Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Distributionally Robust Optimization with Expected Constraints via
  Optimal Transport   We consider a stochastic program with expected value constraints. We analyze
this problem in a general context via Distributionally Robust Optimization
(DRO) approach using 1 or 2-Wasserstein metrics where the ambiguity set depends
on the decision. We show that this approach can be reformulated as a
finite-dimensional optimization problem, and, in some cases, this can be
convex. Additionally, we establish criteria to determine the feasibility of the
problem in terms of the Wasserstein radius and the level of the constraint.
Finally, we present numerical results in the context of management inventory
and portfolio optimization. In portfolio optimization context, we present the
advantages that our approach has over some existing non-robust methods using
real financial market data.

23
The categories of this paper are: solv-int
1
The categories of this paper are: cs
14
The categories of this paper are: math-ph
20
The categories of this paper are: acc-phys
3
The categories of this paper are: physics
15
The categories of this paper are: nucl-ex
9
The categories of this paper are: nlin
12
The categories of this paper are: nucl-th
32
The categories of this paper are: atom-ph
25
The categories of this paper are: patt-sol
18
The categories of this paper are: econ
34
The categories of this paper are: chem-ph
35
The categories of this paper are: mtrl-th
27
The categories of this paper are: comp-gas
33
The categories of this paper are: plasm-ph
17
The categories of this paper are: q-fin