A Short and General Duality Proof for Wasserstein Distributionally Robust Optimization

• Luhao Zhang

  Luhao Zhang

  [email protected]

  https://orcid.org/0000-0001-8568-3581

  Department of Applied Mathematics and Statistics, Johns Hopkins University, Baltimore, Maryland 21218;

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  ,
• Jincheng Yang

  Jincheng Yang

  [email protected]

  https://orcid.org/0000-0002-3581-9425

  Department of Mathematics, University of Chicago, Chicago, Illinois 60637;

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  ,
• Rui Gao

  Corresponding Author

  Rui Gao

  [email protected]

  https://orcid.org/0000-0003-0145-8577

  Department of Information, Risk and Operations Management, The University of Texas at Austin, Austin, Texas 78712

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