Distributionally Robust Stochastic Optimization with Wasserstein Distance

DOI10.1287/moor.2022.1275arXiv1604.02199MaRDI QIDQ6199265

Anton J. Kleywegt, Rui Gao

Publication date: 23 February 2024

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

Full work available at URL: https://arxiv.org/abs/1604.02199

zbMATH Keywords

Wasserstein metricdistributionally robust optimizationworst-case distributionambiguity setdata-driven decision making

Mathematics Subject Classification ID

Optimality conditions and duality in mathematical programming (90C46) Stochastic programming (90C15) Robustness in mathematical programming (90C17)

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