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math.OC2020★ 24 cited
Sensitivity analysis of Wasserstein distributionally robust optimization problems
Daniel Bartl, Samuel Drapeau, Jan Obloj +1
We consider sensitivity of a generic stochastic optimization problem to model uncertainty. We take a non-parametric approach and capture model uncertainty using Wasserstein balls a…
math.OC2014
Complete Duality for Quasiconvex and Convex Set-Valued Functions
Samuel Drapeau, Andreas H. Hamel, Michael Kupper
This paper provides an unique dual representation of set-valued lower semi-continuous quasiconvex and convex functions. The results are based on a duality result for increasing set…