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Author

Lu-Hao Zhang

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Preprint Sep 2026

Conformal-DRO: Distributionally Robust Optimization with Conformalized Ambiguity Set

Conformal-DRO is proposed, which uses nested conformal regions to construct an ambiguity set for the future latent law, which covers this law with probability at least $1-\alpha$ in finite samples, without estimating underlying latent laws or their mixing mechanism.

Lu-Hao Zhang, Shi-Xiang Zhu · 1 citation

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