Wasserstein Distributionally Robust Optimization

Deep hedging learns trading policies from historical or simulated market trajectories, yet under nonstationarity these training paths may not represent future market conditions. We propose WRAP (Wasserstein-Reweighting Adversarial Perturbation), a drift-aware adversarial training framework derived from a two-budget distributionally robust optimization (DRO) formulation. The formulation is anchored to a weighted empirical reference distribution whose fixed baseline weights are chosen to balance sampling uncertainty against temporal drift. Around this reference distribution, the ambiguity set addresses two complementary forms of distributional misspecification by allowing an adversary to reweight the observed trajectories subject to a $φ$-divergence constraint and perturb their paths subject to an optimal-transport (OT) constraint. We derive a joint first-order expansion in which the leading-order increase over the nominal expected loss decomposes into a reweighting contribution determined by the dispersion of hedging losses across trajectories and a transport contribution determined by the sensitivity of the loss to path perturbations. This expansion yields an explicit finite-dimensional adversarial attack that replaces the distributional inner supremum with a tractable first-order approximation. Across stationary and nonstationary Heston dynamics and a generalized affine diffusion (GAD), the experiments show complementary benefits from reweighting and transport, with joint adversarial training providing the largest gains under nonstationarity.

Distributionally robust optimization (DRO) studies parameter estimation under uncertainty in the underlying probability distribution and has emerged as a principled framework for analyzing robustness and generalization. In particular, Wasserstein DRO, with distributional uncertainty induced by the Wasserstein distance, generalizes several popular regularizers. This paper studies Wasserstein DRO linear regression, unifying square-root Lasso and adversarial linear regression as important special cases. We prove that many properties of these two special cases carry over to this general method. In particular, we show (i) deterministic and non-asymptotic in-sample error bounds $O(n^{-1/2})$ in general and $O(n^{-1})$ under design matrix and sparsity conditions; (ii) insensitivity to the noise level, also known as the pivotal property; and (iii) solution equivalences for small and large ambiguity sets. The key proof step is to recast the method into a quadratic form, mimicking adversarial linear regression. We also show that the method can be solved efficiently, and we validate our findings through numerical simulations.

Uncertainty quantification from finite data is central to machine learning, optimization, and automation systems, where decisions must remain reliable under limited samples and test-time distribution shift. Conformal prediction (CP) and distributionally robust optimization (DRO) offer two complementary approaches: CP constructs data-dependent prediction sets with distribution-free finite-sample validity under exchangeability, while DRO optimizes worst-case performance over an ambiguity set around an empirical distribution. We develop a unified probabilistic perspective on CP and DRO by viewing both as ways to turn finite calibration data into a data-dependent quantile estimator that a test score falls below with high probability. From this perspective, CP and DRO correct the empirical quantile along two coordinates of the same family of estimators: CP inflates the quantile level, whereas DRO shifts the quantile value through an ambiguity radius. Both methods provide the same calibration-conditional guarantee for the true distribution, requiring the target coverage to hold with high probability over the calibration sample. Their constructions differ, however: CP uses a closed-form, distribution-free level correction, while DRO uses a value-space correction whose certified radius depends on properties of the unknown distribution and additionally guarantees coverage uniformly over the ambiguity set. This distinction emerges in the tails of the score distribution. Because CP relies on sparse upper-tail order statistics of the calibration samples, its level inflation barely moves the estimator when those samples are dense near the target quantile but overshoots when they are sparse, whereas a well-chosen DRO radius corrects in value space and may avoid this overshoot.

We derive finite-sample generalization bounds for Transformers trained with dynamic programming recursions. Building on the doubly lifted, measure-valued formulation of Transformer dynamics, we view data sets as probability laws on pairs of empirical input-output measures, allowing us to interpret the training problem as a finite-horizon Markovian control problem. We then analyze a quantized model, derived by quantizing the state, action, and measure-state spaces, and derive explicit finite-sample generalization bounds using concentration inequalities for empirical laws on finite metric spaces together with a Lipschitz stability estimate for the value function. These bounds are transferred to the base model at the cost of an explicit approximation error. Finally, we show that the same machinery yields a distributionally robust control formulation of the training problem, connecting Transformer generalization to Wasserstein distributionally robust optimization.

