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While solutions of Distributionally Robust Optimization (DRO) problems can sometimes have a higher out-of-sample expected reward than the Sample Average Approximation (SAA), there is no guarantee.
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Kuhn, D., Esfahani, P.M., Nguyen,V.A., Shafieezadeh-Abadeh, S. 2019. Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning. INFORMS TutORials in Operations Research
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Lam, H. 2019. Recovering Best Statistical Guarantees via the Empirical Divergence-Based Distributionally Robust Optimization. Operations Research
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Anderson, E.J., Philpott, A. 2020. Improving sample average approximation using distributional robustness. INFORMS Journal on Optimization
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Cao, J., Gao, R. 2021. Contextual decision-making under parametric uncertainty and data- driven optimistic optimization. ( https://optimization-online.org/2021/10/8634/ )
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Wang, Z., Glynn, P.W., Ye. Y. (2016). Likelihood robust optimization for data-driven problems. Computational Management Science
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