Wasserstein Distributionally Robust Optimization via Wasserstein Barycenters.

Tim Tsz-Kit Lau Han Liu

Published in: CoRR (2022)

Keyphrases

robust optimization
pointwise
chance constrained
mathematical programming
stochastic programming
portfolio optimization
risk measures
decision theory
decision making
artificial intelligence
semidefinite programming
computational complexity
np hard
case based reasoning
lot sizing