DRO regularizers are worst-case sensitivities of expected cost, supplying a robustness measure that guides uncertainty-set selection and traces performance-robustness frontiers.
Controlling risk and demand ambiguity in newsvendor models.European Journal of Operational Research, 279:854–868, 2019
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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.