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Distributionally robust optimization with correlated data from vector autoregressive processes
Abstract:We present a distributionally robust formulation of a stochastic optimization problem for non-i.i.d vector autoregressive data. We use the Wasserstein distance to define robustness in the space of distributions and we show, using duality theory, that the problem is equivalent to a finite convex–concave saddle point problem. The performance of the method is demonstrated on both synthetic and real data.
Keywords:Wasserstein distance  Distributionally robust optimization  Saddle point problem
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