Ryan Cory-Wright @ryancorywright.bsky.social · 17/08/2026New preprint alert 🚨🚨 "A Shrinkage Path Heuristic for Wasserstein Distributionally Robust Optimization" led by my PhD student @lingjunmeng.bsky.social (jointly advised w/ Wolfram Wiesemann) 110
Ryan Cory-Wright @ryancorywright.bsky.social · 17/08/2026Wasserstein DRO is better out-of-sample than SAA, but is often too expensive to implement in practice. We propose an interpolation path heuristic that approximates the performance of WDRO, and is about as expensive as SAA Paper link: arxiv.org/abs/2608.14336arxiv.orgA Shrinkage Path Heuristic for Wasserstein Distributionally Robust OptimizationWasserstein distributionally robust optimization (DRO) is a versatile and widely adopted framework for decision-making under uncertainty, yet its standard deterministic reformulations generally contai... 000
