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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.OC2023
Structured ambiguity sets for distributionally robust optimization
Lotfi M. Chaouach, Tom Oomen, Dimitris Boskos
Distributionally robust optimization (DRO) incorporates robustness against uncertainty in the specification of probabilistic models. This paper focuses on mitigating the curse of d…