Shortfall-Based Wasserstein Distributionally Robust Optimization
In this paper, we study a distributionally robust optimization (DRO) problem with affine decision rules. In particular, we construct an ambiguity set based on a new family of Wasserstein metrics, shortfall–Wasserstein metrics, which apply normalized utility-based shortfall risk measures to summarize...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-02-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/11/4/849 |