An Axiomatic Analysis of Distributionally Robust Optimization with $q$-Norm Ambiguity Sets for Probability Smoothing

Yoichi Izunaga, Kota Kurihara, Hokuto Nagano +1

We analyze the axiomatic properties of a class of probability estimators derived from Distributionally Robust Optimization (DRO) with $q$-norm ambiguity sets ($q$-DRO), a principle…