 of the paper. Theorem 5.6 shows the same machinery at work on a combinatorial problem: robustness against perturbations of size 1/21/21/2 in each coordinate of xxx turns an SDP-feasible point into an integer solution by rounding.

Formalizing it. The results are proved in the paper (Lemma 3.2 with the proof deferred to [16]); none of them has a machine-checked proof that this mission is aware of, and the platform has no linear-fractional or structured-perturbation results. The formalization also settles the exact form of the certificate: as printed, the matrix (13) and the LMI of Theorem 3.2 contain products that are dimensionally undefined, and this mission states the condition the proof actually yields (see the scope section).

Difficulty

The inequality to be proved is a statement about infinitely many perturbations, and F(x,Δ)\mathbf{F}(x,\Delta)F(x,Δ) depends on Δ\DeltaΔ through a matrix inverse. The natural first step, eliminating Δ\DeltaΔ by an exact S-procedure as in the full case, is not available: with a structured D\mathcal{D}D the set of pairs of vectors linked by some Δ∈D\Delta \in \mathcal{D}Δ∈D is not described by one quadratic inequality, and losslessness fails. The scalings in B\mathcal{B}B give several valid quadratic inequalities instead, and one must show that their combination controls every Δ\DeltaΔ in the norm ball, including the well-posedness claim det⁡(I−DΔ)≠0\det(I - D\Delta) \neq 0det(I−DΔ)=0, which is part of the conclusion rather than an assumption. The commutation condition SΔ=ΔTS\Delta = \Delta TSΔ=ΔT must be turned into an inequality for ∥Δ∥≤1\|\Delta\| \le 1∥Δ∥≤1, which requires more than the definition of the spectral norm. For Theorem 5.6 the block-diagonal perturbation family and the rescaling between ρ=1/2\rho = 1/2ρ=1/2 and the stated matrix must be matched to the general lemma.

Formalization scope

Matrices are Matrix (Fin a) (Fin b) ℝ; ≻0\succ 0≻0 and ⪰0\succeq 0⪰0 are Matrix.PosDef and Matrix.PosSemidef (both include symmetry); block matrices are Matrix.fromBlocks on Fin n ⊕ Fin q. The norm of a perturbation is the ℓ2\ell^2ℓ2 operator norm (open scoped Matrix.Norms.L2Operator), i.e. the largest singular value; the maximum norm in Theorem 5.6 is Mathlib's sup norm on Fin m → ℝ. D\mathcal{D}D is a Submodule. Affine maps are given by coefficient families indexed by Fin (m+1). Mathlib's matrix inverse is 000 at a singular matrix, so every statement pairs the LFR with det⁡(I−DΔ)≠0\det(I - D\Delta) \neq 0det(I−DΔ)=0. The standing assumption ρ>0\rho > 0ρ>0 of Section 3 is a hypothesis.

Readings and corrections of the printed statements:

  • (13) as printed is dimensionally inconsistent; we state the condition the proof yields, which coincides with the printed one when GGG is square and skew-symmetric and D\mathcal{D}D consists of symmetric matrices. Concretely, (11) prints G∈Rq×pG \in \mathbb{R}^{q\times p}G∈Rq×p with GΔ=−ΔTGTG\Delta = -\Delta^TG^TGΔ=−ΔTGT and (13) prints the blocks R−DSL−GLTR - DSL - GL^TR−DSL−GLT and T−GDT+DG−DSDTT - GD^T + DG - DSD^TT−GDT+DG−DSDT; the mission uses G∈Rp×qG \in \mathbb{R}^{p\times q}G∈Rp×q with GΔT=−ΔGTG\Delta^T = -\Delta G^TGΔT=−ΔGT and the blocks R−DSLT+GTLTR - DSL^T + G^TL^TR−DSLT+GTLT and T−DSDT+DG+GTDTT - DSD^T + DG + G^TD^TT−DSDT+DG+GTDT. The same correction applies to the LMI of Theorem 3.2 (with ρ−2T\rho^{-2}Tρ−2T). Theorem 5.6 is stated as printed.
  • "An upper bound on the RSDP (4) and a corresponding solution xxx can be computed by solving the SDP" is read as the inclusion of the SDP's feasible projection in Xρ\mathcal{X}_\rhoXρ​, for every xxx; the goal states it with the strict conclusion F(x,Δ)≻0\mathbf{F}(x,\Delta) \succ 0F(x,Δ)≻0 as well. The value form is a separate item.
  • In the full-perturbation remark, "for some τ≥0\tau \ge 0τ≥0" is stated under S⪰0S \succeq 0S⪰0, and "We then recover the exact results of section 3.1" is not formalized.
  • In Theorem 5.6, S\mathcal{S}S's index range "i=1,…,ni = 1,\dots,ni=1,…,n" is read as i=1,…,mi = 1,\dots,mi=1,…,m; the hypothesis ri=rank⁡Fir_i = \operatorname{rank}F_iri​=rankFi​ is kept.

Trivializing formalizations are ruled out: (0,0,0)∈B(0,0,0) \in \mathcal{B}(0,0,0)∈B always, so the hypotheses S≻0S \succ 0S≻0 and T≻0T \succ 0T≻0 are kept outside B\mathcal{B}B; D\mathcal{D}D is a subspace, not an arbitrary set; and the norm is the spectral norm, not Mathlib's default entrywise norm.

A complete development needs the square root of a positive definite matrix and its commutation with SSS and TTT, the spectral-norm characterization ΔΔT⪯∥Δ∥2I\Delta\Delta^T \preceq \|\Delta\|^2 IΔΔT⪯∥Δ∥2I, Schur-complement and congruence facts for block matrices, and a linear-fractional identity relating (I−DΔ)−1(I - D\Delta)^{-1}(I−DΔ)−1 to an auxiliary vector. These are reusable well beyond this mission; contributions of any of them, and of the value and rounding corollaries, are welcome.

Selected references

  • L. El Ghaoui, F. Oustry, H. Lebret, Robust Solutions to Uncertain Semidefinite Programs, SIAM J. Optim. 9(1):33–52, 1998. https://doi.org/10.1137/S1052623496305717
  • L. El Ghaoui, H. Lebret, Robust solutions to least-squares problems with uncertain data, SIAM J. Matrix Anal. Appl. 18:1035–1064, 1997. https://doi.org/10.1137/S0895479896298130
  • M. K. H. Fan, A. L. Tits, J. C. Doyle, Robustness in the presence of mixed parametric uncertainty and unmodeled dynamics, IEEE Trans. Automat. Control 36:25–38, 1991. https://doi.org/10.1109/9.62265
  • J. C. Doyle, Analysis of feedback systems with structured uncertainties, IEE Proc. D 129(6):242–250, 1982. https://doi.org/10.1049/ip-d.1982.0053
  • A. Ben-Tal, A. Nemirovski, Robust convex optimization, Math. Oper. Res. 23(4):769–805, 1998. https://doi.org/10.1287/moor.23.4.769
  • S. Boyd, L. El Ghaoui, E. Feron, V. Balakrishnan, Linear Matrix Inequalities in System and Control Theory, SIAM, 1994. https://doi.org/10.1137/1.9781611970777
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Robust Solutions to Uncertain Semidefinite Programs III: Quadratic Growth and Uniqueness of the Robust SDP SolutionResearch Paper

Motivation

A semidefinite program (SDP) minimizes a linear objective cTxc^TxcTx subject to a linear matrix inequality F(x)=F0+∑ixiFi⪰0F(x) = F_0 + \sum_i x_i F_i \succeq 0F(x)=F0​+∑i​xi​Fi​⪰0. When the data FiF_iFi​ are uncertain, El Ghaoui, Oustry and Lebret (SIAM J. Optim. 9(1), 1998) proposed to optimize against the worst case over a norm-bounded family of perturbations: the robust SDP. Their Theorem 3.1 shows that, for unstructured ("full") perturbations, the robust SDP is itself an SDP in the enlarged variable (x,τ)(x,\tau)(x,τ). Section 4 of the paper then asks what robustification does to the solution. Nominal SDPs are often ill-posed: the optimal set can be a whole face, and optimal points can jump under small data changes. Section 4 shows that, under explicit hypotheses, the robust problem has a unique solution with quadratic growth, which is the sense in which the paper describes robustness as a regularization of SDPs. This mission formalizes that result, Theorem 4.2.

Setting

Fix natural numbers m,n,p,qm, n, p, qm,n,p,q, matrices F0,…,Fm∈Rn×nF_0, \dots, F_m \in \mathbb{R}^{n\times n}F0​,…,Fm​∈Rn×n (symmetric), R0,…,Rm∈Rq×nR_0, \dots, R_m \in \mathbb{R}^{q\times n}R0​,…,Rm​∈Rq×n, L∈Rn×pL \in \mathbb{R}^{n\times p}L∈Rn×p, and an objective vector c∈Rmc \in \mathbb{R}^mc∈Rm, c≠0c \neq 0c=0. Write F(x)=F0+∑i=1mxiFiF(x) = F_0 + \sum_{i=1}^m x_iF_iF(x)=F0​+∑i=1m​xi​Fi​ and R(x)=R0+∑i=1mxiRiR(x) = R_0 + \sum_{i=1}^m x_iR_iR(x)=R0​+∑i=1m​xi​Ri​.

With full perturbations, uncertainty level ρ=1\rho = 1ρ=1 and D=0D = 0D=0 (the standing choices of §4), the robust SDP is the SDP

minimize cTxsubject toF(x,τ)=[F(x)−τLLTR(x)TR(x)τI]⪰0(15)\text{minimize } c^Tx \quad\text{subject to}\quad \mathcal{F}(x,\tau) = \begin{bmatrix} F(x) - \tau LL^T & R(x)^T \\ R(x) & \tau I\end{bmatrix} \succeq 0 \tag{15}minimize cTxsubject toF(x,τ)=[F(x)−τLLTR(x)​R(x)TτI​]⪰0(15)

in the variables y=(x,τ)∈Rm×Ry = (x,\tau) \in \mathbb{R}^m \times \mathbb{R}y=(x,τ)∈Rm×R. A point is feasible if F(x,τ)⪰0\mathcal{F}(x,\tau) \succeq 0F(x,τ)⪰0 (symmetric positive semidefinite) and optimal if it is feasible and minimizes cTxc^TxcTx over all feasible (x′,τ′)(x',\tau')(x′,τ′). The solution is the pair (x,τ)(x,\tau)(x,τ).

The paper's hypotheses (§4.1):

  • H1 (Slater): F(x,τ)≻0\mathcal{F}(x,\tau) \succ 0F(x,τ)≻0 for some (x,τ)(x,\tau)(x,τ).
  • H2 (inf-compactness): every sublevel set {(x,τ) feasible:cTx≤M}\{(x,\tau)\ \text{feasible} : c^Tx \le M\}{(x,τ) feasible:cTx≤M} is bounded.
  • H3(a): the nullspace of the pencil λR0+∑ixiRi\lambda R_0 + \sum_i x_iR_iλR0​+∑i​xi​Ri​ is one and the same proper subspace N⊊RnN \subsetneq \mathbb{R}^nN⊊Rn for every (λ,x)≠(0,0)(\lambda,x) \neq (0,0)(λ,x)=(0,0).
  • H3(b): for every xxx the stacked matrix [LTR(x)]\begin{bmatrix} L^T \\ R(x)\end{bmatrix}[LTR(x)​] has full column rank.

For τ>0\tau > 0τ>0 put G(x,τ)=F(x)−τLLT−1τR(x)TR(x)G(x,\tau) = F(x) - \tau LL^T - \frac{1}{\tau}R(x)^TR(x)G(x,τ)=F(x)−τLLT−τ1​R(x)TR(x), the Schur complement of the block τI\tau IτI in F(x,τ)\mathcal{F}(x,\tau)F(x,τ).

The quadratic growth condition (QGC) holds at an optimal point y⋆=(x⋆,τ⋆)y^\star = (x^\star,\tau^\star)y⋆=(x⋆,τ⋆) if there are α,ε>0\alpha, \varepsilon > 0α,ε>0 with

cTx ≥ cTx⋆+α ∥y−y⋆∥2for every feasible y=(x,τ), ∥y−y⋆∥<ε.c^Tx \ \ge\ c^Tx^\star + \alpha\,\|y - y^\star\|^2 \qquad \text{for every feasible } y = (x,\tau),\ \|y - y^\star\| < \varepsilon .cTx ≥ cTx⋆+α∥y−y⋆∥2for every feasible y=(x,τ), ∥y−y⋆∥<ε.