We study distributionally robust linear chance-constrained problems in which uncertainty is modeled by a Gaussian mixture model (GMM). Finite-support distributionally robust (FDR) formulations, widely used in data-driven robust optimization, robustify over empirical mixture support points and therefore primarily stress-test the fitted nominal mixture. This can be insufficient when service reliability depends on structural misspecification of the nominal mixture-support parameters. To address this limitation, we describe the ambiguity set of distributions by developing a novel formulation of a Wasserstein-2 metric that uses the Bures-Wasserstein (BW) metric over probability measures with finite second moments. Unlike FDR, which generally sets finitely many empirical support points a priori, the proposed ambiguity set allows the worst-case distribution to endogenously determine both how many mixture components receive mass and where their means and covariances lie within a continuous support. For the resulting ambiguity set, under mild regularity conditions, we prove strong duality for the inner worst-case chance-constraint problem and derive its semi-infinite reformulation. We then develop an adaptive cutting-surface algorithm, which endogenously determines the locations of mixture components receiving mass, and the mean and covariances of the Gaussian distributions at these locations. The algorithm attains any prescribed optimality gap in finitely many iterations, while a block-alternating local search identifies new components. A case study using the electric-vehicle charging-station energy-allocation problem demonstrates the framework's practical value in achieving any reliability targets. CDR also induces structural changes in energy allocations, unlike FDR, whose allocations remain close to the nominal solution.

Predict-then-optimize systems usually compress uncertainty into a point forecast and then solve a downstream optimization problem as if the forecast were reliable. Distributionally robust optimization (DRO) offers protection against misspecification, but the ambiguity set is often centered at historical samples and uses a fixed radius. We propose \emph{learned predictive ambiguity sets} (LPAS): a deep contextual model outputs a finite nominal scenario distribution, a state-dependent Wasserstein radius, and optionally an anisotropic ground metric. These outputs define a contextual ambiguity set that feeds a DRO decision layer. The radius is trained by a combination of conditional quantile calibration, size regularization, and downstream decision loss, so that robustness is adaptive rather than globally fixed. We derive the finite dual form used by the decision layer, present a staged training algorithm, and evaluate the method on distributionally robust portfolio optimization with 20 S&P 500 constituents from 2018--2026. The proposed method substantially improves over equal-weight, predict-then-optimize, and historical Wasserstein DRO baselines, achieving 26.28% annualized return, Sharpe ratio 1.30, final wealth 1.61, and lower tail loss than a deep fixed-radius DRO baseline while using a smaller average radius. The results show that learned ambiguity radii can recover most of the performance of strong fixed-radius DRO while reducing unnecessary conservatism and improving regime adaptivity.

In this article, we present a robust $Q$-learning algorithm for discrete-time mean-field control problems under Wasserstein uncertainty in the common noise law. The algorithm combines a quantization-and-projection scheme with a Wasserstein dual reformulation on the common-noise space. We establish its convergence together with finite-time iteration bounds for both synchronous and asynchronous learning schemes. Numerical experiments on systemic risk and epidemic models compare the asynchronous implementation with an idealized Bellman iteration, illustrate the robustness-performance tradeoff under common-noise misspecification, and report the observed convergence behavior of the asynchronous $Q$-learning algorithm.

Simulation-based inference with neural posterior estimation (NPE) often yields overconfident and unreliable posteriors under limited simulation budgets. To address this, we propose DRO-NPE, a distributionally robust approach that replaces the standard NPE objective with a worst-case loss over a Wasserstein ambiguity set. We introduce KL-based metrics for miscoverage and miscalibration, and use these to show that the DRO-NPE objective controls overfitting and reduces posterior overconfidence. Our method is tractable, parallelisable, and readily integrates with standard normalising flows. Across benchmark SBI tasks, DRO-NPE consistently improves coverage and calibration, while narrowing the gap between empirical and population NPE loss, leading to more reliable inference in low-simulation regimes.

