The paper derives moment (SDP) relaxations for Wasserstein DRO and proves O(r) asymptotic consistency to the empirical problem under degree or boundedness conditions.
Distributionally robust optimization with polynomial densities: theory, models and algorithms
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Moment Relaxations for Data-Driven Wasserstein Distributionally Robust Optimization
The paper derives moment (SDP) relaxations for Wasserstein DRO and proves O(r) asymptotic consistency to the empirical problem under degree or boundedness conditions.