V. Jeyakumar

Characterization and recovery of optimal distributions in Wasserstein expectation problems with non-convex quadratic functions via single SDP

We consider the minimization of the expectation of piecewise (not necessarily convex) quadratic function over Wasserstein balls. This expectation problem often appears as a key sub-problem of distributionally robust optimization problems. We present a computationally accessible semidefinite program (SDP)-based charac...