It is not trivial to extend this package to the distributionally robust variant of stochastic programs (e.g., the formulation of Corollary 1 in http://www.optimization-online.org/DB_FILE/2020/04/7723.pdf). A main obstacle is the Lagrangian multipliers defined for non-coupling variables (i.e., y in the paper). To address that, the package may need to improve the design.
It is not trivial to extend this package to the distributionally robust variant of stochastic programs (e.g., the formulation of Corollary 1 in http://www.optimization-online.org/DB_FILE/2020/04/7723.pdf). A main obstacle is the Lagrangian multipliers defined for non-coupling variables (i.e.,
yin the paper). To address that, the package may need to improve the design.