Mathematical economics

Metric (unit)

Wasserstein metric

Mathematics

Economic growth

Mathematical optimization

Risk aversion (psychology)

Stochastic programming

Mathematical analysis

Optimization problem

Economics

Robust optimization

Stochastic optimization

Programming language

Expected utility hypothesis

Operations management

Convergence (economics)

Computer science

Ambiguity

Applied mathematics

Infinity

Operations Research Letters

In this paper, we study a data-driven risk-averse stochastic optimization approach with Wasserstein Metric for the general distribution case. By using…

Data-driven risk-averse stochastic optimization with Wasserstein metric