We present a provably safe sampling-based motion planning algorithm for robotic systems affected by random disturbances of unknown distribution. We consider systems with linear or linearizable dynamics evolving in workspace with arbitrary-shaped obstacles subject to state and control constraints. Safety requirements are formulated as chance-constraints. Our approach leverages data from trajectories of the system to learn a Wasserstein ambiguity tube, i.e., a sequence of ambiguity sets, which contains the trajectory of the system's state distribution with high confidence. This ambiguity tube is then used in a probabilistically complete algorithm to grow a sampling-based motion planning tree that respects the constraints of the problem. We show that learning several lower-dimensional ambiguity tubes instead of a single high-dimensional one effectively reduces the conservatism and boosts scalability. Additionally, we design an efficient bandit-based validity checker that remarkably increases the empirical performance of our approach without sacrificing probabilistic completeness. Case studies show our algorithm finds valid plans in cluttered environments under strict safety thresholds, outperforming state-of-the-art methods.

In this work, we study how to ensure probabilistic safety for nonlinear systems under distributional ambiguity. Our approach builds on a backup-based safety filtering framework that switches between a high-performance nominal policy and a certified backup policy to ensure safety. To handle arbitrary uncertainties from ambiguous distributions, i.e., where the distribution is not of specific structure and the true distribution is unknown, we adopt a distributionally robust (DR) formulation using Wasserstein ambiguity sets. Rather than solving a high-dimensional DR trajectory optimization problem online, we exploit the structure of backup-based safety filtering to reduce safety certification to a one-dimensional search over the switching time between nominal and backup policies. We then develop a sampling-based certification procedure with finite-sample guarantees, where empirical failure probabilities are compared against a Wasserstein-inflated threshold. We validate our method through simulations across three systems, from a Dubins vehicle to a high-speed racing car and a fighter jet, demonstrating the broad applicability and computational efficiency.

We study Bayesian Optimisation (BO) in settings where the objective function is influenced by uncontrollable environmental contexts governed by an unknown probability distribution. In practice, the contextual distribution must be estimated from empirical data, a process that inherently introduces distributional mismatch, producing sub-optimal results. While Distributionally Robust Optimisation (DRO) provides a framework to mitigate these risks, existing robust BO methods frequently suffer from high computational complexity, rely on discretisation of continuous context spaces, or impose restrictive assumptions on the structure of the ambiguity set. To overcome these limitations, we propose Ensemble Distributionally Robust Bayesian Optimisation (EDRBO). Our framework leverages the expressive power of ensemble surrogate models to approximate the black-box function while simultaneously accounting for contextual uncertainty. By utilising Wasserstein ball as ambiguity sets, EDRBO provides a robustified acquisition function that remains computationally tractable and natively handles continuous context spaces. We establish a rigorous theoretical foundation for our approach by proving sublinear cumulative regret guarantees of order $\mathcal{O}(γ_T \sqrt{T})$, where $γ_T$ represents the maximum information gain within the ensemble. Finally, we provide extensive empirical evaluations that corroborate our theory and demonstrate the state-of-the-art performance of EDRBO.

We propose a distributionally robust approach to learning hyperparameters for first-order methods in convex optimization. Given a dataset of problem instances, we minimize a Wasserstein distributionally robust version of the performance estimation problem (PEP) over algorithm parameters such as step sizes. Our framework unifies two extremes: as the robustness radius vanishes, we recover classical learning to optimize (L2O); as it grows, we recover worst-case optimal algorithm design via PEP. We solve the resulting problem with stochastic gradient descent, differentiating through the solution of an inner semidefinite program at each step. We prove high-probability bounds showing that the true risk of the learned algorithm is at most the in-sample L2O optimum plus a slack that shrinks with the sample size, and is no worse than the worst-case PEP bound. On unconstrained quadratic minimization, LASSO, and linear programming benchmarks, our learned algorithms achieve strong out-of-sample performance with certifiable robustness, outperforming both worst-case optimal and vanilla L2O baselines.

