Statistical Limit Theorems in Distributionally Robust Optimization

03/27/2023

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by   Jose Blanchet, et al.

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The goal of this paper is to develop methodology for the systematic analysis of asymptotic statistical properties of data driven DRO formulations based on their corresponding non-DRO counterparts. We illustrate our approach in various settings, including both phi-divergence and Wasserstein uncertainty sets. Different types of asymptotic behaviors are obtained depending on the rate at which the uncertainty radius decreases to zero as a function of the sample size and the geometry of the uncertainty sets.