A Short and General Duality Proof for Wasserstein Distributionally Robust Optimization

Abstract

Wasserstein distributionally robust optimization has emerged as a recent topic with broader applications in operations research and machine learning. Various proofs have been presented in the literature, each differing in assumptions and levels of generality. In “A Short and General Duality Proof for Wasserstein Distributionally Robust Optimization,” Zhang, Yang, and Gao present a novel elementary proof that not only shortens existing frameworks but also offers surprising generalizations. Leveraging classical Legendre—Fenchel duality, they demonstrate that strong duality is contingent on a certain interchangeability principle. Moreover, they extend this duality result to encompass risk-averse optimization and globalized distributionally robust counterparts.