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On linear optimization over Wasserstein balls |
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| Authors: | Yue Man-Chung Kuhn Daniel Wiesemann Wolfram |
| Institution: | 1.Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Hong Kong ;2.College of Management of Technology, École polytechnique fédérale de Lausanne, Lausanne, Switzerland ;3.Imperial College Business School, Imperial College London, London, UK ; |
| Abstract: | Mathematical Programming - Wasserstein balls, which contain all probability measures within a pre-specified Wasserstein distance to a reference measure, have recently enjoyed wide popularity in the... |
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