Reinforcement learning from human feedback (RLHF) is a central post-training tool for aligning large language models, but its training reward is only a learned proxy for true human utility. This creates a decision problem under objective misspecification: the policy is optimized against an estimated reward, while deployment performance is governed by an unobserved population preference. The resulting gap leads to reward over-optimization, where proxy reward keeps improving after true quality deteriorates. We propose distributionally robust regret optimization (DRRO) for RLHF with a Wasserstein ambiguity set over reward laws, using promptwise $\ell_p$ distances between reward vectors as transport costs. Unlike standard distributionally robust optimization, which pessimizes worst-case value, DRRO pessimizes worst-case regret relative to the best policy under the same plausible reward perturbation. We show that the expressive-policy problem decomposes into promptwise regret problems. For each prompt, the inner adversary has a dual-norm closed form; under the $\ell_1$ transport cost used by our algorithm, the optimizer has a water-filling structure. These results lead to a practical policy-gradient algorithm that adds a simple sampled bonus to GRPO-style training. Theory and experiments both show that DRRO is less over-pessimistic than standard DRO and mitigates over-optimization more effectively than existing baselines.

We propose a distributionally robust approach to risk-sensitive estimation of an unknown signal x from an observed signal y. The observation and unknown signal are modeled as random vectors whose joint probability distribution is unknown, but assumed to belong to a given type-2 Wasserstein ball of distributions, termed the ambiguity set. The performance of an estimator is measured according to the conditional value-at-risk (CVaR) of the squared estimation error. Within this framework, we study the problem of computing affine estimators that minimize the worst-case CVaR over all distributions in the given ambiguity set. As our main result, we show that, when the nominal distribution at the center of the Wasserstein ball is finitely supported, such estimators can be exactly computed by solving a tractable semidefinite program. We evaluate the proposed estimators on a wholesale electricity price forecasting task using real market data and show that they deliver lower out-of-sample CVaR of squared error compared to existing methods.

We propose a framework for contextual distributionally robust optimization (DRO) that considers the causal and continuous structure of the underlying distribution, and we develop an interpretable and tractable decision rule. We first introduce the causal Sinkhorn discrepancy (CSD), an entropy-regularized causal Wasserstein distance that encourages continuous transport plans while preserving causal consistency. We then formulate a contextual DRO model with a CSD-based ambiguity set, termed Causal Sinkhorn DRO (Causal-SDRO), and derive its strong dual reformulation, where the worst-case distribution is characterized as a mixture of Gibbs distributions. To obtain an (infinite-dimensional) optimal policy, we propose a soft regression forest (SRF) decision rule: it preserves the interpretability of classical decision trees while being fully parametric, differentiable, and Lipschitz-smooth, enabling intrinsic interpretation from both global and local perspectives. To solve the Causal-SDRO with parametric decision rules, we develop an efficient stochastic compositional gradient algorithm that converges to an $\varepsilon$-stationary point at a rate of $\mathcal{O}(\varepsilon^{-4})$, matching that of standard stochastic gradient descent. Finally, we validate our method through numerical experiments on synthetic and real-world datasets, demonstrating its superior performance and interpretability.

In many real-world applications, ensuring the robustness and stability of deep neural networks (DNNs) is crucial, particularly for image classification tasks that encounter various input perturbations. While Mixup-based data augmentation techniques have been widely adopted to enhance the resilience of trained models against such perturbations, our experiments reveal an important corruption robustness-calibration trade-off: stronger Mixup-based augmentation can improve robustness against corrupted data while substantially increasing expected calibration error (ECE). To address this challenge, we introduce DRO-Augment, a framework that integrates Wasserstein Distributionally Robust Optimization (W-DRO) with various Mixup-based data augmentation strategies to mitigate this trade-off. Our method substantially reduces ECE under strong Mixup-based augmentation while largely preserving corruption accuracy across CIFAR-10, CIFAR-100, CIFAR-10-C, and CIFAR-100-C. On the theoretical side, we establish novel generalization error bounds for neural networks trained using a variation-regularized loss function with augmented data, closely related to the W-DRO problem. Furthermore, we introduce a refined CIFAR-C benchmark that corrects inconsistencies in corruption intensities, providing a more reliable evaluation for future robustness research.

