On linear optimization over Wasserstein balls

DOI10.1007/s10107-021-01673-8zbMath1504.90097arXiv2004.07162OpenAlexW3176590421MaRDI QIDQ2089797

Man-Chung Yue, Wolfram Wiesemann, Daniel Kuhn

Publication date: 24 October 2022

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

Full work available at URL: https://arxiv.org/abs/2004.07162

Mathematics Subject Classification ID

Convex programming (90C25) Linear programming (90C05) Robustness in mathematical programming (90C17)

Related Items (1)

Markov decision processes under model uncertainty

Uses Software

• Wasserstein GAN

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Extreme points of a ball about a measure with finite support
• On the extreme points of moments sets
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• A framework for optimization under ambiguity
• Quantitative stability analysis for minimax distributionally robust risk optimization
• Data-driven risk-averse stochastic optimization with Wasserstein metric
• Wasserstein metric and subordination
• Lectures on Stochastic Programming
• On Choosing and Bounding Probability Metrics
• Quantifying Distributional Model Risk via Optimal Transport
• Ambiguity in portfolio selection
• Optimal Transport

This page was built for publication: On linear optimization over Wasserstein balls