Optimal transport-based distributionally robust optimization : structural properties and iterative schemes
Year of publication: |
2022
|
---|---|
Authors: | Blanchet, Jose ; Murthy, Karthyek ; Zhang, Fan |
Published in: |
Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 47.2022, 2, p. 1500-1529
|
Subject: | adversarial | comparative statics | distributionally robust optimization | optimal transport | rate of convergence | stochastic gradient descent | strong convexity | Wasserstein distances | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Robustes Verfahren | Robust statistics | Stochastischer Prozess | Stochastic process |
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