Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls

DOI10.1287/opre.2017.1698zbMath1455.90121arXiv1609.07505WikidataQ92968691 ScholiaQ92968691MaRDI QIDQ4971384

Grani A. Hanasusanto, Daniel Kuhn

Publication date: 12 October 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.07505

zbMATH Keywords

copositive programming; distributionally robust optimization; two-stage decision problems

Mathematics Subject Classification ID

90C30: Nonlinear programming

90C17: Robustness in mathematical programming

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Uses Software

• YALMIP
• ROME
• ElemStatLearn

Cites Work

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