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Sanjay Mehrotra

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#machine learning Preprint Jul 2026

Robust Chance-Constrained Optimization using a Continuous Parameter Space Wasserstein-2 Ambiguity Set of Gaussian Mixtures

A novel formulation of a Wasserstein-2 metric that uses the Bures-Wasserstein (BW) metric over probability measures with finite second moments is developed, which allows the worst-case distribution to endogenously determine both how many mixture components receive mass and where their means and covariances lie within a continuous support.

Shibshankar Dey, Sanjay Mehrotra · 0 citations