Embodiments of the disclosure include a system for providing data-driven distributionally robust optimization the system including a processor, the processor configured to perform a method. The method includes receiving a plurality of samples of one or more uncertain parameters for a complex system and calculating a distribution uncertainty set for the one or more uncertain parameters. The method also includes receiving a deterministic problem model associated with the complex system that includes an objective and one or more constraints and creating a distributionally robust counterpart (DRC) model based on the distribution uncertainty set and the deterministic problem model. The method further includes formulating the DRC as a generalized problem of moments (GPM), applying a semi-definite programming (SDP) relaxation to the GPM and generating an approximation for a globally optimal distributionally robust solution to the complex system.
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