On distributionally robust chance constrained programs with Wasserstein distance

@article{Xie2021OnDR,
  title={On distributionally robust chance constrained programs with Wasserstein distance},
  author={Weijun Xie},
  journal={Math. Program.},
  year={2021},
  volume={186},
  pages={115-155}
}
  • Weijun Xie
  • Published 2021
  • Computer Science, Mathematics
  • Math. Program.
This paper studies a distributionally robust chance constrained program (DRCCP) with Wasserstein ambiguity set, where the uncertain constraints should be satisfied with a probability at least a given threshold for all the probability distributions of the uncertain parameters within a chosen Wasserstein distance from an empirical distribution. In this work, we investigate equivalent reformulations and approximations of such problems. We first show that a DRCCP can be reformulated as a… Expand

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