Search Results for author: Luhao Zhang

Found 3 papers, 1 papers with code

A Short and General Duality Proof for Wasserstein Distributionally Robust Optimization

no code implementations30 Apr 2022 Luhao Zhang, Jincheng Yang, Rui Gao

We present a general duality result for Wasserstein distributionally robust optimization that holds for any Kantorovich transport cost, measurable loss function, and nominal probability distribution.

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