Distributionally robust optimization (DRO) is widely used for decision-making under uncertainty, but its adversarial focus on worst-case loss can lead to overly conservative policies. To mitigate this, we study ex-ante Distributionally Robust Regret Optimization (DRRO) with Wasserstein ambiguity sets, designed to balance robustness with upside potential. We develop a theory of Wasserstein DRRO (WDRRO) paralleling Wasserstein DRO. Under smoothness and regularity, WDRRO selects among ERM optima by a first-order gradient-discrepancy rule. If the ERM optimizer is unique, first-order sensitivity vanishes and a second-order expansion governs deviations. For convex quadratics ERM and DRRO coincide for any radius. We then study regimes where these assumptions fail: nondifferentiable max-affine losses, discrete references, and larger radii, where WDRRO can differ from ERM and WDRO. We show that computing WDRRO regret is NP-hard even without bilinear terms. Nevertheless, we develop exact algorithms, a tractable convex relaxation with guarantees, and experiments showing tightness and loss-dependent behavior.

We study a class of stochastic nonsmooth optimization problems in which an outer variable minimizes the expectation of a pointwise maximum. This minimization--expectation--maximization (minEmax) problem arises in Wasserstein distributionally robust optimization and adversarially robust training, and it cannot in general be reformulated as a finite-dimensional minimax problem when the underlying distribution is not empirical. We propose a stochastic smoothing proximal gradient method based on log-mean-exp smoothing of the value function. Under compactness and Lipschitz-type assumptions, we present nonasymptotic analysis in terms of Goldstein stationarity and show that every almost-sure cluster point generated by our method is a Clarke stationary point; by Clarke regularity, such a point is also directional stationary for the original problem. Numerical experiments on newsvendor, robust regression, and adversarially robust learning problems show that the proposed method is competitive with existing baselines.

We study distributionally robust optimization (DRO) for robust inference when the worst-case distribution is continuous, leading to significant computational challenges due to the infinite-dimensional nature of the optimization problem. Unlike traditional discrete DRO approaches, which often suffer from scalability issues, limited generalization, and costly worst-case inference, our framework exploits Brenier's theorem to characterize the least favorable distribution as the pushforward of a transport map from a continuous reference measure. This characterization motivates our study of the minimax problem in Wasserstein space. We propose an iterative algorithmic framework with multiple variants and establish global convergence guarantees under mild assumptions, deriving complexity bounds in terms of subgradient evaluations and inexact Jordan-Kinderlehrer-Otto updates. Numerical results with neural network-based transport maps demonstrate that the proposed method enables both stable training of robust classifiers and effective worst-case inference for classification tasks.

Reconstructing complex network topologies from data is a fundamental challenge in cybernetics and graph signal processing, with applications in neuroscience, sensor, and social networks. In practice, target-domain samples are scarce while heterogeneous source-domain data are abundant. Fusing these sources is challenging: Euclidean averaging works for homogeneous sources but degrades sharply as inter-source divergence grows, collapsing distinct geometries into an inflated, biased consensus. We exploit the Wasserstein metric's distribution-preserving properties to counter heterogeneity while preserving each source's intrinsic geometry. We propose MS-WDRO, a multi-source Wasserstein distributionally robust graph learning framework that fuses heterogeneous sources via their weighted Wasserstein barycenter, a geometrically principled nominal distribution, then builds an ambiguity ball around it to hedge residual uncertainty. Minimizing worst-case risk yields a tractable regularized Laplacian estimator solved efficiently via a provably convergent ADMM scheme. We establish non-asymptotic guarantees: a finite-sample concentration bound for the empirical barycenter, a pooling bias lower bound proving naive aggregation is suboptimal, and an out-of-sample excess risk bound decaying at a parametric rate with only logarithmic dependence on source count. To calibrate hyperparameters governing robustness, sparsity, and source fusion, we unroll the solver into a differentiable architecture trained end-to-end, achieving data-adaptive calibration beyond cross-validation while retaining interpretability. Experiments on synthetic benchmarks and the multi-site ABIDE~I neuroimaging dataset show MS-WDRO consistently outperforms seven baselines in graph recovery, sample efficiency, and downstream diagnostic utility, with the largest gains in the sample-scarce regime.