Infoscience (Ecole Polytechnique Fédérale de Lausanne)· 2017
Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations
- 1,778citations
- 2017year
Short summary
Distributionally robust optimization problems over Wasserstein balls can be reformulated as finite convex programs, often as tractable linear programs, with strong finite-sample performance guarantees.
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Management Science and Operations ResearchDecision Sciences