Convergent Lifted Lasserre Hierarchy of SDPs for Minimizing Expectation of Piecewise Polynomial Loss over Wasserstein Balls

N. D. Dizon, Q. Y. Huang, T. D. Chuong +2

This paper investigates the minimization of the expectation of piecewise polynomial loss functions over Wasserstein balls. This optimization problem often appears as a key sub-prob…