Distributionally Robust Optimization with Multimodal Decision-Dependent Ambiguity Sets

We consider a two-stage distributionally robust optimization (DRO) model with multimodal uncertainty, where both the mode probabilities and uncertainty distributions could be affected by the first-stage decisions. To address this setting, we propose a generic framework by introducing a -divergence based ambiguity set to characterize the decision-dependent mode probabilities and further consider both moment-based and Wasserstein distance-based ambiguity sets to characterize the uncertainty distribution under each mode. We identify two special -divergence examples (variation distance and ²-distance) and provide specific forms of decision dependence relationships under which we can derive tractable reformulations. Furthermore, we investigate the benefits of considering multimodality in a DRO model compared to a single-modal counterpart through an analytical analysis. We provide a computational study over the facility location problem to illustrate our results, which demonstrate that omission of multimodality and decision-dependent uncertainties within DRO frameworks result in inadequately performing solutions with worse in-sample and out-of-sample performances under various settings.