Formalization targets

Goal: Theorem 4.2 (p. 39)

Under c≠0c \neq 0c=0, symmetry of the FiF_iFi​, H1, H2, H3(a) and H3(b):

(∀ y⋆ optimal for (15): QGC holds at y⋆)and∃! y=(x,τ) optimal for (15).\bigl(\forall\, y^\star \text{ optimal for (15)}:\ \text{QGC holds at } y^\star\bigr)\quad\text{and}\quad \exists!\, y = (x,\tau) \text{ optimal for (15)} .(∀y⋆ optimal for (15): QGC holds at y⋆)and∃!y=(x,τ) optimal for (15).

Both halves are stated; uniqueness is of the pair (x,τ)(x,\tau)(x,τ), and existence is part of the claim.

Milestones, in the order the paper's proof uses them

  1. §4.1 (p. 38): H3(a) implies R(x)≠0R(x) \neq 0R(x)=0 for every xxx.
  2. §4.2 (p. 39): under H3(a), every feasible τ\tauτ is positive; in particular τopt>0\tau_{\mathrm{opt}} > 0τopt​>0.
  3. §4.2, Eq. (16): for τ>0\tau > 0τ>0, F(x,τ)⪰0  ⟺  G(x,τ)⪰0\mathcal{F}(x,\tau) \succeq 0 \iff G(x,\tau) \succeq 0F(x,τ)⪰0⟺G(x,τ)⪰0.
  4. Appendix A (p. 49): at every optimal (x,τ)(x,\tau)(x,τ) there is a dual matrix Z⪰0Z \succeq 0Z⪰0, Z≠0Z \neq 0Z=0, with Tr⁡ZG(x,τ)=0\operatorname{Tr} ZG(x,\tau) = 0TrZG(x,τ)=0, Tr⁡Z ∂G/∂xi=ci\operatorname{Tr} Z\,\partial G/\partial x_i = c_iTrZ∂G/∂xi​=ci​ and τ2Tr⁡LLTZ=Tr⁡R(x)TR(x)Z\tau^2\operatorname{Tr}LL^TZ = \operatorname{Tr}R(x)^TR(x)Zτ2TrLLTZ=TrR(x)TR(x)Z.
  5. Appendix A (p. 49): H3(b) rules out Tr⁡LLTZ=Tr⁡R(x)TR(x)Z=0\operatorname{Tr}LL^TZ = \operatorname{Tr}R(x)^TR(x)Z = 0TrLLTZ=TrR(x)TR(x)Z=0 for Z⪰0Z \succeq 0Z⪰0, Z≠0Z \neq 0Z=0, hence Tr⁡R(x)TR(x)Z>0\operatorname{Tr}R(x)^TR(x)Z > 0TrR(x)TR(x)Z>0.
  6. Appendix A (pp. 49–50): under H3(a), with τ>0\tau > 0τ>0, Z⪰0Z \succeq 0Z⪰0 and Tr⁡R(x)TR(x)Z>0\operatorname{Tr}R(x)^TR(x)Z > 0TrR(x)TR(x)Z>0, the Hessian of the Lagrangian cTx−Tr⁡Z G(x,τ)c^Tx - \operatorname{Tr} Z\,G(x,\tau)cTx−TrZG(x,τ) is positive definite.

Significance

The result. Theorem 4.2 turns the robust SDP into a well-posed problem: a unique solution with quadratic growth. Quadratic growth is the property from which the paper's Hölder-stability results (Theorem 4.3, Corollaries 4.1–4.2) follow through the perturbation theory of Bonnans, Cominetti and Shapiro, and it is what justifies using the robust SDP as a regularization of ill-conditioned SDPs (§5.4). The remark after the theorem notes a geometric reading: the growth holds for every objective, so the boundary of the robust feasible set contains no facets.

Formalizing it. The theorem has a published proof (Appendix A), which relies on a second-order sufficient condition for nonlinear SDPs cited from Bonnans, Cominetti and Shapiro. There is no machine-checked proof of it or of any second-order optimality result for SDPs that we know of. A formalization provides a complete account of the dual attainment, complementarity and second-order steps for this concrete problem class, and it checks the paper's computations; one of them, the intermediate display for the second derivative in Appendix A, has a factor error in its cross term that does not affect the conclusion.

Difficulty

The feasible set of (15) is a spectrahedron, and linear objectives over spectrahedra do not in general have unique minimizers, since optimal faces can be flat. Uniqueness therefore cannot come from convexity alone. It has to come from curvature of the boundary at the optimum, and that curvature is carried only by the nonlinear term 1τR(x)TR(x)\frac{1}{\tau}R(x)^TR(x)τ1​R(x)TR(x) of the Schur complement, which is degenerate along some directions. Positive definiteness of the Hessian must be recovered from the structural hypotheses H3(a) and H3(b), which interact with a dual matrix ZZZ that is known only to exist. The natural first attempt is to use τ>0\tau > 0τ>0 and the positive semidefiniteness of ZZZ directly. That attempt fails: the second derivative is Tr⁡Z RTR\operatorname{Tr} Z\,\mathcal{R}^T\mathcal{R}TrZRTR for a direction-dependent matrix R\mathcal{R}R, which vanishes on the kernel of ZZZ, so it is not positive without H3(a) relating the kernels of all members of the pencil. Dual attainment and complementarity for (15) also have to be established, and the local second-order bound then has to be converted into a statement about every nearby feasible point.

Formalization scope

  • Representation. Data are bundled in RobustSDP.Uniqueness.SDPData m n p q; decision points are pairs y : (Fin m → ℝ) × ℝ; the coefficient Fs i, i : Fin m, is the paper's Fi+1F_{i+1}Fi+1​. ⪰0\succeq 0⪰0 and ≻0\succ 0≻0 are Mathlib's Matrix.PosSemidef and Matrix.PosDef, which include symmetry, as the paper's notation does.
  • Conventions fixed. §4's standing choices D=0D = 0D=0 and ρ=1\rho = 1ρ=1 are built into (15). The standing assumptions c≠0c \neq 0c=0 and symmetric FiF_iFi​ (p. 33) are explicit hypotheses. H2 is read as bounded sublevel sets of the feasible set in (x,τ)(x,\tau)(x,τ); the paper's wording ("any unbounded sequence of feasible points produces an unbounded sequence of objectives") is meant in this sense, as its claim that H1 and H2 give existence of optimal points shows. H3(b)'s full column rank is injectivity of ξ↦(LTξ,R(x)ξ)\xi \mapsto (L^T\xi, R(x)\xi)ξ↦(LTξ,R(x)ξ). The QGC uses the Euclidean norm on Rm+1\mathbb{R}^{m+1}Rm+1 in its local form, which is equivalent to the paper's o(∥y−yopt∥2)o(\|y - y_{\mathrm{opt}}\|^2)o(∥y−yopt​∥2) form. It is stated for (15) rather than for the paper's reformulation (16), with which (15) coincides near the optimum because τopt>0\tau_{\mathrm{opt}} > 0τopt​>0. The auxiliary constraint τ≥0.99 τopt\tau \ge 0.99\,\tau_{\mathrm{opt}}τ≥0.99τopt​ of (16) is not formalized. GGG uses Lean's τ⁻¹, which is 000 at τ=0\tau = 0τ=0, so every statement about GGG assumes τ>0\tau > 0τ>0 or τ≠0\tau \ne 0τ=0.
  • No trivializing reading. The goal cannot be satisfied by stating only uniqueness of xxx, by reading H2 as "the objective is bounded below", or by reading H3(a) as "R(x)≠0R(x) \neq 0R(x)=0". The statement quantifies over the pair (x,τ)(x,\tau)(x,τ), and both the quadratic growth and the existence and uniqueness halves are required. The hypotheses are jointly satisfiable: for example m=1m = 1m=1, n=p=2n = p = 2n=p=2, q=4q = 4q=4, F(x)=diag(3+x,3−x)F(x) = \mathrm{diag}(3+x, 3-x)F(x)=diag(3+x,3−x), L=I2L = I_2L=I2​, R(x)=[1;x]⊗I2R(x) = [1; x]\otimes I_2R(x)=[1;x]⊗I2​ and c=1c = 1c=1.
  • Infrastructure. A complete development needs Schur complements for positive semidefinite block matrices (available in Mathlib), strong duality with dual attainment for inequality-form SDPs under Slater's condition (ConvexOptimization.sdp_strong_duality on the platform, in another Mathlib environment), existence of minimizers on closed bounded sets, second derivatives of matrix-valued maps, and a local second-order argument for convex problems. The duality and second-order parts can be reused beyond this mission. Contributions to any milestone, or alternative proofs that avoid the general Bonnans–Cominetti–Shapiro theory, are welcome.

Selected references

  • L. El Ghaoui, F. Oustry and H. Lebret, Robust Solutions to Uncertain Semidefinite Programs, SIAM J. Optim. 9(1), 33–52, 1998. https://doi.org/10.1137/S1052623496305717
  • J. F. Bonnans, R. Cominetti and A. Shapiro, Sensitivity analysis of optimization problems under second order regular constraints, Math. Oper. Res. 23(4), 806–831, 1998 (the paper's reference [10]). https://doi.org/10.1287/moor.23.4.806
  • A. Shapiro, First and second order analysis of nonlinear semidefinite programs, Math. Programming Ser. B 77, 301–320, 1997. https://doi.org/10.1007/BF02614439
  • R. T. Rockafellar, Convex Analysis, Princeton University Press, 1970. https://doi.org/10.1515/9781400873173
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Robust Solutions to Uncertain Semidefinite Programs IV: Closed-Form Robust Counterparts under Unstructured PerturbationsResearch Paper

Motivation

A semidefinite program (SDP) minimizes a linear objective cTxc^TxcTx subject to a linear matrix inequality (LMI) F(x)=F0+∑i=1mxiFi⪰0F(x) = F_0 + \sum_{i=1}^m x_i F_i \succeq 0F(x)=F0​+∑i=1m​xi​Fi​⪰0. In applications the coefficient matrices FiF_iFi​ are measured, estimated or rounded. A solution that is feasible for the nominal data can become infeasible for data that differ from it by an arbitrarily small amount.

El Ghaoui, Oustry and Lebret (SIAM J. Optim. 9(1), 1998) introduced robust semidefinite programs (RSDPs): the constraint must hold for every admissible perturbation of the data, and the robust solution is the best point that survives all of them. Their §5 works out the examples in which the robust counterpart has a closed form. The simplest and most widely quoted is the case where every coefficient matrix is perturbed independently and without structure (§5.1): the robust LMI becomes the single convex constraint F(x)⪰2ρ∥x∥2+1 IF(x) \succeq 2\rho\sqrt{\|x\|^2+1}\,IF(x)⪰2ρ∥x∥2+1​I. The same computation gives closed-form robust versions of linear programs (§5.3), of largest-eigenvalue minimization (§5.4) and of matrix-norm minimization (§5.6), each of which is the nominal problem plus a Tikhonov-type term ρ∥x∥2+1\rho\sqrt{\|x\|^2+1}ρ∥x∥2+1​. Robust linear programming under ellipsoidal uncertainty was developed at the same time by Ben-Tal and Nemirovski (Math. Oper. Res., 1998); robust least squares, the prototype of §5.6, by El Ghaoui and Lebret (SIAM J. Matrix Anal. Appl., 1997).

Setting

Fix m,n∈Nm, n \in \mathbb{N}m,n∈N, a level ρ>0\rho > 0ρ>0, and symmetric matrices F0,…,Fm∈Rn×nF_0, \dots, F_m \in \mathbb{R}^{n\times n}F0​,…,Fm​∈Rn×n. For x∈Rmx \in \mathbb{R}^mx∈Rm write F(x)=F0+∑i=1mxiFiF(x) = F_0 + \sum_{i=1}^m x_i F_iF(x)=F0​+∑i=1m​xi​Fi​ and ∥x∥2=∑i=1mxi2\|x\|^2 = \sum_{i=1}^m x_i^2∥x∥2=∑i=1m​xi2​ (the Euclidean norm). For a matrix MMM, ∥M∥\|M\|∥M∥ is its spectral norm, the largest singular value, and X⪰0X \succeq 0X⪰0 means that XXX is symmetric positive semidefinite.

