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math.OC2025
Tractable reformulations of DRO problems over structured optimal transport ambiguity sets
Lotfi M. Chaouach, Tom Oomen, Dimitris Boskos
Structuring ambiguity sets in Wasserstein-based distributionally robust optimization (DRO) can improve their statistical properties when the uncertainty consists of multiple indepe…
math.OC2025
Gradient sampling algorithm for subsmooth functions
Dimitris Boskos, Jorge Cortés, Sonia Martínez
This paper considers non-smooth optimization problems where we seek to minimize the pointwise maximum of a continuously parameterized family of functions. Since the objective funct…