Two-Stage Distributionally Robust Optimization: Intuitive Understanding and Algorithm Development from the Primal Perspective
In this paper, we study the two-stage distributionally robust optimization (DRO) problem from the primal perspective. Unlike existing approaches, this perspective allows us to build a deeper and more intuitive understanding on DRO, to leverage classical and well established solution methods and to develop a general and fast decomposition algorithm (and its variants), and to … Read more