An unstructured perturbation is a block row Δ=[Δ0 ⋯ Δm]\Delta = [\Delta_0 \ \cdots \ \Delta_m]Δ=[Δ0​ ⋯ Δm​] of n×nn\times nn×n blocks, viewed as one n×n(m+1)n \times n(m+1)n×n(m+1) matrix. It perturbs each coefficient independently:

F(x,Δ)=F(x)+Δ0+Δ0T+∑i=1mxi(Δi+ΔiT).\mathbf{F}(x,\Delta) = F(x) + \Delta_0 + \Delta_0^T + \sum_{i=1}^m x_i(\Delta_i + \Delta_i^T).F(x,Δ)=F(x)+Δ0​+Δ0T​+i=1∑m​xi​(Δi​+ΔiT​).

The robust feasible set is

Xρ={x∈Rm:F(x,Δ)⪰0 for every Δ with ∥Δ∥≤ρ},\mathcal{X}_\rho = \{x \in \mathbb{R}^m : \mathbf{F}(x,\Delta) \succeq 0 \text{ for every } \Delta \text{ with } \|\Delta\| \le \rho\},Xρ​={x∈Rm:F(x,Δ)⪰0 for every Δ with ∥Δ∥≤ρ},

and the RSDP is: minimize cTxc^TxcTx over Xρ\mathcal{X}_\rhoXρ​. With R(x)=[1; x]⊗IR(x) = [1;\,x]\otimes IR(x)=[1;x]⊗I, the n(m+1)×nn(m+1)\times nn(m+1)×n matrix whose iii-th block is x~iI\tilde x_i Ix~i​I for x~=(1,x1,…,xm)\tilde x = (1, x_1, \dots, x_m)x~=(1,x1​,…,xm​), the perturbation reads F(x,Δ)=F(x)+ΔR(x)+R(x)TΔT\mathbf{F}(x,\Delta) = F(x) + \Delta R(x) + R(x)^T\Delta^TF(x,Δ)=F(x)+ΔR(x)+R(x)TΔT (the paper's (19)).

Three further models use the same pattern. In a robust LP, the data [aiT bi]T[a_i^T\ b_i]^T[aiT​ bi​]T of each constraint aiTx≥bia_i^Tx \ge b_iaiT​x≥bi​ are shifted by an independent δi∈Rm+1\delta_i \in \mathbb{R}^{m+1}δi​∈Rm+1 with ∥δi∥2≤ρ\|\delta_i\|_2 \le \rho∥δi​∥2​≤ρ. In robust eigenvalue minimization one minimizes the worst case over ∥Δ∥≤ρ\|\Delta\|\le\rho∥Δ∥≤ρ of λmax⁡(F(x,Δ))\lambda_{\max}(\mathbf{F}(x,\Delta))λmax​(F(x,Δ)). In robust maximum-norm minimization, H(x)=H0+∑ixiHiH(x) = H_0 + \sum_i x_i H_iH(x)=H0​+∑i​xi​Hi​ with Hi∈Rp×qH_i \in \mathbb{R}^{p\times q}Hi​∈Rp×q, H(x,Δ)=H0+Δ0+∑ixi(Hi+Δi)\mathbf{H}(x,\Delta) = H_0 + \Delta_0 + \sum_i x_i(H_i + \Delta_i)H(x,Δ)=H0​+Δ0​+∑i​xi​(Hi​+Δi​), and one minimizes max⁡∥Δ∥≤ρ∥H(x,Δ)∥\max_{\|\Delta\|\le\rho}\|\mathbf{H}(x,\Delta)\|max∥Δ∥≤ρ​∥H(x,Δ)∥.

Formalization targets

Goal: Theorem 5.1 (first sentence)

For every x∈Rmx \in \mathbb{R}^mx∈Rm,

x∈Xρ  ⟺  F(x)⪰2ρ∥x∥2+1  I.x \in \mathcal{X}_\rho \iff F(x) \succeq 2\rho\sqrt{\|x\|^2+1}\; I .x∈Xρ​⟺F(x)⪰2ρ∥x∥2+1​I.

The RSDP and problem (21), "minimize cTxc^TxcTx subject to F(x)⪰2ρ∥x∥2+1 IF(x) \succeq 2\rho\sqrt{\|x\|^2+1}\,IF(x)⪰2ρ∥x∥2+1​I", therefore have the same feasible set, optimal value and solutions. The goal fixes no numerical data: F0,…,FmF_0, \dots, F_mF0​,…,Fm​, mmm, nnn and ρ>0\rho > 0ρ>0 are arbitrary.

Milestones on the way (§5.1)

  1. (19)–(20): x∈Xρx \in \mathcal{X}_\rhox∈Xρ​ iff there is τ∈R\tau \in \mathbb{R}τ∈R with [F(x)−τIρR(x)TρR(x)τI]⪰0\begin{bmatrix} F(x) - \tau I & \rho R(x)^T \\ \rho R(x) & \tau I\end{bmatrix} \succeq 0[F(x)−τIρR(x)​ρR(x)TτI​]⪰0.
  2. Positivity of τ\tauτ and the Schur form (for n≥1n \ge 1n≥1): that block matrix is ⪰0\succeq 0⪰0 iff τ>0\tau > 0τ>0 and F(x)⪰(τ+ρ2(1+∥x∥2)/τ)IF(x) \succeq \bigl(\tau + \rho^2(1+\|x\|^2)/\tau\bigr) IF(x)⪰(τ+ρ2(1+∥x∥2)/τ)I.
  3. (21): some τ>0\tau > 0τ>0 satisfies the Schur form iff F(x)⪰2ρ∥x∥2+1 IF(x) \succeq 2\rho\sqrt{\|x\|^2+1}\, IF(x)⪰2ρ∥x∥2+1​I.

Further milestones: the value halves of Theorems 5.2–5.4

  • Theorem 5.2: the robust LP constraints hold iff aiTx−ρ∥x∥22+1≥bia_i^Tx - \rho\sqrt{\|x\|_2^2+1} \ge b_iaiT​x−ρ∥x∥22​+1​≥bi​ for all iii (problem (23)).
  • Theorem 5.3: for every ttt, tI⪰F(x,Δ)tI \succeq \mathbf{F}(x,\Delta)tI⪰F(x,Δ) for all ∥Δ∥≤ρ\|\Delta\| \le \rho∥Δ∥≤ρ iff (t−2ρ∥x∥2+1)I⪰F(x)\bigl(t - 2\rho\sqrt{\|x\|^2+1}\bigr) I \succeq F(x)(t−2ρ∥x∥2+1​)I⪰F(x); that is, the worst-case largest eigenvalue is λmax⁡(F(x))+2ρ∥x∥2+1\lambda_{\max}(F(x)) + 2\rho\sqrt{\|x\|^2+1}λmax​(F(x))+2ρ∥x∥2+1​ (problem (25)).
  • Theorem 5.4: for p,q≥1p, q \ge 1p,q≥1, max⁡∥Δ∥≤ρ∥H(x,Δ)∥=∥H(x)∥+ρ∥x∥2+1\max_{\|\Delta\|\le\rho}\|\mathbf{H}(x,\Delta)\| = \|H(x)\| + \rho\sqrt{\|x\|^2+1}max∥Δ∥≤ρ​∥H(x,Δ)∥=∥H(x)∥+ρ∥x∥2+1​, and the maximum is attained (problem (29)).

Significance

The goal shows that robustness against unstructured perturbations costs no more than the nominal problem: the robust counterpart is an LMI of the same size n×nn\times nn×n, with a right-hand side that is a convex function of xxx and grows like 2ρ∥x∥2\rho\|x\|2ρ∥x∥. The sets Xρ\mathcal{X}_\rhoXρ​ have no flat faces, which the paper's §5.2 uses to define the robust center of an LMI and which underlies the uniqueness and continuity of the robust solution (the second sentences of Theorems 5.1–5.4, from §4 under hypotheses H1–H3). Theorems 5.3 and 5.4 exhibit robustification as a Tikhonov regularization with parameter 2ρ2\rho2ρ or ρ\rhoρ, and Theorem 5.2 turns a robust LP into a second-order cone program.

All four closed forms are proved in the paper, partly by appeal to the general SDP reformulation of its §3. No machine-checked version of any of them exists, to our knowledge. The mission produces the robust counterparts as identities of feasible sets, stated for every xxx, together with the three intermediate steps of §5.1, so that later missions on the uniqueness and stability halves can import them.

Difficulty

The goal is an exchange of a universal quantifier over an infinite family of matrices with a single matrix inequality. The inequality F(x,Δ)⪰F(x)−2ρ∥x∥2+1 I\mathbf{F}(x,\Delta) \succeq F(x) - 2\rho\sqrt{\|x\|^2+1}\,IF(x,Δ)⪰F(x)−2ρ∥x∥2+1​I bounds each perturbation, but the converse needs, for each failing direction, one admissible perturbation that attains the bound; the constant 222 comes from the two copies ΔR(x)\Delta R(x)ΔR(x) and R(x)TΔTR(x)^T\Delta^TR(x)TΔT, and the constant ∥x∥2+1\sqrt{\|x\|^2+1}∥x∥2+1​ is the spectral norm of R(x)R(x)R(x), which holds only because Δ\DeltaΔ is normed as one block row. Normed block by block, the worst case and the constant change. In the milestone route, the positivity of τ\tauτ needs a separate argument before any Schur complement can be taken, since the Schur complement with respect to τI\tau IτI is undefined at τ=0\tau = 0τ=0, and the elimination of τ\tauτ needs the attainment of min⁡τ>0τ+a/τ\min_{\tau>0} \tau + a/\tauminτ>0​τ+a/τ. For Theorem 5.4 the difficulty is the attainment: an upper bound on the maximum is immediate, while the lower bound requires exhibiting an admissible perturbation that attains it.

Formalization scope

Matrices are Matrix (Fin r) (Fin c) ℝ. Coefficients are indexed by Fin (m + 1) with index 0 the constant term. A block row Δ\DeltaΔ is one matrix with columns indexed by pairs (i, b) : Fin (m + 1) × Fin n (or Fin q), and ∥Δ∥\|\Delta\|∥Δ∥ is Mathlib's ℓ2\ell^2ℓ2 operator norm (open scoped Matrix.Norms.L2Operator), the largest singular value, never the default entrywise norm. The vector norm ∥x∥2\|x\|^2∥x∥2 is written as ∑ixi2\sum_i x_i^2∑i​xi2​, never as Mathlib's sup norm on Fin m → ℝ. A⪰BA \succeq BA⪰B is (A - B).PosSemidef. Standing assumptions made explicit: F0,…,FmF_0, \dots, F_mF0​,…,Fm​ symmetric; ρ>0\rho > 0ρ>0 (§3, p. 36); n≥1n \ge 1n≥1 in milestone 2 (at n=0n = 0n=0 every τ\tauτ is feasible); p,q≥1p, q \ge 1p,q≥1 in Theorem 5.4 (empty matrices have norm 000).

Readings and corrections of the printed text:

  1. "The optimal value of the RSDP can be computed by solving (21)" is stated as the identity of the two feasible sets for every xxx, which implies equality of values and of solutions. Theorems 5.2 and 5.4 are stated the same way (5.4 through the pointwise worst-case value, with attainment), and Theorem 5.3 in epigraph form, λmax⁡(M)≤t  ⟺  tI−M⪰0\lambda_{\max}(M) \le t \iff tI - M \succeq 0λmax​(M)≤t⟺tI−M⪰0.
  2. Only the first sentence of each theorem is in scope. Uniqueness, regularity, Lipschitz stability and the limit ρ→0\rho \to 0ρ→0 rest on Theorem 4.3 and on external results ([31], [3]) and are not stated.
  3. In (19) the paper writes D=Rn×nm\mathcal D = \mathbb R^{n\times nm}D=Rn×nm and "the representation in section 5"; Δ\DeltaΔ has m+1m+1m+1 blocks, so D=Rn×n(m+1)\mathcal D = \mathbb R^{n\times n(m+1)}D=Rn×n(m+1), and the representation is that of §2.2.
  4. The paper derives (20) from Lemma 3.2 and (29) from Theorem 3.2, which give only sufficient conditions; the exact equivalences are the full-perturbation Lemma 3.1 / Theorem 3.1.
  5. Before (21) the paper says "the scalar in the left-hand side" (it is on the right) and "the RSDP (1)" (it means the RSDP (4)). Theorem 5.3's "min-max problem (24)" is the robust version of the nominal problem (24).

