Kavli Affiliate: Jia Liu | First 5 Authors: Yu Mei, Jia Liu, Zhiping Chen, , | Summary: We consider a distributionally robust second-order stochastic dominance constrained optimization problem. We require the dominance constraints hold with respect to all probability distributions in a Wasserstein ball centered at the empirical distribution. We adopt the sample approximation approach […]
Continue.. Distributionally robust second-order stochastic dominance constrained optimization with Wasserstein ball