arXiv2026
In this work, we present an algorithmically tractable safe approximation of distributionally robust optimization (DRO) problems that contain univariate indicator functions. The latter appear in different applications, but render the model nonlinear and nonconvex. The considered ambiguity sets can exploit moment information. Typically, reformulation approaches using duality theory need to make strong assumptions on the structure of the underlying constraints, such as convexity in the decisions or concavity in the uncertainty which cannot be assumed in our setting. We nevertheless present a semi-infinite minorant of the adversarial problem that admits a zero-gap dualization and is subsequently approximated by a discretized counterpart. Under mild assumptions, the latter provides a safe approximation that is a mixed-integer linear problem and can be solved by available standard software. Obtained solutions are guaranteed to be feasible for the original distributionally robust problem. We prove that the approximation of the adversarial problem converges to its true value for increasingly fine discretization, and that the values of the solutions of the safe approximations converge to the value of the true DRO problem under mild assumptions. In addition, the error bound yields an a posteriori enclosure of the true optimal value that can be evaluated in practice. On the practical side, the approach is made concrete for a challenging, fundamental task in material design, namely in particle separation. Computational results for a realistic setting show that the safe approximation meets the imposed quality requirement for every distribution in the ambiguity set, whereas the unprotected solution does not.