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We provide an exact deterministic reformulation for data-driven chance constrained programs over Wasserstein balls.
Optimal guaranteed return portfolios and the casino effect
Dert, Cees, Bart Oldenkamp. 2000 · 2000
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Lectures on modern convex optimization: analysis, algorithms, and engineering applications
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A branch and bound method for stochastic integer problems under probabilistic constraints
Beraldi, Patrizia, Andrzej Ruszczyński. 2002 · 2002
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Ho-Nguyen, Nam, Fatma Kılınç-Karzan, Simge Küçükyavuz, Dabeen Lee. 2020 · 2007
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Ambiguity in portfolio selection
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Approximation theorems of mathematical statistics
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Distributionally robust optimization and its tractable approximations
Goh, Joel, Melvyn Sim. 2010 · 2010
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An integer programming approach for linear programs with probabilistic constraints
Luedtke, James, Shabbir Ahmed, George L Nemhauser. 2010 · 2010
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On mixing sets arising in chance-constrained programming
Küçükyavuz, Simge. 2012 · 2012
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Multi-resource allocation in stochastic project scheduling
Wiesemann, Wolfram, Daniel Kuhn, Berç Rustem. 2012 · 2012
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The robust capacitated vehicle routing problem under demand uncertainty
Gounaris, Chrysanthos E, Wolfram Wiesemann, Christodoulos A Floudas. 2013 · 2013
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Kullback-Leibler divergence constrained distributionally robust optimization. Available at Optimization Online
Hu, Zhaolin, Jeff Hong. 2013 · 2013
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Improved integer programming approaches for chance-constrained stochastic programming
Yanagisawa, H., T. Osogami. 2013 · 2013
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Distributionally robust convex optimization
Wiesemann, Wolfram, Daniel Kuhn, Melvyn Sim. 2014 · 2014
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Gao, Rui, Anton J Kleywegt. 2016 · 2016
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Data-driven chance constrained stochastic program
Jiang, Ruiwei, Yongpei Guan. 2016 · 2016
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Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
Lam, Henry. 2019 · 2019
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Regularization via mass transportation
Shafieezadeh-Abadeh, Soroosh, Daniel Kuhn, Peyman Mohajerin Esfahani. 2019 · 2019
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On distributionally robust chance constrained programs with Wasserstein distance
Xie, Weijun. 2019 · 2019
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The distributionally robust chance-constrained vehicle routing problem
Ghosal, Shubhechyya, Wolfram Wiesemann. 2020 · 2020
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Bicriteria approximation of chance-constrained covering problems
Xie, Weijun, Shabbir Ahmed. 2020 · 2020
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Sharing the value-at-risk under distributional ambiguity
Chen, Zhi, Weijun Xie. 2021 · 2021
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Gao, Rui, Xi Chen, Anton J Kleywegt. 2017 · 2017
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Wasserstein distance and the distributionally robust TSP
Carlsson, John Gunnar, Mehdi Behroozi, Kresimir Mihic. 2018 · 2018
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Risk-averse two-stage stochastic program with distributional ambiguity
Jiang, Ruiwei, Yongpei Guan. 2018 · 2018
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Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
Mohajerin Esfahani, Peyman, Daniel Kuhn. 2018 · 2018
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Data-driven risk-averse stochastic optimization with Wasserstein metric
Zhao, Chaoyue, Yongpei Guan. 2018 · 2018
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Robust Wasserstein profile inference and applications to machine learning
Blanchet, Jose, Yang Kang, Karthyek Murthy. 2019 · 2019
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Distributionally robust chance-constrained programs with right-hand side uncertainty under Wasserstein ambiguity
Ho-Nguyen, Nam, Fatma Kılınç-Karzan, Simge Küçükyavuz, Dabeen Lee. 2021 · 2021
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A distributionally robust chance-constrained model for humanitarian relief network design. Available at SSRN 3929286
Jiang, Zhenlong, Ran Ji, Sasha Dong. 2021 · 2021
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Convex chance-constrained programs with Wasserstein ambiguity. arXiv preprint arXiv:2111.02486
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Zhang, Yiling, Jin Dong. 2021 · 2021
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Wasserstein distributionally robust chance-constrained optimization for energy and reserve dispatch: an exact and physically-bounded formulation
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Robust growth-optimal portfolios
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