It is shown that BiCS is applicable to standard DRO, almost-sure DRO, DRO with various chance constraints, and DRO with ambiguity sets strengthened by local information, and demonstrates superior performance, including solving cases where the examined compact reformulations are unavailable or computationally difficult.
Abstract
As a popular optimization scheme, distributionally robust optimization (DRO) protects decisions against ambiguity in probability distributions. For (single-stage) DRO, prevailing dual reformulations can become difficult when model or ambiguity-set structures are complex. We study DRO from a primal perspective, working directly with distributions in ambiguity sets on closed, potentially unbounded sample spaces. This perspective leads to an algorithmic framework, referred to as BiCS, that constructs and leverages distribution cuts to achieve strong performance. We show that BiCS is applicable to standard DRO, almost-sure DRO, DRO with various chance constraints, and DRO with ambiguity sets strengthened by local information. Numerical experiments with moment and Wasserstein ambiguity sets show that this framework demonstrates superior performance, including solving cases where the examined compact reformulations are unavailable or computationally difficult. The local-information study also makes changes in worst-case distributions directly visible.
This paper reduces the inner worst-case expectation problem exactly to a scalar budget allocation task, and embeds this procedure within an oracle-based distributional best-response framework to directly compute an approximate primal-dual solution to the overall DRO problem.
Guixian Chen, S. Fattahi, Soroosh Shafiee· 1 citation
A shrinkage path heuristic is proposed that reduces the solution of a DRO problem to a one-dimensional search over the line segment connecting the sample average approximation (SAA) and the (more demanding but practically solvable) classical robust optimization solution.
Ling-Jun Meng, Ryan Cory-Wright, W. Wiesemann· 0 citations
Data-driven distributionally robust optimization (DRO) typically treats the conditional outcome law as fixed and uses ambiguity sets to capture estimation error. This paper studies latent distributional heterogeneity, where each instance has an unobserved law but contributes only one observation, so uncertainty persists even if the mixture law is known. We propose Conformal-DRO, which uses nested conformal regions to construct an ambiguity set for the future latent law. Under exchangeability, the set covers this law with probability at least $1-\alpha$ in finite samples, without estimating underlying latent laws or their mixing mechanism. The conformal path induces a data-driven transport geometry, while $\alpha$ determines the radius. The worst-case problem reduces to a finite linear program over conformal shells and admits sparse adversarial solutions. The resulting robust value provides a finite-sample certificate for the selected decision's expected cost.
Causal Structure-guided DRO (CS-DRO) is proposed, which estimates a directed acyclic graph (DAG) that encodes the predictive relationships between representations and labels, serving as a proxy for causal structure shared across source domains.
Seonggyeom Kim, Eunjung Choi, Dong-Kyu Chae· Proceedings of the 32nd ACM...· 0 citations
Generative models are increasingly adopted in distributionally robust optimization (DRO), but existing approaches trade off model compatibility and adversarial structure: methods that accept arbitrary samplers do not restrict worst-case laws to a generator family, while generator-parameterized adversaries rely on model-specific access such as likelihoods, scores, or training data. We propose Generative Distributionally Robust Optimization (GDRO), a principled framework that accepts any sampleable conditional generator as the nominal model and restricts worst-case laws to a chosen conditional generator family. The key is the sampler-Sinkhorn pairing: samplers represent the conditional laws exactly, while Sinkhorn divergence compares their induced distributions without likelihood access and can be estimated from samples alone. The resulting population problem admits a direct finite-sample approximation and differentiable primal-dual implementation at the active decision context. For Lipschitz losses, the population Sinkhorn radius bounds downstream degradation. Across explicit and implicit generators, our method reduces rare-context inventory regret by 60% and SocialGAN navigation collisions by 50% relative to nominal decisions.
Zi-Wei Zhang, Jonathan Yu-Meng Li, Zhihao Jin· arXiv.org· 0 citations
This work derives a finite-dimensional dual formulation of PrO inference that separates sampling fluctuation, approximation under a divergence budget, regularization, and numerical optimization error and uses an exactly solvable categorical example to show that predictive-risk convergence can imply convergence to a unique predictive distribution even though the parameter distributions have no weak limit on the original parameter space.
Aurya Javeed, D. Kouri, Teresa Portone et al.· 0 citations
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