Distributionally Robust Stochastic Optimization with Wasserstein Distance
Distributionally Robust Stochastic Optimization with Wasserstein Distance
Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is a known true underlying probability distribution, one hedges against a chosen set of distributions. In this paper, we first point out that the set of distributions should be chosen to …