From Data to Decisions: Distributionally Robust Optimization is Optimal
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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.
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- 2023A Survey of Contextual Optimization Methods for Decision Making under Uncertaintycited by 82
- 2023Diagnosing Model Performance Under Distribution Shiftcited by 39
- 2021On the Optimality of Batch Policy Optimization Algorithmscited by 28
- 2021Statistical Analysis of Wasserstein Distributionally Robust Estimatorscited by 27
- 2021Integrated Conditional Estimation-Optimizationcited by 25
- 2022Holistic Robust Data-Driven Decisionscited by 18
- 2023Unifying Distributionally Robust Optimization via Optimal Transport Theorycited by 13
- 2023Certified Robust Neural Networks: Generalization and Corruption Resistancecited by 11
- 2024Group Distributionally Robust Dataset Distillation with Risk Minimizationcited by 10
- 2021Generalization Bounds with Minimal Dependency on Hypothesis Class via Distributionally Robust Optimizationcited by 9
- 2023Nash Equilibria, Regularization and Computation in Optimal Transport-Based Distributionally Robust Optimizationcited by 8
- 2021Learning and Decision-Making with Data: Optimal Formulations and Phase Transitionscited by 7
26 more
- 2023Smoothed f-Divergence Distributionally Robust Optimizationcited by 7
- 2021Robust Generalization despite Distribution Shift via Minimum Discriminating Informationcited by 6
- 2021Distributionally Robust Prescriptive Analytics with Wasserstein Distancecited by 4
- 2021Distributionally Robust Optimization with Markovian Datacited by 4
- 2022Explainability's Gain is Optimality's Loss? -- How Explanations Bias Decision-makingcited by 4
- 2022Minimax Optimal Estimation of Stability Under Distribution Shiftcited by 4
- 2021Human Imperceptible Attacks and Applications to Improve Fairnesscited by 3
- 2022Online Decision Making for Trading Wind Energycited by 3
- 2022Distributional Robustness Bounds Generalization Errorscited by 2
- 2025Towards Optimal Offline Reinforcement Learningcited by 2
- 2026Decision Making Needs Uncertainty Quantification [Lecture Notes]cited by 2
- 2021Efficient Data-Driven Optimization with Noisy Datacited by 1
- 2022Robust Phi-Divergence MDPscited by 1
- 2023Optimal Confidence Intervals via Moderate Deviations Theorycited by 1
- 2024From Distributional Robustness to Robust Statistics: A Confidence Sets Perspectivecited by 1
- 2021On a class of data-driven mixed-integer programming problems under uncertainty: a distributionally robust approachcited by 0
- 2023Distributionally Robust Optimization using Cost-Aware Ambiguity Setscited by 0
- 2023Robust Data-driven Prescriptiveness Optimizationcited by 0
- 2024Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributionscited by 0
- 2025Enhancing Distributional Robustness in Principal Component Analysis by Wasserstein Distancescited by 0
- 2025Provable Robust Overfitting Mitigation in Wasserstein Distributionally Robust Optimizationcited by 0
- 2025Stability Regularized Cross-Validationcited by 0
- 2026Data-driven robust Markov decision processes on Borel spaces: performance guarantees via an axiomatic approachcited by 0
- 2026The Value of Human Expertisecited by 0
- 2026Largest Rashomon sets of decision trees for robust contextual optimizationcited by 0
- 2026Private and Distributionally Robust Federated Multiclass Classificationcited by 0
- 2026Private and Distributionally Robust Federated Multiclass Classification9 Oct 2026
- 2026Largest Rashomon sets of decision trees for robust contextual optimization3 Oct 2026
- 2026The Value of Human Expertise26 Aug 2026
- 2026Decision Making Needs Uncertainty Quantification [Lecture Notes]15 Jul 2026
- 2026Data-driven robust Markov decision processes on Borel spaces: performance guarantees via an axiomatic approach9 Mar 2026
- 2025Stability Regularized Cross-Validation11 May 2025
- 2025Towards Optimal Offline Reinforcement Learning15 Mar 2025
- 2025Provable Robust Overfitting Mitigation in Wasserstein Distributionally Robust Optimization6 Mar 2025
- 2025Enhancing Distributional Robustness in Principal Component Analysis by Wasserstein Distances4 Mar 2025
- 2024From Distributional Robustness to Robust Statistics: A Confidence Sets Perspective17 Oct 2024
- 2024Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions31 Jul 2024
- 2024Group Distributionally Robust Dataset Distillation with Risk Minimization7 Feb 2024
26 more
