【Robust学习笔记】Data-Driven Chance Constrained Programs over Wasserstein Balls
数据驱动下的机会约束优化考虑下列形式的分布鲁棒优化问题：minx∈XcTxs.t.P[ξ~∈S(x)]≥1−ϵ, ∀P∈F(θ)(1)\begin{aligned}\mathop{\min}\limits_{\boldsymbol{x}\in\mathcal{X}}&\quad\boldsymbol{c}^T\boldsymbol{x}\\\text{s.t.}&\quad\mathbb{P}