Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls

  title={Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls},
  author={Grani Adiwena Hanasusanto and Daniel Kuhn},
  journal={Oper. Res.},
Adaptive robust optimization problems are usually solved approximately by restricting the adaptive decisions to simple parametric decision rules. However, the corresponding approximation error can be substantial. In this paper we show that two-stage robust and distributionally robust linear programs can often be reformulated exactly as conic programs that scale polynomially with the problem dimensions. Specifically, when the ambiguity set constitutes a 2-Wasserstein ball centered at a discrete… 

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