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math.OC2020
Second-order Conic Programming Approach for Wasserstein Distributionally Robust Two-stage Linear Programs
Zhuolin Wang, Keyou You, Shiji Song +1
This paper proposes a second-order conic programming (SOCP) approach to solve distributionally robust two-stage stochastic linear programs over 1-Wasserstein balls. We start from t…
math.OC2019
Wasserstein Distributionally Robust Shortest Path Problem
Zhuolin Wang, Keyou You, Shiji Song +1
This paper proposes a data-driven distributionally robust shortest path (DRSP) model where the distribution of the travel time in the transportation network can only be partially o…