DRO regularizers are worst-case sensitivities of expected cost, supplying a robustness measure that guides uncertainty-set selection and traces performance-robustness frontiers.
Distributionally favorable optimization: A framework for data-driven decision-making with endogenous outliers.SIAM Journal on Optimization, 34(1), 2024
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Robustness Measures in Distributionally Robust Optimization
DRO regularizers are worst-case sensitivities of expected cost, supplying a robustness measure that guides uncertainty-set selection and traces performance-robustness frontiers.