Loss-aware distributionally robust optimization via trainable optimal transport ambiguity sets
Abstract
Optimal-transport distributionally robust optimization (OT-DRO) robustifies data-driven decision-making under uncertainty by capturing the sampling-induced statistical error via optimal transport ambiguity sets. The standard OT-DRO pipeline consists of a two-step procedure, where the ambiguity set is first designed and subsequently embedded into the downstream OT-DRO problem. However, this separation between uncertainty quantification and optimization may lead to excessive conservatism. We introduce an end-to-end pipeline to automatically learn decision-focused ambiguity sets for OT-DRO problems, where the loss function informs the shape of the ambiguity set, leading to less conservative decisions whose distributional robustness is enforced via data-driven bootstrapping. We formulate the learning problem as a bilevel optimization program and solve it via a hypergradient-based method. By leveraging the recently introduced nonsmooth conservative implicit function theorem, we establish convergence to a critical point of the bilevel problem. We present experiments validating our method on standard portfolio optimization and linear regression tasks.