DRO regularizers are worst-case sensitivities of expected cost, supplying a robustness measure that guides uncertainty-set selection and traces performance-robustness frontiers.
Dual stochastic dominance and re- lated mean–risk models.SIAM Journal on Optimization, 13(1):60–78
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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.