Corpus ID: 53587176

Optimal Transport Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes

@article{Blanchet2018OptimalTB,
  title={Optimal Transport Based Distributionally Robust Optimization: Structural Properties and Iterative Schemes},
  author={J. Blanchet and K. Murthy and F. Zhang},
  journal={arXiv: Optimization and Control},
  year={2018}
}
  • J. Blanchet, K. Murthy, F. Zhang
  • Published 2018
  • Mathematics
  • arXiv: Optimization and Control
  • We consider optimal transport based distributionally robust optimization (DRO) problems with locally strongly convex transport cost functions and affine decision rules. Under conventional convexity assumptions on the underlying loss function, we obtain structural results about the value function, the optimal policy, and the worst-case optimal transport adversarial model. These results expose a rich structure embedded in the DRO problem (e.g., strong convexity even if the non-DRO problem was not… CONTINUE READING

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