Preprint
Aug 2026
A Shrinkage Path Heuristic for Wasserstein Distributionally Robust Optimization
A shrinkage path heuristic is proposed that reduces the solution of a DRO problem to a one-dimensional search over the line segment connecting the sample average approximation (SAA) and the (more demanding but practically solvable) classical robust optimization solution.
Ling-Jun Meng, Ryan Cory-Wright, W. Wiesemann
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