DRO regularizers are worst-case sensitivities of expected cost, supplying a robustness measure that guides uncertainty-set selection and traces performance-robustness frontiers.
The empirical likelihood approach to quantifying uncer- tainty in sample average approximation.Operations Research Letters, 45(4):301–307
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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.