A formalization in which ∥Δ∥\|\Delta\|∥Δ∥ is an entrywise or blockwise norm, ∥x∥\|x\|∥x∥ is the sup norm, or the robust set quantifies over a single block, changes the constant 2ρ∥x∥2+12\rho\sqrt{\|x\|^2+1}2ρ∥x∥2+1​ and is not this theorem; the statements here rule these out by construction.

Useful, reusable infrastructure: the spectral norm of [1; x]⊗I[1;\,x] \otimes I[1;x]⊗I, Schur complements for positive semidefinite block matrices, and spectral norms of rank-one matrices. Proofs of the three §5.1 milestones and direct proofs of the goal are both welcome.

Selected references

  • L. El Ghaoui, F. Oustry, H. Lebret, Robust Solutions to Uncertain Semidefinite Programs, SIAM J. Optim. 9(1):33–52, 1998. https://doi.org/10.1137/S1052623496305717
  • L. El Ghaoui, H. Lebret, Robust Solutions to Least-Squares Problems with Uncertain Data, SIAM J. Matrix Anal. Appl. 18(4):1035–1064, 1997. https://doi.org/10.1137/S0895479896298130
  • A. Ben-Tal, A. Nemirovski, Robust Convex Optimization, Math. Oper. Res. 23(4):769–805, 1998. https://doi.org/10.1287/moor.23.4.769
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Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach 1: Exact Worst-Case VaR under Known Mean and Covariance and Its SDP RepresentationsResearch Paper

Motivation

Value-at-Risk (VaR) is the standard regulatory measure of downside risk of a portfolio: the loss level that is exceeded only with a prescribed small probability ε\varepsilonε. Computing it requires the full distribution of asset returns, which is rarely known. In practice one estimates a mean vector and a covariance matrix and then assumes a Gaussian distribution, which understates the probability of large losses when returns are heavy-tailed or skewed.

El Ghaoui, Oks and Oustry (Oper. Res. 51(4), 2003) replace the distributional assumption by a worst case: the VaR is computed against every distribution consistent with the known moments. For known mean and covariance they obtain an exact closed form and several semidefinite (SDP) representations of this worst-case VaR. The SDP forms are what make the approach extend to moment uncertainty (moments only known to lie in a set, §2.2 of the paper) and to robust portfolio optimization. The equivalence between the probabilistic statement and the closed form is also a multivariate one-sided Chebyshev bound, related to Bertsimas and Popescu (SIAM J. Optim. 15(3), 2005; working paper 2000).

Setting

There are nnn assets. Their returns over one period form a random vector x∈Rnx \in \mathbb R^nx∈Rn, and a portfolio w∈Rnw \in \mathbb R^nw∈Rn earns r(w,x)=w⊤xr(w,x) = w^\top xr(w,x)=w⊤x. The paper restricts www to an admissible set that does not contain 000; only w≠0w \neq 0w=0 is used.

The distribution of xxx is unknown except for its mean x^∈Rn\hat x \in \mathbb R^nx^∈Rn and covariance matrix Γ\GammaΓ, with Γ≻0\Gamma \succ 0Γ≻0 (positive definite). Let P\mathcal PP be the set of all probability distributions on Rn\mathbb R^nRn with these two moments. For a loss level γ\gammaγ, the loss set is S={x∣γ≤−x⊤w}\mathcal S = \{x \mid \gamma \le -x^\top w\}S={x∣γ≤−x⊤w}. The worst-case VaR at level ε\varepsilonε is (Eq. (4))

VP(w)=min⁡{γ  :  sup⁡P∈PP(S)≤ε}.V_{\mathcal P}(w) = \min\Big\{\gamma \;:\; \sup_{P\in\mathcal P} P(\mathcal S) \le \varepsilon\Big\}.VP​(w)=min{γ:P∈Psup​P(S)≤ε}.

Further notation: κ(ε)=(1−ε)/ε\kappa(\varepsilon) = \sqrt{(1-\varepsilon)/\varepsilon}κ(ε)=(1−ε)/ε​ (Eq. (8)); for symmetric matrices, A⪰BA \succeq BA⪰B means A−BA - BA−B is positive semidefinite and ⟨A,B⟩=Tr⁡(AB)\langle A, B\rangle = \operatorname{Tr}(AB)⟨A,B⟩=Tr(AB). The second-moment matrix is (Eq. (6))

Σ=[Sx^x^⊤1],S=Γ+x^x^⊤.\Sigma = \begin{bmatrix} S & \hat x \\ \hat x^\top & 1\end{bmatrix}, \qquad S = \Gamma + \hat x\hat x^\top.Σ=[Sx^⊤​x^1​],S=Γ+x^x^⊤.

Formalization targets

Goal: Theorem 1 (pp. 545–546)

For Γ≻0\Gamma \succ 0Γ≻0, w≠0w \neq 0w=0, ε∈(0,1)\varepsilon \in (0,1)ε∈(0,1) and γ∈R\gamma \in \mathbb Rγ∈R, the following five propositions are equivalent:

  1. sup⁡P∈PP{γ≤−w⊤x}≤ε\sup_{P \in \mathcal P} P\{\gamma \le -w^\top x\} \le \varepsilonsupP∈P​P{γ≤−w⊤x}≤ε;
  2. κ(ε) ∥Γ1/2w∥2−x^⊤w≤γ\kappa(\varepsilon)\,\|\Gamma^{1/2} w\|_2 - \hat x^\top w \le \gammaκ(ε)∥Γ1/2w∥2​−x^⊤w≤γ;
  3. there are a symmetric MMM and τ∈R\tau \in \mathbb Rτ∈R with ⟨M,Σ⟩≤τε\langle M, \Sigma\rangle \le \tau\varepsilon⟨M,Σ⟩≤τε, M⪰0M \succeq 0M⪰0, τ≥0\tau \ge 0τ≥0, and M+[0ww⊤−τ+2γ]⪰0M + \begin{bmatrix} 0 & w\\ w^\top & -\tau + 2\gamma\end{bmatrix} \succeq 0M+[0w⊤​w−τ+2γ​]⪰0;
  4. every xxx with [Γx−x^(x−x^)⊤κ(ε)2]⪰0\begin{bmatrix}\Gamma & x - \hat x\\ (x-\hat x)^\top & \kappa(\varepsilon)^2\end{bmatrix} \succeq 0[Γ(x−x^)⊤​x−x^κ(ε)2​]⪰0 satisfies −x⊤w≤γ-x^\top w \le \gamma−x⊤w≤γ;
  5. there are a symmetric Λ\LambdaΛ and v∈Rv \in \mathbb Rv∈R with ⟨Λ,Γ⟩+κ(ε)2v−x^⊤w≤γ\langle \Lambda, \Gamma\rangle + \kappa(\varepsilon)^2 v - \hat x^\top w \le \gamma⟨Λ,Γ⟩+κ(ε)2v−x^⊤w≤γ and [Λw/2w⊤/2v]⪰0\begin{bmatrix}\Lambda & w/2\\ w^\top/2 & v\end{bmatrix} \succeq 0[Λw⊤/2​w/2v​]⪰0.

In particular

VP(w)=κ(ε) ∥Γ1/2w∥2−x^⊤w.V_{\mathcal P}(w) = \kappa(\varepsilon)\,\|\Gamma^{1/2}w\|_2 - \hat x^\top w.VP​(w)=κ(ε)∥Γ1/2w∥2​−x^⊤w.

Milestones (the steps of the paper's proof)

  • Condition C.1 (l(x)=[x⊤ 1]M[x⊤ 1]⊤≥0l(x) = [x^\top\,1] M [x^\top\,1]^\top \ge 0l(x)=[x⊤1]M[x⊤1]⊤≥0 for all xxx) is equivalent to M⪰0M \succeq 0M⪰0 (p. 546).
  • Conditions C.1 and C.2 are equivalent to the existence of τ≥0\tau \ge 0τ≥0 with M⪰0M \succeq 0M⪰0 and M+[0τwτw⊤−1+2τγ]⪰0M + \begin{bmatrix} 0 & \tau w\\ \tau w^\top & -1+2\tau\gamma\end{bmatrix} \succeq 0M+[0τw⊤​τw−1+2τγ​]⪰0 (p. 546).
  • The worst-case probability sup⁡P∈PP(S)\sup_{P\in\mathcal P} P(\mathcal S)supP∈P​P(S) equals the value of the SDP inf⁡⟨M,Σ⟩\inf \langle M, \Sigma\rangleinf⟨M,Σ⟩ under the constraints above (Eq. (14), pp. 546–547).
  • The Schur-complement reduction (19)–(20) of the constraints of the dual problem (18) (p. 547).
  • The closed form of ϕ(y)\phi(y)ϕ(y) and its maximum at y=εy = \varepsilony=ε (p. 547).
  • Condition (10) describes the ellipsoid {x∣(x−x^)⊤Γ−1(x−x^)≤κ(ε)2}\{x \mid (x-\hat x)^\top\Gamma^{-1}(x-\hat x) \le \kappa(\varepsilon)^2\}{x∣(x−x^)⊤Γ−1(x−x^)≤κ(ε)2}, and the maximal loss −x⊤w-x^\top w−x⊤w over it is κ(ε)w⊤Γw−x^⊤w\kappa(\varepsilon)\sqrt{w^\top\Gamma w} - \hat x^\top wκ(ε)w⊤Γw​−x^⊤w (p. 546).

Significance

The result. Proposition 2 turns the worst-case VaR into a second-order cone function of www, so minimizing it over a polytope of portfolios is a second-order cone program (Eq. (12)). The SDP forms 3 and 5 are the basis of the paper's §2.2–§3: they extend, with the moments only known to lie in a convex set, to a single SDP whose value is the worst-case VaR over that set. Proposition 4 gives a deterministic reading: the worst-case VaR is the largest loss when the return vector is only known to lie in an ellipsoid, which connects distributional robustness to robust optimization with ellipsoidal uncertainty.

Formalizing it. The result is proved in the paper, with two imported steps: strong duality for the moment problem (Smith 1995; Bonnans and Shapiro 2000) and a Slater-type strong duality for the one-constraint quadratic condition. No machine-checked version is known. A formal proof would supply these steps with explicit hypotheses and would produce a Lean statement of the multivariate one-sided Chebyshev (Cantelli) bound with tightness over the full moment class.

Difficulty

The matrix equivalences (2 ⇔ 4 ⇔ 5 and 2 ⇔ 3) are Schur complements and finite-dimensional SDP duality. The difficulty is Proposition 1. The upper bound (Cantelli's inequality for w⊤xw^\top xw⊤x) handles one direction, but the converse requires tightness: for every γ\gammaγ below the closed form, a distribution on Rn\mathbb R^nRn with exactly the prescribed mean and full covariance matrix Γ\GammaΓ that puts probability more than ε\varepsilonε on the loss set. A scalar extremal distribution for w⊤xw^\top xw⊤x does not by itself have the right covariance in the other directions, and a Gaussian does not reach the bound. The paper's route through the moment problem instead needs strong duality between a supremum over measures and an infimum over matrices, which is where the positive definiteness of Σ\SigmaΣ enters.

