Worst-case expected ex post regret over a type-1 Wasserstein ball equals nominal expected regret plus the Wasserstein radius times the maximal dual-norm distance from the decision to the feasible set.
Coherent measures of risk
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Distributionally Robust Regret Minimization
Worst-case expected ex post regret over a type-1 Wasserstein ball equals nominal expected regret plus the Wasserstein radius times the maximal dual-norm distance from the decision to the feasible set.