Under sign conditions on the technology matrix, the worst-case expected recourse cost in two-stage distributionally robust programs with infinity-Wasserstein ambiguity is exactly a finite linear or conic program with explicit penalty terms.
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Tractable Reformulations of Distributionally Robust Two-stage Stochastic Programs with $\infty-$Wasserstein Distance
Under sign conditions on the technology matrix, the worst-case expected recourse cost in two-stage distributionally robust programs with infinity-Wasserstein ambiguity is exactly a finite linear or conic program with explicit penalty terms.