Consistency of Distributionally Robust Risk- and Chance-Constrained Optimization Under Wasserstein Ambiguity Sets

  title={Consistency of Distributionally Robust Risk- and Chance-Constrained Optimization Under Wasserstein Ambiguity Sets},
  author={Ashish Kumar Cherukuri and Ashish Ranjan Hota},
  journal={IEEE Control Systems Letters},
  • A. Cherukuri, A. Hota
  • Published 2021
  • Computer Science, Mathematics, Engineering
  • IEEE Control Systems Letters
We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where the constraints are required to hold for a family of distributions constructed from the observed realizations of the uncertainty via the Wasserstein distance. Our main results establish that if the samples are drawn independently from an underlying… Expand
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