Data-Driven Chance Constrained Programs over Wasserstein Balls
@article{Chen2018DataDrivenCC, title={Data-Driven Chance Constrained Programs over Wasserstein Balls}, author={Zhi Chen and Daniel Kuhn and Wolfram Wiesemann}, journal={Operations Research}, year={2018} }
In the era of modern business analytics, data-driven optimization has emerged as a popular modeling paradigm to transform data into decisions. By constructing an ambiguity set of the potential data-generating distributions and subsequently hedging against all member distributions within this ambiguity set, data-driven optimization effectively combats the ambiguity with which real-life data sets are plagued. Chen et al. (2022) study data-driven, chance-constrained programs in which a decision…
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