DRO regularizers are worst-case sensitivities of expected cost, supplying a robustness measure that guides uncertainty-set selection and traces performance-robustness frontiers.
On the heavy-tail behavior of the distributionally robust newsvendor.Operations Research, 69(4):1077–1099
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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.