Finite-Sample Guarantees for Wasserstein Distributionally Robust Optimization: Breaking the Curse of Dimensionality.
Rui GaoPublished in: Oper. Res. (2023)
Keyphrases
- robust optimization
- finite sample
- sample size
- statistical learning theory
- uniform convergence
- stochastic programming
- nearest neighbor
- error bounds
- mathematical programming
- generalization error
- decision theory
- knn
- lot sizing
- semidefinite programming
- decision making
- distance function
- sufficient conditions
- support vector machine
- support vector
- training data