• Corpus ID: 251018543

Mean Robust Optimization

  title={Mean Robust Optimization},
  author={Irina Wang and Cole Becker and Bart P. G. Van Parys and Bartolomeo Stellato},
Robust optimization is a tractable and expressive technique for decision-making under uncertainty, but it can lead to overly conservative decisions because of pessimistic assumptions on the uncertain parameters. Wasserstein distributionally robust optimization can reduce conservatism by being closely data-driven, but it often leads to very large problems with prohibitive solution times. We introduce mean robust optimization, a general framework that combines the best of both worlds by providing… 

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