Formalization scope

  • Vectors live in EuclideanSpace ℝ (Fin n); x⊤wx^\top wx⊤w is the inner product, and matrices are Matrix (Fin n) (Fin n) ℝ. Matrices of size n+1n+1n+1 are indexed by Fin n ⊕ Fin 1 and built with Matrix.fromBlocks (the helper bordered A v c is [[A,v],[v⊤,c]][[A, v],[v^\top, c]][[A,v],[v⊤,c]]). A⪰0A \succeq 0A⪰0 is PosSemidef, Γ≻0\Gamma \succ 0Γ≻0 is PosDef, ⟨A,B⟩\langle A, B\rangle⟨A,B⟩ is (A * B).trace, and ∥Γ1/2w∥2\|\Gamma^{1/2}w\|_2∥Γ1/2w∥2​ is written w⊤Γw\sqrt{w^\top\Gamma w}w⊤Γw​.
  • The class P\mathcal PP (HasMeanCov) contains every Borel probability measure on Rn\mathbb R^nRn whose coordinates are square-integrable, with mean x^\hat xx^ and centred covariance Γ\GammaΓ. It is not restricted to densities or to Gaussians: the Gaussian class gives a different constant, −Φ−1(ε)-\Phi^{-1}(\varepsilon)−Φ−1(ε).
  • Sup, inf and max: "sup⁡P∈PP(S)≤ε\sup_{P\in\mathcal P}P(\mathcal S) \le \varepsilonsupP∈P​P(S)≤ε" is stated as "P(S)≤εP(\mathcal S) \le \varepsilonP(S)≤ε for every P∈PP \in \mathcal PP∈P". The worst-case probability SDP is stated as IsLUB/IsGLB of one real number (no attainment is claimed). The maxima over vvv, over y∈[ε,1]y \in [\varepsilon,1]y∈[ε,1] and over the ellipsoid are IsGreatest.
  • Corrections to the printed statement. The paper prints ε∈(0,1]\varepsilon \in (0,1]ε∈(0,1]; at ε=1\varepsilon = 1ε=1 Proposition 1 holds for every γ\gammaγ while Propositions 2–5 require γ≥−x^⊤w\gamma \ge -\hat x^\top wγ≥−x^⊤w, so the goal assumes 0<ε<10 < \varepsilon < 10<ε<1. The goal also assumes w≠0w \neq 0w=0, the paper's standing assumption; with w=0w = 0w=0, γ=0\gamma = 0γ=0 Proposition 1 fails and Proposition 2 holds. Milestones that remain true at ε=1\varepsilon = 1ε=1 keep ε≤1\varepsilon \le 1ε≤1.
  • A goal that omits Proposition 1 would only be matrix algebra and is not this theorem. The five-way equivalence must be proved with the probabilistic statement included.
  • Useful infrastructure, reusable beyond this mission: the homogenization lemma for quadratic functions, the S-lemma with one affine constraint, the Schur-complement criteria for bordered PSD matrices, and duality for the moment problem. Proofs of any milestone, and of lemmas building a distribution with prescribed mean and covariance, are welcome.

Selected references

  • L. El Ghaoui, M. Oks, F. Oustry, Worst-Case Value-at-Risk and Robust Portfolio Optimization: A Conic Programming Approach, Operations Research 51(4):543–556, 2003. https://doi.org/10.1287/opre.51.4.543.16101
  • D. Bertsimas, I. Popescu, Optimal Inequalities in Probability Theory: A Convex Optimization Approach, SIAM J. Optim. 15(3):780–804, 2005. https://doi.org/10.1137/S1052623401399903
  • J. E. Smith, Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis, Operations Research 43(5):807–825, 1995. https://doi.org/10.1287/opre.43.5.807
  • J. F. Bonnans, A. Shapiro, Perturbation Analysis of Optimization Problems, Springer, 2000. https://doi.org/10.1007/978-1-4612-1394-9
  • L. Vandenberghe, S. Boyd, K. Comanor, Generalized Chebyshev Bounds via Semidefinite Programming, SIAM Review 49(1):52–64, 2007. https://doi.org/10.1137/S0036144504440543
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Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach 2: Closed Form of the Entropy-Constrained Worst-Case VaRResearch Paper

Motivation

Value-at-Risk (VaR) is the loss level that a portfolio exceeds with probability at most ε\varepsilonε. It is the standard risk measure of banking regulation, and its classical computation assumes Gaussian returns: for a Gaussian return vector with mean x^\hat xx^ and covariance Γ\GammaΓ it equals −Φ−1(ε)w⊤Γw−x^⊤w-\Phi^{-1}(\varepsilon)\sqrt{w^\top\Gamma w} - \hat x^\top w−Φ−1(ε)w⊤Γw​−x^⊤w, where Φ\PhiΦ is the standard normal distribution function. Real returns are not exactly Gaussian, and a VaR computed from a misspecified distribution can badly understate risk.

El Ghaoui, Oks and Oustry (Oper. Res. 51(4), 2003) replace the single distribution by a class P\mathcal PP of distributions and define the worst-case VaR as the smallest loss level whose probability is at most ε\varepsilonε under every distribution of the class. Their first class, distributions with a given mean and covariance, leads to the Chebyshev-type bound of their Theorem 1, whose worst case is attained by discrete distributions. §4.2 of the paper asks instead for distributions that stay close to a Gaussian, measured by relative entropy (Kullback–Leibler divergence). Such balls are the basic uncertainty sets of distributionally robust optimization and of robust control in economics (Hansen and Sargent's multiplier and constraint preferences), and they give a smooth worst case. Theorem 9 computes the resulting worst-case VaR in closed form.

Setting

Returns are random vectors x∈Rnx \in \mathbb R^nx∈Rn and a portfolio is a vector w∈Rnw \in \mathbb R^nw∈Rn with w≠0w \neq 0w=0; its return is r(w,x)=w⊤xr(w,x) = w^\top xr(w,x)=w⊤x. For a level γ∈R\gamma \in \mathbb Rγ∈R the loss set is Sγ={x:γ≤−x⊤w}\mathcal S_\gamma = \{x : \gamma \le -x^\top w\}Sγ​={x:γ≤−x⊤w} (Eq. 13 of the paper).

Given a class P\mathcal PP of probability distributions on Rn\mathbb R^nRn and ε∈(0,1)\varepsilon \in (0,1)ε∈(0,1), the worst-case Value-at-Risk (Eq. 4) is

VP(w)=min⁡{γ∈R:sup⁡P∈PP(Sγ)≤ε}.V_{\mathcal P}(w) = \min\Big\{\gamma \in \mathbb R : \sup_{P \in \mathcal P} P(\mathcal S_\gamma) \le \varepsilon\Big\}.VP​(w)=min{γ∈R:P∈Psup​P(Sγ​)≤ε}.

Fix a mean x^∈Rn\hat x \in \mathbb R^nx^∈Rn and a positive definite covariance Γ≻0\Gamma \succ 0Γ≻0, and let P0=N(x^,Γ)P_0 = \mathcal N(\hat x, \Gamma)P0​=N(x^,Γ) be the reference Gaussian. For d≥0d \ge 0d≥0 the relative-entropy class (Eq. 43) is

Pd={P probability on Rn:KL(P,P0)=∫log⁡dPdP0 dP≤d},\mathcal P_d = \Big\{P \text{ probability on } \mathbb R^n : \mathrm{KL}(P, P_0) = \int \log\frac{dP}{dP_0}\,dP \le d\Big\},Pd​={P probability on Rn:KL(P,P0​)=∫logdP0​dP​dP≤d},

with KL(P,P0)=+∞\mathrm{KL}(P,P_0) = +\inftyKL(P,P0​)=+∞ unless PPP is absolutely continuous with respect to P0P_0P0​.

The risk factor (Eq. 45) is

f(ε,d)=sup⁡λ>0eε/λ−d−1e1/λ−1,κ(ε,d)=−Φ−1(f(ε,d)),f(\varepsilon,d) = \sup_{\lambda>0}\frac{e^{\varepsilon/\lambda - d} - 1}{e^{1/\lambda} - 1}, \qquad \kappa(\varepsilon,d) = -\Phi^{-1}\big(f(\varepsilon,d)\big),f(ε,d)=λ>0sup​e1/λ−1eε/λ−d−1​,κ(ε,d)=−Φ−1(f(ε,d)),

and the Gaussian tail of the loss set is ϕ(γ)=P0(Sγ)=1−Φ((γ+w⊤x^)/w⊤Γw)\phi(\gamma) = P_0(\mathcal S_\gamma) = 1 - \Phi\big((\gamma + w^\top\hat x)/\sqrt{w^\top\Gamma w}\big)ϕ(γ)=P0​(Sγ​)=1−Φ((γ+w⊤x^)/w⊤Γw​).

Formalization targets

Goal: Theorem 9 (p. 553)

For Γ≻0\Gamma \succ 0Γ≻0, w≠0w \neq 0w=0, d≥0d \ge 0d≥0 and 0<ε<10 < \varepsilon < 10<ε<1, the minimum in (4) over Pd\mathcal P_dPd​ exists and

VPd(w)=κ(ε,d)w⊤Γw−x^⊤w.(44)V_{\mathcal P_d}(w) = \kappa(\varepsilon,d)\sqrt{w^\top\Gamma w} - \hat x^\top w. \tag{44}VPd​​(w)=κ(ε,d)w⊤Γw​−x^⊤w.(44)

Milestones

The milestones follow the proof of Theorem 9 on pp. 553–554, in attack order.

  1. Eq. (45). The two expressions of fff agree: sup⁡λ>0eε/λ−d−1e1/λ−1=sup⁡v>0e−d(v+1)ε−1v\sup_{\lambda>0}\frac{e^{\varepsilon/\lambda-d}-1}{e^{1/\lambda}-1} = \sup_{v>0}\frac{e^{-d}(v+1)^\varepsilon - 1}{v}supλ>0​e1/λ−1eε/λ−d−1​=supv>0​ve−d(v+1)ε−1​.
  2. Gaussian tail. P0(Sγ)=1−Φ((γ+w⊤x^)/w⊤Γw)P_0(\mathcal S_\gamma) = 1 - \Phi\big((\gamma + w^\top\hat x)/\sqrt{w^\top\Gamma w}\big)P0​(Sγ​)=1−Φ((γ+w⊤x^)/w⊤Γw​).
  3. Eq. (47). For λ>0\lambda > 0λ>0, the Lagrangian L(Q)=Q(Sγ)+λ0(1−Q(Rn))+λ(d−KL-integral)L(Q) = Q(\mathcal S_\gamma) + \lambda_0(1 - Q(\mathbb R^n)) + \lambda(d - \mathrm{KL}\text{-integral})L(Q)=Q(Sγ​)+λ0​(1−Q(Rn))+λ(d−KL-integral) is maximised over finite measures Q≪P0Q \ll P_0Q≪P0​ by the exponentially tilted density dQ⋆/dP0=exp⁡((χS−λ0)/λ−1)dQ^\star/dP_0 = \exp((\chi_{\mathcal S} - \lambda_0)/\lambda - 1)dQ⋆/dP0​=exp((χS​−λ0​)/λ−1), with value
θ(λ0,λ)=λ0+λd+λe−λ0/λ−1((e1/λ−1)ϕ(γ)+1).\theta(\lambda_0,\lambda) = \lambda_0 + \lambda d + \lambda e^{-\lambda_0/\lambda - 1}\big((e^{1/\lambda}-1)\phi(\gamma) + 1\big).θ(λ0​,λ)=λ0​+λd+λe−λ0​/λ−1((e1/λ−1)ϕ(γ)+1).
  1. Eq. (48). min⁡λ0∈Rθ(λ0,λ)=λd+λlog⁡((e1/λ−1)ϕ(γ)+1)\min_{\lambda_0\in\mathbb R}\theta(\lambda_0,\lambda) = \lambda d + \lambda\log\big((e^{1/\lambda}-1)\phi(\gamma)+1\big)minλ0​∈R​θ(λ0​,λ)=λd+λlog((e1/λ−1)ϕ(γ)+1).
  2. Duality. sup⁡P∈PdP(Sγ)=inf⁡λ>0(λd+λlog⁡((e1/λ−1)ϕ(γ)+1))\sup_{P\in\mathcal P_d} P(\mathcal S_\gamma) = \inf_{\lambda>0}\big(\lambda d + \lambda\log((e^{1/\lambda}-1)\phi(\gamma)+1)\big)supP∈Pd​​P(Sγ​)=infλ>0​(λd+λlog((e1/λ−1)ϕ(γ)+1)).
  3. Inversion. For d>0d > 0d>0: some λ>0\lambda > 0λ>0 makes the dual value at most ε\varepsilonε if and only if γ≥κ(ε,d)w⊤Γw−w⊤x^\gamma \ge \kappa(\varepsilon,d)\sqrt{w^\top\Gamma w} - w^\top\hat xγ≥κ(ε,d)w⊤Γw​−w⊤x^.
  4. Remark after Theorem 9. f(ε,0)=εf(\varepsilon, 0) = \varepsilonf(ε,0)=ε, so κ(ε,0)=−Φ−1(ε)\kappa(\varepsilon,0) = -\Phi^{-1}(\varepsilon)κ(ε,0)=−Φ−1(ε). The risk factor κ(ε,d)\kappa(\varepsilon, d)κ(ε,d) is strictly increasing in d≥0d \ge 0d≥0.

