The paper defines the distributionally robust performative optimum (DRPO), minimizes worst-case performative risk over a KL uncertainty set of distribution maps, and proves it approximates the true performative optimum under misspecification.
Sample out-of-sample inference based on wasserstein distance
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Distributionally Robust Performative Prediction
The paper defines the distributionally robust performative optimum (DRPO), minimizes worst-case performative risk over a KL uncertainty set of distribution maps, and proves it approximates the true performative optimum under misspecification.