# Consistency of Distributionally Robust Risk- and Chance-Constrained Optimization Under Wasserstein Ambiguity Sets

@article{Cherukuri2021ConsistencyOD, title={Consistency of Distributionally Robust Risk- and Chance-Constrained Optimization Under Wasserstein Ambiguity Sets}, author={Ashish Kumar Cherukuri and Ashish Ranjan Hota}, journal={IEEE Control Systems Letters}, year={2021}, volume={5}, pages={1729-1734} }

We study stochastic optimization problems with chance and risk constraints, where in the latter, risk is quantified in terms of the conditional value-at-risk (CVaR). We consider the distributionally robust versions of these problems, where the constraints are required to hold for a family of distributions constructed from the observed realizations of the uncertainty via the Wasserstein distance. Our main results establish that if the samples are drawn independently from an underlying… Expand

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