Significance

Theorem 9 says that an entropy ball around a Gaussian leaves the form of the Gaussian VaR unchanged: only the risk factor moves, from −Φ−1(ε)-\Phi^{-1}(\varepsilon)−Φ−1(ε) to κ(ε,d)\kappa(\varepsilon,d)κ(ε,d), a scalar computed by a one-dimensional maximisation. The worst-case VaR therefore stays a convex function of www whenever κ≥0\kappa \ge 0κ≥0, and minimising it over a polytope of portfolios is a second-order cone program (problem (3) of the paper). The number f(ε,d)f(\varepsilon,d)f(ε,d) is the largest ppp with KL(Bernoulli(ε) ∥ Bernoulli(p))≤d\mathrm{KL}(\mathrm{Bernoulli}(\varepsilon)\,\|\,\mathrm{Bernoulli}(p)) \le dKL(Bernoulli(ε)∥Bernoulli(p))≤d, which ties the result to the binary-divergence bounds used throughout information theory.

The theorem was proved in 2003. The worst-case-probability step (milestone 5) is an instance of the Donsker–Varadhan / Gibbs variational duality for relative-entropy balls, which the paper imports from the literature (Smith 1995). No machine-checked proof of Theorem 9 or of this duality on Rn\mathbb R^nRn is known. A formalization would give a verified closed form for a relative-entropy distributionally robust chance constraint, and the duality and tilting lemmas would serve any mission on KL-ball robust optimization.

Difficulty

The obvious argument is Lagrangian duality for the infinite-dimensional problem sup⁡{P(Sγ):KL(P,P0)≤d}\sup\{P(\mathcal S_\gamma) : \mathrm{KL}(P,P_0) \le d\}sup{P(Sγ​):KL(P,P0​)≤d}. Weak duality and the pointwise maximisation that produces the tilted density are elementary. The difficulty is the step the paper cites rather than proves: that the duality gap is zero, and that the supremum over distributions equals the infimum of the dual over λ>0\lambda > 0λ>0. The feasible set is a set of measures, the objective is an indicator, and the constraint is a divergence that is +∞+\infty+∞ off a set of absolutely continuous measures, so a finite-dimensional Slater argument does not apply as stated.

The second difficulty is at the boundary of the parameters. At d=0d = 0d=0 the supremum defining f(ε,0)f(\varepsilon,0)f(ε,0) is approached only as λ→∞\lambda \to \inftyλ→∞, so the final inversion step behaves differently from d>0d > 0d>0. At ε=1\varepsilon = 1ε=1 the theorem is false, since every level γ\gammaγ is feasible and (4) has no minimum.

Formalization scope

Returns live in EuclideanSpace ℝ (Fin n). P0P_0P0​ is Mathlib's multivariateGaussian xhat Γ with Γ.PosDef, and KL\mathrm{KL}KL is InformationTheory.klDiv, which is ∞\infty∞ unless P≪P0P \ll P_0P≪P0​ with integrable log-likelihood ratio and equals ∫log⁡dPdP0 dP\int\log\frac{dP}{dP_0}\,dP∫logdP0​dP​dP otherwise for probability measures. The class Pd\mathcal P_dPd​ requires IsProbabilityMeasure P. Φ\PhiΦ is cdf (gaussianReal 0 1), and Φ−1(p)\Phi^{-1}(p)Φ−1(p) is defined as inf⁡{t:p≤Φ(t)}\inf\{t : p \le \Phi(t)\}inf{t:p≤Φ(t)}, which inverts Φ\PhiΦ on (0,1)(0,1)(0,1). The quadratic form w⊤Γww^\top\Gamma ww⊤Γw is a double sum, and ∥Γ1/2w∥2\|\Gamma^{1/2}w\|_2∥Γ1/2w∥2​ is written w⊤Γw\sqrt{w^\top\Gamma w}w⊤Γw​.

Conventions the Lean statements commit to:

  • "min" in (4) is IsLeast of the feasible set {γ:P(Sγ)≤ε ∀P∈Pd}\{\gamma : P(\mathcal S_\gamma) \le \varepsilon \ \forall P \in \mathcal P_d\}{γ:P(Sγ​)≤ε ∀P∈Pd​}. "sup⁡PP(Sγ)≤ε\sup_{P}P(\mathcal S_\gamma) \le \varepsilonsupP​P(Sγ​)≤ε" is written "for every PPP", with probabilities compared in [0,∞][0,\infty][0,∞].
  • The paper prints ε∈(0,1]\varepsilon \in (0,1]ε∈(0,1]. The mission assumes 0<ε<10 < \varepsilon < 10<ε<1, because the goal is false at ε=1\varepsilon = 1ε=1.
  • w≠0w \neq 0w=0 is the paper's assumption that the admissible set of portfolios excludes 000.
  • f(ε,d)f(\varepsilon,d)f(ε,d) is a Lean sSup of a set that is nonempty and bounded above by 111 for ε≤1\varepsilon \le 1ε≤1, d≥0d \ge 0d≥0.
  • The duality of milestone 5 is stated as the existence of one real number that is both the least upper bound of the worst-case probabilities and the greatest lower bound of the dual values, not as an equality of Lean's sSup and sInf.
  • Eq. (48) is stated as an attained minimum (IsLeast), which the calculus gives.
  • Milestone 3 works with finite measures Q≪P0Q \ll P_0Q≪P0​ with integrable log-likelihood ratio in place of the paper's densities ppp. It uses the complement of Sγ\mathcal S_\gammaSγ​ where the paper writes {γ≥−x⊤w}\{\gamma \ge -x^\top w\}{γ≥−x⊤w}, which differs by a P0P_0P0​-null hyperplane.
  • Milestone 6 assumes d>0d > 0d>0; the goal keeps d≥0d \ge 0d≥0.

Restricting Pd\mathcal P_dPd​ to {P0}\{P_0\}{P0​}, dropping IsProbabilityMeasure, or taking an arbitrary reference measure would trivialize or change the theorem. The class is the full KL ball around the nondegenerate Gaussian.

Infrastructure a complete development needs: the pushforward of a multivariate Gaussian under a linear functional (a one-dimensional Gaussian), the Gibbs variational principle for relative entropy, the strong duality for KL balls, and properties of Φ\PhiΦ and its quantile (continuity, strict monotonicity, symmetry Φ(−t)=1−Φ(t)\Phi(-t) = 1 - \Phi(t)Φ(−t)=1−Φ(t)). The Gaussian-quantile and KL-ball duality lemmas are reusable beyond this mission. Contributions of any of these as separate lemmas are welcome.

Selected references

  • L. El Ghaoui, M. Oks, F. Oustry, Worst-Case Value-at-Risk and Robust Portfolio Optimization: A Conic Programming Approach, Operations Research 51(4):543–556, 2003. https://doi.org/10.1287/opre.51.4.543.16101
  • J. E. Smith, Generalized Chebychev Inequalities: Theory and Applications in Decision Analysis, Operations Research 43(5):807–825, 1995. https://doi.org/10.1287/opre.43.5.807
  • M. D. Donsker, S. R. S. Varadhan, Asymptotic evaluation of certain Markov process expectations for large time, I, Communications on Pure and Applied Mathematics 28(1):1–47, 1975. https://doi.org/10.1002/cpa.3160280102
  • L. P. Hansen, T. J. Sargent, Robust Control and Model Uncertainty, American Economic Review 91(2):60–66, 2001. https://doi.org/10.1257/aer.91.2.60
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Convex OptimizationMachine LearningOperations Research+2·Captain: mikedeng1

Distributionally Robust Logistic Regression I: The Worst-Case Expected Logloss over a Wasserstein Ball Is a Tractable Convex ProgramResearch Paper

Motivation

Logistic regression is among the most widely used classification methods in statistics and machine learning. Its maximum-likelihood estimator minimizes the average logloss on the training data and is known to overfit when data are scarce; practitioners respond with ad hoc regularization, typically a norm penalty on the weight vector. Shafieezadeh-Abadeh, Mohajerin Esfahani and Kuhn (NIPS 2015, arXiv:1509.09259) replace the empirical average by a worst case over all distributions within a Wasserstein ball around the empirical distribution. The resulting model has a finite convex reformulation, contains classical and norm-regularized logistic regression as special cases, and comes with out-of-sample guarantees. It is one of the early instances of Wasserstein distributionally robust optimization in learning, building on the duality theory of Mohajerin Esfahani and Kuhn (Math. Program. 2018, arXiv:1505.05116); the regularization interpretation was later extended to general losses by Shafieezadeh-Abadeh, Kuhn and Mohajerin Esfahani (JMLR 2019, arXiv:1710.10016).

Setting

Let VVV be the feature space Rn\mathbb R^nRn with an arbitrary norm ∥⋅∥\|\cdot\|∥⋅∥, and let ∥β∥∗=sup⁡∥x∥≤1⟨β,x⟩\|\beta\|_* = \sup_{\|x\|\le1}\langle\beta,x\rangle∥β∥∗​=sup∥x∥≤1​⟨β,x⟩ be the dual norm of a weight vector β\betaβ. Labels are y∈{−1,+1}y\in\{-1,+1\}y∈{−1,+1}, and the feature-label space is Ξ=V×{−1,+1}\Xi = V\times\{-1,+1\}Ξ=V×{−1,+1}. The logloss of β\betaβ at (x,y)(x,y)(x,y) is

lβ(x,y)=log⁡(1+exp⁡(−y⟨β,x⟩)).l_\beta(x,y) = \log\big(1+\exp(-y\langle\beta,x\rangle)\big).lβ​(x,y)=log(1+exp(−y⟨β,x⟩)).

For a label weight κ>0\kappa>0κ>0, the metric of Definition 2 on Ξ\XiΞ is

d((x,y),(x′,y′))=∥x−x′∥+κ ∣y−y′∣/2,d\big((x,y),(x',y')\big) = \|x-x'\| + \kappa\,|y-y'|/2 ,d((x,y),(x′,y′))=∥x−x′∥+κ∣y−y′∣/2,

so that changing a label costs κ\kappaκ. The Wasserstein distance W(Q,P)W(\mathbb Q,\mathbb P)W(Q,P) between probability distributions on Ξ\XiΞ (Definition 1) is the infimum of ∫d(ξ,ξ′) Π(dξ,dξ′)\int d(\xi,\xi')\,\Pi(d\xi,d\xi')∫d(ξ,ξ′)Π(dξ,dξ′) over all couplings Π\PiΠ of Q\mathbb QQ and P\mathbb PP, and Bε(P)={Q:W(Q,P)≤ε}\mathbb B_\varepsilon(\mathbb P) = \{\mathbb Q : W(\mathbb Q,\mathbb P)\le\varepsilon\}Bε​(P)={Q:W(Q,P)≤ε}. Given training samples (x^i,y^i)i=1N(\hat x_i,\hat y_i)_{i=1}^N(x^i​,y^​i​)i=1N​, the empirical distribution is P^N=1N∑iδ(x^i,y^i)\hat{\mathbb P}_N = \frac1N\sum_i\delta_{(\hat x_i,\hat y_i)}P^N​=N1​∑i​δ(x^i​,y^​i​)​, and the distributionally robust logistic regression problem (6) is

J^=inf⁡β sup⁡Q∈Bε(P^N)EQ[lβ(x,y)].\hat J = \inf_\beta\ \sup_{\mathbb Q\in\mathbb B_\varepsilon(\hat{\mathbb P}_N)} \mathbb E^{\mathbb Q}\big[l_\beta(x,y)\big].J^=βinf​ Q∈Bε​(P^N​)sup​EQ[lβ​(x,y)].

