most citedFast Epigraphical Projection-based Incremental Algorithms for Wasserstein Distributionally Robust Support Vector Machine

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math.OC2020★ 6 cited

Fast Epigraphical Projection-based Incremental Algorithms for Wasserstein Distributionally Robust Support Vector Machine

Jiajin Li, Caihua Chen, Anthony Man-Cho So

Wasserstein \textbf{D}istributionally \textbf{R}obust \textbf{O}ptimization (DRO) is concerned with finding decisions that perform well on data that are drawn from the worst-case p…