On distributionally robust chance constrained programs with Wasserstein distance

Volume: 186, Issue: 1-2, Pages: 115 - 155
Published: Nov 13, 2019
Abstract
This paper studies a distributionally robust chance constrained program (DRCCP) with Wasserstein ambiguity set, where the uncertain constraints should be satisfied with a probability at least a given threshold for all the probability distributions of the uncertain parameters within a chosen Wasserstein distance from an empirical distribution. In this work, we investigate equivalent reformulations and approximations of such problems. We first...
Paper Details
Title
On distributionally robust chance constrained programs with Wasserstein distance
Published Date
Nov 13, 2019
Volume
186
Issue
1-2
Pages
115 - 155
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