Program (7) has variables β\betaβ, λ∈R\lambda\in\mathbb Rλ∈R, s∈RNs\in\mathbb R^Ns∈RN, objective λε+1N∑isi\lambda\varepsilon + \frac1N\sum_i s_iλε+N1​∑i​si​, and constraints lβ(x^i,y^i)≤sil_\beta(\hat x_i,\hat y_i)\le s_ilβ​(x^i​,y^​i​)≤si​, lβ(x^i,−y^i)−λκ≤sil_\beta(\hat x_i,-\hat y_i)-\lambda\kappa\le s_ilβ​(x^i​,−y^​i​)−λκ≤si​ for all iii, and ∥β∥∗≤λ\|\beta\|_*\le\lambda∥β∥∗​≤λ.

Formalization targets

Goal: Theorem 1 (tractable reformulation)

For every ε≥0\varepsilon\ge0ε≥0, κ>0\kappa>0κ>0, N≥1N\ge1N≥1 and every norm on the feature space,

inf⁡β sup⁡Q∈Bε(P^N)EQ[lβ]  =  inf⁡{λε+1N∑isi:(β,λ,s) feasible for (7)},\inf_\beta\ \sup_{\mathbb Q\in\mathbb B_\varepsilon(\hat{\mathbb P}_N)}\mathbb E^{\mathbb Q}[l_\beta] \;=\; \inf\Big\{\lambda\varepsilon+\tfrac1N\textstyle\sum_i s_i : (\beta,\lambda,s)\text{ feasible for (7)}\Big\},βinf​ Q∈Bε​(P^N​)sup​EQ[lβ​]=inf{λε+N1​∑i​si​:(β,λ,s) feasible for (7)},

and for ε>0\varepsilon>0ε>0 the infimum of (7) is attained.

Milestones

  1. §3.1 — the feasible set of (7) is convex.
  2. §2 — for ε=0\varepsilon=0ε=0 the worst-case expected logloss is the empirical average logloss, so (6) reduces to classical logistic regression (2).
  3. Theorem 1 for fixed β\betaβ — sup⁡Q∈Bε(P^N)EQ[lβ]\sup_{\mathbb Q\in\mathbb B_\varepsilon(\hat{\mathbb P}_N)}\mathbb E^{\mathbb Q}[l_\beta]supQ∈Bε​(P^N​)​EQ[lβ​] equals the attained minimum of (7) over (λ,s)(\lambda,s)(λ,s) with β\betaβ fixed.
  4. Remark 2, eq. (9) — at an optimal solution (β^,λ^,s^)(\hat\beta,\hat\lambda,\hat s)(β^​,λ^,s^),
J^=λ^ε+EP^N[lβ^]+1N∑imax⁡{0,y^i⟨β^,x^i⟩−λ^κ}.\hat J = \hat\lambda\varepsilon + \mathbb E^{\hat{\mathbb P}_N}[l_{\hat\beta}] + \tfrac1N\textstyle\sum_i\max\{0,\hat y_i\langle\hat\beta,\hat x_i\rangle-\hat\lambda\kappa\}.J^=λ^ε+EP^N​[lβ^​​]+N1​∑i​max{0,y^​i​⟨β^​,x^i​⟩−λ^κ}.
  1. Remark 1 — as κ→∞\kappa\to\inftyκ→∞ the optimal value of (7) converges to inf⁡βε∥β∥∗+1N∑ilβ(x^i,y^i)\inf_\beta \varepsilon\|\beta\|_* + \frac1N\sum_i l_\beta(\hat x_i,\hat y_i)infβ​ε∥β∥∗​+N1​∑i​lβ​(x^i​,y^​i​).
  2. Theorem 2, implication — if PN{P∈Bε(P^N)}≥1−η\mathbb P^N\{\mathbb P\in\mathbb B_\varepsilon(\hat{\mathbb P}_N)\}\ge1-\etaPN{P∈Bε​(P^N​)}≥1−η, then PN{EP[lβ^]≤J^}≥1−η\mathbb P^N\{\mathbb E^{\mathbb P}[l_{\hat\beta}]\le\hat J\}\ge1-\etaPN{EP[lβ^​​]≤J^}≥1−η.

Significance

Theorem 1 turns a minimax problem over an infinite-dimensional family of distributions into a finite convex program whose size grows linearly in NNN; with the ℓ1\ell_1ℓ1​, ℓ2\ell_2ℓ2​ or ℓ∞\ell_\inftyℓ∞​ norm it is a standard exponential-cone or conic program. Remark 1 explains norm-regularized logistic regression as a distributionally robust model: the regularizer is the dual norm of the transport cost on features, and the regularization weight is the radius of the ambiguity set. Remark 2 exposes an additional term that accounts for label noise and vanishes as label changes become prohibitively expensive. Theorem 2 makes the optimal value J^\hat JJ^ a certificate on the out-of-sample logloss whenever the ball contains the true distribution.

The paper's proofs are in a technical appendix and have not been machine-checked. Mathlib contains no Wasserstein distributionally robust duality. This mission produces a formal statement of the reformulation with an arbitrary norm and a label-dependent cost, together with formal versions of the paper's printed consequences of it (Remarks 1 and 2, the ε=0\varepsilon=0ε=0 reduction, and the implication in Theorem 2).

Difficulty

The worst-case expectation ranges over every Borel probability distribution within transport distance ε\varepsilonε of the empirical distribution, including distributions with unbounded support and distributions that move mass across labels. Exhibiting good distributions in the ball shows only that the robust value is at least the value of (7); the reverse inequality must control every distribution in the ball at once, and nothing in the definition of the ball bounds its elements' supports. The obvious simplification, restricting attention to distributions supported on finitely many points, again yields only a one-sided bound unless the supremum is shown to be approached by such distributions. The label term of the metric couples the two label classes, so results for a pure norm cost on the features do not apply directly, and the dual norm enters through an arbitrary norm rather than the Euclidean one.

Formalization scope

  • The feature space is an abstract finite-dimensional real normed space V standing for (Rn,∥⋅∥)(\mathbb R^n,\|\cdot\|)(Rn,∥⋅∥) with an arbitrary norm; weights are continuous linear functionals V →L[ℝ] ℝ, and ∥β∥∗\|\beta\|_*∥β∥∗​ is their operator norm, which is exactly the dual norm. Labels are Bool, embedded as ±1\pm1±1; the label −y-y−y is Boolean negation. The metric of Definition 2 is written literally.
  • The Wasserstein distance is of type 1, valued in [0,∞][0,\infty][0,∞], with couplings ranging over all probability measures on Ξ×Ξ\Xi\times\XiΞ×Ξ with the two prescribed marginals. The ball consists of probability measures.
  • Expectations of the positive logloss are lower Lebesgue integrals in [0,∞][0,\infty][0,∞], and the supremum over the ball is taken there; the optimal value of (7) is the infimum of its (nonnegative) objective over the feasible set, also in [0,∞][0,\infty][0,∞]. A Bochner integral, which vanishes on non-integrable functions, would make the worst case trivially finite and is not used.
  • The standing hypotheses are κ>0\kappa>0κ>0, ε≥0\varepsilon\ge0ε≥0, N≥1N\ge1N≥1.
  • Correction. The paper prints "min" in (7) for all ε≥0\varepsilon\ge0ε≥0. At ε=0\varepsilon=0ε=0 the minimum can fail to be attained (V=RV=\mathbb RV=R, N=1N=1N=1, x^1=1\hat x_1=1x^1​=1, y^1=+1\hat y_1=+1y^​1​=+1: the value is 000 but every feasible point has positive objective). The goal states the value identity for ε≥0\varepsilon\ge0ε≥0 and attainment for ε>0\varepsilon>0ε>0.
  • Remark 1 is formalized as convergence of optimal values as κ→∞\kappa\to\inftyκ→∞; a metric with κ=∞\kappa=\inftyκ=∞ is not formalized. Only convexity, not tractability, of (7) is stated. The first claim of Theorem 2 (the radius (8) and the light-tail assumption) is not formalized; the confidence of the ball event is a hypothesis of milestone 6.
  • A formalization in which the ball is taken only over distributions supported on the training samples, or in which the label term of the metric is dropped, trivializes the second constraint group of (7) and is ruled out: the ball here contains every Borel probability distribution on Ξ\XiΞ within the prescribed distance.
  • Infrastructure needed and reusable beyond this mission: type-1 optimal transport on product spaces with a label component, couplings and their marginals, and elementary properties of the logloss as a function of β\betaβ. Contributions of such supporting lemmas as independent theorems are welcome.

Selected references

  • S. Shafieezadeh-Abadeh, P. Mohajerin Esfahani, D. Kuhn, Distributionally Robust Logistic Regression, Advances in Neural Information Processing Systems 28 (NIPS 2015). https://arxiv.org/abs/1509.09259
  • P. Mohajerin Esfahani, D. Kuhn, Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations, Mathematical Programming 171 (2018). https://arxiv.org/abs/1505.05116
  • N. Fournier, A. Guillin, On the rate of convergence in Wasserstein distance of the empirical measure, Probability Theory and Related Fields 162 (2015). https://arxiv.org/abs/1312.2128
  • S. Shafieezadeh-Abadeh, D. Kuhn, P. Mohajerin Esfahani, Regularization via Mass Transportation, Journal of Machine Learning Research 20 (2019). https://arxiv.org/abs/1710.10016
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Linear OptimizationMachine LearningOperations Research+3·Captain: mikedeng1

Distributionally Robust Logistic Regression II: Worst- and Best-Case Misclassification Risks over a Wasserstein Ball Are Linear ProgramsResearch Paper

Motivation

A logistic regression model is fitted on finitely many samples, and the quantity a practitioner cares about is the misclassification risk of the fitted classifier on new data. Its empirical counterpart, the training error, is biased downwards, and classical generalization bounds give it an additive margin that depends on a complexity measure of the model class rather than on the data at hand.

Shafieezadeh-Abadeh, Mohajerin Esfahani and Kuhn (NIPS 2015) take a distributionally robust route. They surround the empirical distribution of the training data by a ball of distributions in the Wasserstein metric and, for a given weight vector, compute the largest and the smallest misclassification probability over that ball. Their Theorem 3 shows that both extremes are optimal values of explicit linear programs. Combined with a measure-concentration result for the empirical distribution in the Wasserstein metric (Fournier and Guillin, PTRF 2015), the two values bracket the true risk with a prescribed confidence. The same Wasserstein-ball construction underlies the data-driven optimization framework of Mohajerin Esfahani and Kuhn (Math. Program. 2018).

Setting

Let VVV be the feature space Rn\mathbb R^nRn with an arbitrary norm ∥⋅∥\|\cdot\|∥⋅∥, and let labels take the values y∈{−1,+1}y\in\{-1,+1\}y∈{−1,+1}. The feature-label space is Ξ=V×{−1,+1}\Xi = V\times\{-1,+1\}Ξ=V×{−1,+1} with points ξ=(x,y)\xi=(x,y)ξ=(x,y). A weight vector β\betaβ acts on features by x↦⟨β,x⟩x\mapsto\langle\beta,x\ranglex↦⟨β,x⟩; its dual norm is ∥β∥∗=sup⁡∥x∥≤1⟨β,x⟩\|\beta\|_* = \sup_{\|x\|\le1}\langle\beta,x\rangle∥β∥∗​=sup∥x∥≤1​⟨β,x⟩.

Metric (Definition 2). For a weight κ>0\kappa>0κ>0,

d((x,y),(x′,y′))=∥x−x′∥+κ ∣y−y′∣/2.d\big((x,y),(x',y')\big) = \|x-x'\| + \kappa\,|y-y'|/2 .d((x,y),(x′,y′))=∥x−x′∥+κ∣y−y′∣/2.

Changing a label costs κ\kappaκ; moving a feature costs its norm distance.

Wasserstein distance (Definition 1). For distributions Q,P\mathbb Q,\mathbb PQ,P on Ξ\XiΞ, W(Q,P)W(\mathbb Q,\mathbb P)W(Q,P) is the infimum of ∫d(ξ,ξ′) Π(dξ,dξ′)\int d(\xi,\xi')\,\Pi(d\xi,d\xi')∫d(ξ,ξ′)Π(dξ,dξ′) over all couplings Π\PiΠ of Q\mathbb QQ and P\mathbb PP. The Wasserstein ball of radius ε≥0\varepsilon\ge0ε≥0 is Bε(P)={Q:W(Q,P)≤ε}\mathbb B_\varepsilon(\mathbb P) = \{\mathbb Q : W(\mathbb Q,\mathbb P)\le\varepsilon\}Bε​(P)={Q:W(Q,P)≤ε}.

