Rui Gao

Distributionally robust stochastic optimization (DRSO) is a framework for decision-making problems under certainty, which finds solutions that perform well for a chosen set of probability distributions. Many different approaches for specifying a set of distributions have been proposed. The choice matters, because it affects the results, and the relative performance of different choices depend on … Read more

Distributionally robust stochastic optimization (DRSO) is an approach to optimization under uncertainty in which, instead of assuming that there is an underlying probability distribution that is known exactly, one hedges against a chosen set of distributions. In this paper, we consider sets of distributions that are within a chosen Wasserstein distance from a nominal distribution. … Read more