Optimal Transport-Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes

Jose Blanchet,Karthyek Murthy,Fan Zhang

Optimal Transport-Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes

2021

Jose Blanchet
Karthyek Murthy
Fan Zhang

We consider optimal transport-based distributionally robust optimization (DRO) problems with locally strongly convex transport cost functions and affine decision rules. Under conventional convexity...

Keywords:

Rate of convergence
Mathematical optimization
Comparative statics
Convex function
Stochastic gradient descent
Affine transformation
Robust optimization
Decision rule
Convexity
Mathematics

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