Sensitivity analysis of Wasserstein distributionally robust optimization problems

DOI10.1098/RSPA.2021.0176MaRDI QIDQ6985551zbMATH OpenFDO

Authors Daniel Bartl, Samuel Drapeau, Jan Obłój, Johannes Wiesel

Publication date 12 May 2025

Published in Proceedings of the Royal Society of London. A. Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

sensitivity analysisuncertainty quantificationWasserstein metricrobust stochastic optimizationnon-parametric uncertainty

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic programming (90C15) Sensitivity, stability, parametric optimization (90C31)

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