Haomin Bai

Efficient Stochastic Approximation of Minimax Excess Risk Optimization

While traditional distributionally robust optimization (DRO) aims to minimize the maximal risk over a set of distributions, Agarwal & Zhang (2022) recently proposed a variant that replaces risk with *excess risk*. Compared to DRO, the new formulation—minimax excess risk optimization (MERO) has the a…