التفاصيل البيبلوغرافية
| العنوان: |
Comparative Analysis of Two-Stage Distributionally Robust Optimization over 1-Wasserstein and 2-Wasserstein Balls |
| المؤلفون: |
Byeon, Geunyeong |
| سنة النشر: |
2025 |
| المجموعة: |
Mathematics |
| مصطلحات موضوعية: |
Mathematics - Optimization and Control, 90C15 Stochastic Programming, 90C25 Convex Programming, 90C47 Minimax Problems |
| الوصف: |
This paper investigates advantages of using 2-Wasserstein ambiguity sets over 1-Wasserstein sets in two-stage distributionally robust optimization with right-hand side uncertainty. We examine the worst-case distributions within 1- and 2-Wasserstein balls under both unrestricted and nonnegative orthant supports, highlighting a pathological behavior arising in 1-Wasserstein balls. Closed-form solutions for a single-scenario newsvendor problem illustrate that 2-Wasserstein balls enable more informed decisions. Additionally, a penalty-based dual interpretation suggests that 2-Wasserstein balls may outperform 1-Wasserstein balls across a broader range of Wasserstein radii, even with general support sets. |
| نوع الوثيقة: |
Working Paper |
| URL الوصول: |
http://arxiv.org/abs/2501.05619 |
| رقم الانضمام: |
edsarx.2501.05619 |
| قاعدة البيانات: |
arXiv |