Regret is the cost of uncertainty in algorithmic decision-making. Quantifying regret typically requires computationally expensive simulation via Sample Average Approximation (SAA), with complexity
O(Bn2d3) in the number of scenarios
B, variables
n, and constraints
d. % This paper proves that expected regret in any stochastic optimization problem admits the exact decomposition % \begin{equation*} \mathrm{Regret}(c) = \mathrm{Cov}(c,,π^{
}(c)) + R(c), \end{equation} % where
c is the vector of uncertain parameters,
π∗(c) is the optimal decision, and
R(c) is a residual whose magnitude we bound explicitly under Lipschitz, smooth, and strongly convex conditions. % For linear programs and unconstrained quadratic programs, including the classical Markowitz portfolio problem, we prove
R(c)=0 exactly, so that
Regret(c)=Cov(c,π∗(c)) holds without approximation. % When historical cost-decision pairs
{(ci,π∗(ci))} are available, the covariance can be estimated in
O(nd2) time, which is orders of magnitude faster than SAA. The estimation is performed by a single pass through the data. % We derive concentration bounds, a central limit theorem, and an asymptotically unbiased residual estimator, and we validate all results on synthetic LP, QP, and integer programming instances and on a rolling-window portfolio experiment using ten years of CRSP equity data.