Convergent Lifted Lasserre Hierarchy of SDPs for Minimizing Expectation of Piecewise Polynomial Loss over Wasserstein Balls

Abstract

This paper investigates the minimization of the expectation of piecewise polynomial loss functions over Wasserstein balls. This optimization problem often appears as a key sub-problem of distributionally robust optimization problems. We establish the asymptotic convergence of a hierarchy of semi-definite programming (SDP) relaxations, providing a framework for approximating the optimal values of these inherently infinite-dimensional optimization problems. A central foundational contribution is the development of a new lifted positivity certificate: we demonstrate that piecewise polynomials positive over Archimedean basic semi-algebraic sets admit a structured system of sum-of-squares (SOS) representations. Furthermore, we prove that the proposed hierarchy achieves finite convergence under suitable conditions when the defining polynomials are convex. The practical utility and versatility of this approach are demonstrated via numerical experiments in revenue estimation and portfolio optimization.