Solving Wasserstein Distributionally Robust Combinatorial Optimization Problems

Marcel Jackiewicz (), Adam Kasperski () and Paweł Zieliński ()
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Marcel Jackiewicz: Wrocław University of Science and Technology
Adam Kasperski: Wrocław University of Science and Technology
Paweł Zieliński: Wrocław University of Science and Technology

Chapter Chapter 15 in Operations Research Proceedings 2023, 2025, pp 115-121 from Springer

Abstract: Abstract In this paper, a class of combinatorial optimization problems with uncertain objective function costs is considered. The unknown probability distribution for the uncertain cost vector is approximated by an empirical distribution based on an available sample of the cost realizations. The true probability distribution is assumed to lie in a Wasserstein ball centered in the empirical distribution. A solution minimizing the Conditional Value at Risk for a worst probability distribution in the Wasserstein ball is computed. A general method for computing this solution is proposed.

Keywords: Combinatorial optimization; Distributionally robust optimization; Wasserstein distance (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1007/978-3-031-58405-3_15

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