Distributionally Robust Optimization with Correlated Data from Vector Autoregressive Processes

8 Sep 2019Xialiang DouMihai Anitescu

We present a distributionally robust formulation of a stochastic optimization problem for non-i.i.d vector autoregressive data. We use the Wasserstein distance to define robustness in the space of distributions and we show, using duality theory, that the problem is equivalent to a finite convex-concave saddle point problem... (read more)

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