Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

DOI10.1007/s10107-017-1172-1zbMath1433.90095arXiv1505.05116OpenAlexW2963450292WikidataQ59523500 ScholiaQ59523500MaRDI QIDQ1785197

Daniel Kuhn, Peyman Mohajerin Esfahani

Publication date: 28 September 2018

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.05116

zbMATH Keywords

stochastic programmingconvex programmingminimax problems

Mathematics Subject Classification ID

Convex programming (90C25) Minimax problems in mathematical programming (90C47) Stochastic programming (90C15)

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Uses Software

• ROME

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