Sinkhorn Distributionally Robust Optimization

09/24/2021

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by   Jie Wang, et al.

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We study distributionally robust optimization with Sinkorn distance – a variant of Wasserstein distance based on entropic regularization. We derive convex programming dual reformulations when the nominal distribution is an empirical distribution and a general distribution, respectively. Compared with Wasserstein DRO, it is computationally tractable for a larger class of loss functions, and its worst-case distribution is more reasonable. To solve the dual reformulation, we propose an efficient batch gradient descent with a bisection search algorithm. Finally, we provide various numerical examples using both synthetic and real data to demonstrate its competitive performance.