mlsanityData to 14 Oct 2026

From Data to Decisions: Distributionally Robust Optimization is Optimal

arXiv 1704.04118 ↗First posted 13 Apr 2017math.OC cs.IT math.ITcited by 38

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Abstract (arXiv)

We study stochastic programs where the decision-maker cannot observe the distribution of the exogenous uncertainties but has access to a finite set of independent samples from this distribution. In this setting, the goal is to find a procedure that transforms the data to an estimate of the expected cost function under the unknown data-generating distribution, i.e., a predictor, and an optimizer of the estimated cost function that serves as a near-optimal candidate decision, i.e., a prescriptor. As functions of the data, predictors and prescriptors constitute statistical estimators. We propose a meta-optimization problem to find the least conservative predictors and prescriptors subject to constraints on their out-of-sample disappointment. The out-of-sample disappointment quantifies the probability that the actual expected cost of the candidate decision under the unknown true distribution exceeds its predicted cost. Leveraging tools from large deviations theory, we prove that this meta-optimization problem admits a unique solution: The best predictor-prescriptor pair is obtained by solving a distributionally robust optimization problem over all distributions within a given relative entropy distance from the empirical distribution of the data.

Key facts. Cited by 38 papers in the map (data through 14 Oct 2026). First posted on arXiv 13 Apr 2017.

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Citing papers per year: 2021: 11; 2022: 6; 2023: 9; 2024: 3; 2025: 4; 2026: 5.

38 papers.

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  1. 2023A Survey of Contextual Optimization Methods for Decision Making under Uncertaintycited by 82
  2. 2023Diagnosing Model Performance Under Distribution Shiftcited by 39
  3. 2021On the Optimality of Batch Policy Optimization Algorithmscited by 28
  4. 2021Statistical Analysis of Wasserstein Distributionally Robust Estimatorscited by 27
  5. 2021Integrated Conditional Estimation-Optimizationcited by 25
  6. 2022Holistic Robust Data-Driven Decisionscited by 18
  7. 2023Unifying Distributionally Robust Optimization via Optimal Transport Theorycited by 13
  8. 2023Certified Robust Neural Networks: Generalization and Corruption Resistancecited by 11
  9. 2024Group Distributionally Robust Dataset Distillation with Risk Minimizationcited by 10
  10. 2021Generalization Bounds with Minimal Dependency on Hypothesis Class via Distributionally Robust Optimizationcited by 9
  11. 2023Nash Equilibria, Regularization and Computation in Optimal Transport-Based Distributionally Robust Optimizationcited by 8
  12. 2021Learning and Decision-Making with Data: Optimal Formulations and Phase Transitionscited by 7
26 more
  1. 2023Smoothed f-Divergence Distributionally Robust Optimizationcited by 7
  2. 2021Robust Generalization despite Distribution Shift via Minimum Discriminating Informationcited by 6
  3. 2021Distributionally Robust Prescriptive Analytics with Wasserstein Distancecited by 4
  4. 2021Distributionally Robust Optimization with Markovian Datacited by 4
  5. 2022Explainability's Gain is Optimality's Loss? -- How Explanations Bias Decision-makingcited by 4
  6. 2022Minimax Optimal Estimation of Stability Under Distribution Shiftcited by 4
  7. 2021Human Imperceptible Attacks and Applications to Improve Fairnesscited by 3
  8. 2022Online Decision Making for Trading Wind Energycited by 3
  9. 2022Distributional Robustness Bounds Generalization Errorscited by 2
  10. 2025Towards Optimal Offline Reinforcement Learningcited by 2
  11. 2026Decision Making Needs Uncertainty Quantification [Lecture Notes]cited by 2
  12. 2021Efficient Data-Driven Optimization with Noisy Datacited by 1
  13. 2022Robust Phi-Divergence MDPscited by 1
  14. 2023Optimal Confidence Intervals via Moderate Deviations Theorycited by 1
  15. 2024From Distributional Robustness to Robust Statistics: A Confidence Sets Perspectivecited by 1
  16. 2021On a class of data-driven mixed-integer programming problems under uncertainty: a distributionally robust approachcited by 0
  17. 2023Distributionally Robust Optimization using Cost-Aware Ambiguity Setscited by 0
  18. 2023Robust Data-driven Prescriptiveness Optimizationcited by 0
  19. 2024Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributionscited by 0
  20. 2025Enhancing Distributional Robustness in Principal Component Analysis by Wasserstein Distancescited by 0
  21. 2025Provable Robust Overfitting Mitigation in Wasserstein Distributionally Robust Optimizationcited by 0
  22. 2025Stability Regularized Cross-Validationcited by 0
  23. 2026Data-driven robust Markov decision processes on Borel spaces: performance guarantees via an axiomatic approachcited by 0
  24. 2026The Value of Human Expertisecited by 0
  25. 2026Largest Rashomon sets of decision trees for robust contextual optimizationcited by 0
  26. 2026Private and Distributionally Robust Federated Multiclass Classificationcited by 0