Perturbation Duality for Robust and Distributionally Robust Optimization: Short and General Proofs

TL;DR

This paper introduces perturbation duality as a unifying framework for robust and distributionally robust optimization, simplifying proofs and broadening applicability beyond traditional methods.

Contribution

It applies perturbation duality to derive dual formulations in RO and DRO without restrictive assumptions, unifying existing approaches and simplifying proofs.

Findings

Established dual representation for DRO framework with optimal transport and moment constraints.

Provided a unified characterization of the primal-worst equals dual-best principle.

Simplified recent results with concise, general proofs using perturbation duality.

Abstract

Duality is a foundational tool in robust and distributionally robust optimization (RO and DRO), underpinning both analytical insights and tractable reformulations. The prevailing approaches in the literature primarily rely on saddle-point arguments, Lagrangian techniques, and conic duality. In contrast, this paper applies perturbation duality in the sense of Fenchel--Rockafellar convex analysis and demonstrates its effectiveness as a general and unifying methodology for deriving dual formulations in RO and DRO. We first apply perturbation duality to a recently proposed DRO framework that unifies phi-divergence and Wasserstein ambiguity sets through optimal transport with conditional moment constraints. We establish the associated dual representation without imposing compactness assumptions previously conjectured to be necessary, instead introducing alternative conditions motivated by perturbation analysis and leveraging the Interchangeability Principle. We then revisit the concept of robust duality -- commonly described as ``primal-worst equals dual-best'' -- and show that perturbation-based formulations provide a unified and transparent characterization of this principle. In particular, we develop a bifunction-based representation that encompasses existing formulations in the literature and yields concise and general proofs, substantially simplifying recent results. This work positions perturbation duality as a versatile and underutilized framework for RO and DRO, offering both conceptual unification and technical generality across a broad class of models.