A column-generation-based C&CG algorithm from the primal perspective solves two-stage DRO exactly and empirically much faster, including problems with infeasible recourse and non-convex ambiguity sets.
Data-driven distributionally robust optimization using the wasserstein metric: Performance gu arantees and tractable re- formulations
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Two-Stage Distributionally Robust Optimization: Intuitive Understanding and Algorithm Development from the Primal Perspective
A column-generation-based C&CG algorithm from the primal perspective solves two-stage DRO exactly and empirically much faster, including problems with infeasible recourse and non-convex ambiguity sets.