arXiv Machine Learning
Jun 30

Wasserstein Distributionally Robust Regret Optimization

arXiv:2504. 10796v4 Announce Type: replace-cross Abstract: Distributionally robust optimization (DRO) is widely used for decision-making under uncertainty, but its adversarial focus on worst-case loss can lead to overly conservative policies.

By Lukas-Benedikt Fiechtner, Jose Blanchet
arXiv Machine Learning
Oct 9

Calibrating Ambiguity Set via Diagnostic Transport for Distributionally Robust Optimization

The paper introduces Diagnostic-Transport DRO (DT‑DRO), a method that calibrates the geometry of the ambiguity set in distributionally robust optimization using held‑out data. By applying the conditional probability integral transform to detect systematic probability misallocation, DT‑DRO adjusts both the ambiguity‑set center and ground cost through an outcome‑level transport, yielding a computationally tractable dual reformulation. The authors provide theoretical guarantees on ambiguity radii and decision‑risk bounds that improve as estimation errors shrink, and demonstrate that DT‑DRO can remove the robustness floor caused by model misspecification in synthetic and power‑outage experiments.

By Wenbin Zhou, Elizabeth Cucuzzella, Shixiang Zhu