3 papers
math.OC2025
Scenario-based Regularization: A Tractable Framework for Distributionally Robust Stochastic Optimization
Diego Fonseca, Mauricio Junca
We propose a flexible scenario-based regularized Sample Average Approximation (SBR-SAA) framework for stochastic optimization. This work is motivated by challenges in standard Wass…
math.OC2023
Decision-dependent Distributionally Robust Optimization
Diego Fonseca, Mauricio Junca
This work presents a new Distributionally Robust Optimization approach, using -Wasserstein metrics, to analyze a stochastic program in a general context. The ambiguity set in th…
math.OC2021
Wasserstein Distributionally Robust Optimization with Expected Value Constraints
Diego Fonseca, Mauricio Junca
We investigate a stochastic program with expected value constraints, addressing the problem in a general context through Distributionally Robust Optimization (DRO) approach using W…