- 2023Unifying Distributionally Robust Optimization via Optimal Transport Theory10 Aug 2023
- 2023Smoothed f-Divergence Distributionally Robust Optimization24 Jun 2023
- 2023A Survey of Contextual Optimization Methods for Decision Making under Uncertainty17 Jun 2023
- 2023Robust Data-driven Prescriptiveness Optimization9 Jun 2023
- 2023Optimal Confidence Intervals via Moderate Deviations Theory23 May 2023
- 2023Distributionally Robust Optimization using Cost-Aware Ambiguity Sets16 Mar 2023
- 2023Nash Equilibria, Regularization and Computation in Optimal Transport-Based Distributionally Robust Optimization7 Mar 2023
- 2023Certified Robust Neural Networks: Generalization and Corruption Resistance3 Mar 2023
- 2023Diagnosing Model Performance Under Distribution Shift3 Mar 2023
- 2022Distributional Robustness Bounds Generalization Errors20 Dec 2022
- 2022Minimax Optimal Estimation of Stability Under Distribution Shift13 Dec 2022
- 2022Online Decision Making for Trading Wind Energy5 Sep 2022
- 2022Holistic Robust Data-Driven Decisions19 Jul 2022
- 2022Explainability's Gain is Optimality's Loss? -- How Explanations Bias Decision-making17 Jun 2022
- 2022Robust Phi-Divergence MDPs27 May 2022
- 2021Human Imperceptible Attacks and Applications to Improve Fairness30 Nov 2021
- 2021Integrated Conditional Estimation-Optimization24 Oct 2021
- 2021Learning and Decision-Making with Data: Optimal Formulations and Phase Transitions14 Sep 2021
- 2021Statistical Analysis of Wasserstein Distributionally Robust Estimators4 Aug 2021
- 2021Generalization Bounds with Minimal Dependency on Hypothesis Class via Distributionally Robust Optimization21 Jun 2021
- 2021Distributionally Robust Optimization with Markovian Data12 Jun 2021
- 2021Distributionally Robust Prescriptive Analytics with Wasserstein Distance10 Jun 2021
- 2021Robust Generalization despite Distribution Shift via Minimum Discriminating Information8 Jun 2021
- 2021On a class of data-driven mixed-integer programming problems under uncertainty: a distributionally robust approach28 May 2021
- 2021On the Optimality of Batch Policy Optimization Algorithms6 Apr 2021
- 2021Efficient Data-Driven Optimization with Noisy Data8 Feb 2021
- 2025Towards Optimal Offline Reinforcement Learningcited by 2
- 2025Towards Optimal Offline Reinforcement Learning15 Mar 2025
- 2023A Survey of Contextual Optimization Methods for Decision Making under Uncertaintycited by 82
- 2023Diagnosing Model Performance Under Distribution Shiftcited by 39
- 2021On the Optimality of Batch Policy Optimization Algorithmscited by 28
- 2021Statistical Analysis of Wasserstein Distributionally Robust Estimatorscited by 27
- 2021Integrated Conditional Estimation-Optimizationcited by 25
- 2022Holistic Robust Data-Driven Decisionscited by 18
- 2023Unifying Distributionally Robust Optimization via Optimal Transport Theorycited by 13
- 2023Certified Robust Neural Networks: Generalization and Corruption Resistancecited by 11
- 2024Group Distributionally Robust Dataset Distillation with Risk Minimizationcited by 10
- 2021Generalization Bounds with Minimal Dependency on Hypothesis Class via Distributionally Robust Optimizationcited by 9
- 2023Nash Equilibria, Regularization and Computation in Optimal Transport-Based Distributionally Robust Optimizationcited by 8
- 2021Learning and Decision-Making with Data: Optimal Formulations and Phase Transitionscited by 7
12 most cited of 37 All 37 (JSON)
- 2026Private and Distributionally Robust Federated Multiclass Classification9 Oct 2026
- 2026Largest Rashomon sets of decision trees for robust contextual optimization3 Oct 2026
- 2026The Value of Human Expertise26 Aug 2026
- 2026Decision Making Needs Uncertainty Quantification [Lecture Notes]15 Jul 2026
- 2026Data-driven robust Markov decision processes on Borel spaces: performance guarantees via an axiomatic approach9 Mar 2026
- 2025Stability Regularized Cross-Validation11 May 2025
- 2025Provable Robust Overfitting Mitigation in Wasserstein Distributionally Robust Optimization6 Mar 2025
- 2025Enhancing Distributional Robustness in Principal Component Analysis by Wasserstein Distances4 Mar 2025
- 2024From Distributional Robustness to Robust Statistics: A Confidence Sets Perspective17 Oct 2024
- 2024Distributionally Robust Optimization as a Scalable Framework to Characterize Extreme Value Distributions31 Jul 2024
- 2024Group Distributionally Robust Dataset Distillation with Risk Minimization7 Feb 2024
- 2023Unifying Distributionally Robust Optimization via Optimal Transport Theory10 Aug 2023
12 newest of 37 All 37 (JSON)