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Calibrating Ambiguity Set via Diagnostic Transport for Distributionally Robust Optimization

arXiv:2610.10793v1 Announce Type: new Abstract: Distributionally robust optimization (DRO) protects decisions against distributional uncertainty by optimizing over an ambiguity set, but poorly aligned set geometry can require large radii and yield overly conservative decisions. We introduce diagnos…

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  1. 2026-10-09 04:00 · arXiv stat.ML
    Calibrating Ambiguity Set via Diagnostic Transport for Distributionally Robust Optimization

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