Maximum Mean Discrepancy Distributionally Robust Nonlinear Chance-Constrained Optimization with Finite-Sample Guarantee

Yassine Nemmour, Heiner Kremer, Bernhard Schölkopf +1

This paper is motivated by addressing open questions in distributionally robust chance-constrained programs (DRCCP) using the popular Wasserstein ambiguity sets. Specifically, the…