Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations.
Peyman Mohajerin EsfahaniDaniel KuhnPublished in: Math. Program. (2018)
Keyphrases
- robust optimization
- data driven
- chance constrained
- stochastic programming
- mathematical programming
- portfolio optimization
- risk measures
- lot sizing
- distance function
- decision theory
- computationally tractable
- distance measure
- computational complexity
- distance metric
- metric learning
- reinforcement learning
- special case