A measure approximation theorem for Wasserstein-robust expected values
Probability
2019-12-30 v1 Optimization and Control
Abstract
We consider the problem of finding the infimum, over probability measures being in a ball defined by Wasserstein distance, of the expected value of a bounded Lipschitz random variable on . We show that if the algebra is approximated in by a sequence of -algebras in a certain natural sense, then the solutions of the induced approximated minimization problems converge to that of the initial minimization problem.
Cite
@article{arxiv.1912.12119,
title = {A measure approximation theorem for Wasserstein-robust expected values},
author = {Gusti van Zyl},
journal= {arXiv preprint arXiv:1912.12119},
year = {2019}
}