Data. Training samples (x^i,y^i)(\hat x_i,\hat y_i)(x^i​,y^​i​), i=1,…,Ni=1,\dots,Ni=1,…,N, define the empirical distribution P^N=1N∑i=1Nδ(x^i,y^i)\hat{\mathbb P}_N = \frac1N\sum_{i=1}^N\delta_{(\hat x_i,\hat y_i)}P^N​=N1​∑i=1N​δ(x^i​,y^​i​)​.

Classifier and risk. Logistic regression models Prob⁡(y∣x)=[1+exp⁡(−y⟨β,x⟩)]−1\operatorname{Prob}(y\mid x) = [1+\exp(-y\langle\beta,x\rangle)]^{-1}Prob(y∣x)=[1+exp(−y⟨β,x⟩)]−1 (eq. (1)). The classifier is fβ(x)=+1f_\beta(x)=+1fβ​(x)=+1 if Prob⁡(+1∣x)>0.5\operatorname{Prob}(+1\mid x)>0.5Prob(+1∣x)>0.5 and −1-1−1 otherwise, and its risk under the data-generating distribution P\mathbb PP is R(β)=P[y≠fβ(x)]\mathfrak R(\beta) = \mathbb P[y\ne f_\beta(x)]R(β)=P[y=fβ​(x)].

Worst- and best-case risks.

Rmax⁡(β)=sup⁡Q∈Bε(P^N)EQ[1{y⟨β,x⟩≤0}],Rmin⁡(β)=inf⁡Q∈Bε(P^N)EQ[1{y⟨β,x⟩<0}].\mathfrak R_{\max}(\beta) = \sup_{\mathbb Q\in\mathbb B_\varepsilon(\hat{\mathbb P}_N)}\mathbb E^{\mathbb Q}\big[\mathbb 1_{\{y\langle\beta,x\rangle\le0\}}\big],\qquad \mathfrak R_{\min}(\beta) = \inf_{\mathbb Q\in\mathbb B_\varepsilon(\hat{\mathbb P}_N)}\mathbb E^{\mathbb Q}\big[\mathbb 1_{\{y\langle\beta,x\rangle<0\}}\big].Rmax​(β)=Q∈Bε​(P^N​)sup​EQ[1{y⟨β,x⟩≤0}​],Rmin​(β)=Q∈Bε​(P^N​)inf​EQ[1{y⟨β,x⟩<0}​].

The worst case counts a nonpositive margin, the best case a strictly negative one.

The linear programs. For data (x^i,y^i)(\hat x_i,\hat y_i)(x^i​,y^​i​), a weight vector β^\hat\betaβ^​ and variables λ∈R\lambda\in\mathbb Rλ∈R, s,r,t∈RNs,r,t\in\mathbb R^Ns,r,t∈RN, program (10a) minimizes λε+1N∑isi\lambda\varepsilon + \frac1N\sum_i s_iλε+N1​∑i​si​ subject to, for every iii,

1−riy^i⟨β^,x^i⟩≤si,1+tiy^i⟨β^,x^i⟩−λκ≤si,ri∥β^∥∗≤λ,ti∥β^∥∗≤λ,ri,ti,si≥0.1 - r_i\hat y_i\langle\hat\beta,\hat x_i\rangle\le s_i,\quad 1 + t_i\hat y_i\langle\hat\beta,\hat x_i\rangle - \lambda\kappa\le s_i,\quad r_i\|\hat\beta\|_*\le\lambda,\quad t_i\|\hat\beta\|_*\le\lambda,\quad r_i,t_i,s_i\ge0 .1−ri​y^​i​⟨β^​,x^i​⟩≤si​,1+ti​y^​i​⟨β^​,x^i​⟩−λκ≤si​,ri​∥β^​∥∗​≤λ,ti​∥β^​∥∗​≤λ,ri​,ti​,si​≥0.

Program (10b) has the same objective and bounds, with the signs of the two margin terms exchanged.

Formalization targets

Goal: Theorem 3 (i)–(ii)

For every κ>0\kappa>0κ>0, ε≥0\varepsilon\ge0ε≥0, N≥1N\ge1N≥1, all samples and every weight vector β^\hat\betaβ^​, both programs attain their minima vvv and www, and

Rmax⁡(β^)=v,Rmin⁡(β^)=1−w.\mathfrak R_{\max}(\hat\beta) = v,\qquad \mathfrak R_{\min}(\hat\beta) = 1-w .Rmax​(β^​)=v,Rmin​(β^​)=1−w.

The identities hold for each fixed β^\hat\betaβ^​, so they apply to any β^\hat\betaβ^​ computed from the data.

Milestone: Theorem 3(i) alone

Rmax⁡(β^)\mathfrak R_{\max}(\hat\beta)Rmax​(β^​) equals the minimum of (10a).

Milestones: the confidence clauses

If the training samples are i.i.d. from P\mathbb PP and the radius is such that PN{P∈Bε(P^N)}≥1−η\mathbb P^N\{\mathbb P\in\mathbb B_\varepsilon(\hat{\mathbb P}_N)\}\ge1-\etaPN{P∈Bε​(P^N​)}≥1−η, then for any sample-dependent β^\hat\betaβ^​

PN{R(β^)≤Rmax⁡(β^)}≥1−η,PN{Rmin⁡(β^)≤R(β^)}≥1−η,\mathbb P^N\{\mathfrak R(\hat\beta)\le\mathfrak R_{\max}(\hat\beta)\}\ge1-\eta,\qquad \mathbb P^N\{\mathfrak R_{\min}(\hat\beta)\le\mathfrak R(\hat\beta)\}\ge1-\eta,PN{R(β^​)≤Rmax​(β^​)}≥1−η,PN{Rmin​(β^​)≤R(β^​)}≥1−η, PN{Rmin⁡(β^)≤R(β^)≤Rmax⁡(β^)}≥1−2η.\mathbb P^N\{\mathfrak R_{\min}(\hat\beta)\le\mathfrak R(\hat\beta)\le\mathfrak R_{\max}(\hat\beta)\}\ge1-2\eta .PN{Rmin​(β^​)≤R(β^​)≤Rmax​(β^​)}≥1−2η.

Significance

The result. Theorem 3 replaces an optimization over an infinite-dimensional set of distributions by a linear program with 3N+13N+13N+1 variables and 4N4N4N constraints plus sign constraints. That makes the worst- and best-case misclassification probabilities computable at the scale of the training set, for any norm on the features whose dual norm can be evaluated. With the confidence clauses, the two values are data-driven upper and lower confidence bounds on the out-of-sample risk of the classifier actually deployed, including one fitted on the same data.

Formalizing it. The paper states Theorem 3 without proof in the main text; the argument is deferred to a technical appendix. No part of it is machine-checked. A formal proof needs the evaluation of a worst-case probability of a closed set over a type-1 Wasserstein ball around a discrete distribution, and the analogous best-case probability of an open set. Both are reusable in any Wasserstein-robust treatment of chance constraints or classification error.

Difficulty

The objective 1{y⟨β,x⟩≤0}\mathbf 1_{\{y\langle\beta,x\rangle\le0\}}1{y⟨β,x⟩≤0}​ is neither continuous nor concave, so the duality theorems for Wasserstein balls stated for continuous or Lipschitz losses do not apply directly. Upper semicontinuity of the indicator of a closed set is what matters, and the strict inequality in Rmin⁡\mathfrak R_{\min}Rmin​ has to be handled as the complement of a closed set. The transport cost couples a norm on the features with a discrete label-flip cost, so a sample can reach the misclassification region either by moving its feature to the hyperplane ⟨β^,x⟩=0\langle\hat\beta,x\rangle=0⟨β^​,x⟩=0 or by flipping its label, and the two options interact through the shared budget ε\varepsilonε. Distances to the hyperplane are measured in the given norm and produce the dual norm ∥β^∥∗\|\hat\beta\|_*∥β^​∥∗​. The degenerate weight β^=0\hat\beta=0β^​=0 (every point on the hyperplane) must come out correctly without any division by ∥β^∥∗\|\hat\beta\|_*∥β^​∥∗​.

Formalization scope

The feature space is a finite-dimensional real normed space V with an arbitrary norm, standing for (Rn,∥⋅∥)(\mathbb R^n,\|\cdot\|)(Rn,∥⋅∥); the Euclidean norm is not assumed. A weight vector is a continuous linear functional V →L[ℝ] ℝ, and ∥β^∥∗\|\hat\beta\|_*∥β^​∥∗​ is its operator norm, which is exactly the dual norm. Labels are Bool with an explicit embedding true↦+1\text{true}\mapsto+1true↦+1, false↦−1\text{false}\mapsto-1false↦−1; the metric of Definition 2 is written literally. The Wasserstein distance is ℝ≥0∞-valued, probabilities and expectations of indicators are measure values in [0,∞][0,\infty][0,∞], and suprema and infima range exactly over the probability measures in the ball. "min" in (10a)/(10b) is formalized as attainment (IsLeast) of the objective over the feasible set. Samples are indexed by Fin N with N≥1N\ge1N≥1.

The following choices differ from a literal reading of the page:

  • The paper says the risk "can be expressed as" EP[1{y⟨β,x⟩≤0}]\mathbb E^{\mathbb P}[\mathbb 1_{\{y\langle\beta,x\rangle\le0\}}]EP[1{y⟨β,x⟩≤0}​]. This fails on the hyperplane ⟨β,x⟩=0\langle\beta,x\rangle=0⟨β,x⟩=0, where fβ(x)=−1f_\beta(x)=-1fβ​(x)=−1 is correct for y=−1y=-1y=−1. The mission defines R(β)=P[y≠fβ(x)]\mathfrak R(\beta)=\mathbb P[y\ne f_\beta(x)]R(β)=P[y=fβ​(x)] from (1) and includes the true statement EP[1{y⟨β,x⟩<0}]≤R(β)≤EP[1{y⟨β,x⟩≤0}]\mathbb E^{\mathbb P}[\mathbb 1_{\{y\langle\beta,x\rangle<0\}}]\le\mathfrak R(\beta)\le\mathbb E^{\mathbb P}[\mathbb 1_{\{y\langle\beta,x\rangle\le0\}}]EP[1{y⟨β,x⟩<0}​]≤R(β)≤EP[1{y⟨β,x⟩≤0}​] as a helper item.
  • The choice ε=εN(η)\varepsilon=\varepsilon_N(\eta)ε=εN​(η) of (8) and the measure-concentration theorem behind it (Theorem 2) are not formalized. The confidence clauses take their conclusion, PN{P∈Bε(P^N)}≥1−η\mathbb P^N\{\mathbb P\in\mathbb B_\varepsilon(\hat{\mathbb P}_N)\}\ge1-\etaPN{P∈Bε​(P^N​)}≥1−η, as a hypothesis, and "with probability 1−η1-\eta1−η" is read as "with probability at least 1−η1-\eta1−η". The printed level 1−2η1-2\eta1−2η is kept for the two-sided bound.

Swapping the strict and non-strict inequalities in Rmax⁡\mathfrak R_{\max}Rmax​ and Rmin⁡\mathfrak R_{\min}Rmin​, restricting the supremum to measures supported on the sample points, or replacing the ball by a set that excludes non-discrete distributions would each change the theorem. None of these is an acceptable reformulation of the goal.

Useful infrastructure: couplings of a discrete measure with an arbitrary one, the distance from a point to a closed half-space in a general norm, and LP-duality arguments for fractional-knapsack-type programs. Proofs of the helper and confidence items, and any reusable lemma about worst-case probabilities of closed sets over Wasserstein balls, are welcome.

Selected references

  • S. Shafieezadeh-Abadeh, P. Mohajerin Esfahani, D. Kuhn, Distributionally Robust Logistic Regression, Advances in Neural Information Processing Systems 28 (NIPS 2015). https://papers.nips.cc/paper/2015/hash/cc1aa436277138f61cda703991069eaf-Abstract.html
  • N. Fournier, A. Guillin, On the rate of convergence in Wasserstein distance of the empirical measure, Probability Theory and Related Fields 162 (2015). https://doi.org/10.1007/s00440-014-0583-7
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