Many decision problems in science, engineering and economics are affected by uncertain parameters whose distribution is only indirectly observable through samples. The goal of data-driven decision-making is to learn a decision from finitely many training samples that will perform well on unseen test samples. This learning task is difficult even if all training and test samples are drawn from the same distribution---especially if the dimension of the uncertainty is large relative to the training sample size. Wasserstein distributionally robust optimization seeks data-driven decisions that perform well under the most adverse distribution within a certain Wasserstein distance from a nominal distribution constructed from the training samples. In this tutorial we will argue that this approach has many conceptual and computational benefits. Most prominently, the optimal decisions can often be computed by solving tractable convex optimization problems, and they enjoy rigorous out-of-sample and asymptotic consistency guarantees. We will also show that Wasserstein distributionally robust optimization has interesting ramifications for statistical learning and motivates new approaches for fundamental learning tasks such as classification, regression, maximum likelihood estimation or minimum mean square error estimation, among others.

此论文介绍了基于Wasserstein分布鲁棒优化的数据驱动决策方法，能够解决样本有限、参数不确定的情况下，采用仅仅通过数据学习决策的问题，绕过测试样本不能涵盖所有情况的问题，具有良好的效果且容易计算。此方法对于分类、回归等基本学习任务有很好启示作用。

Wasserstein分布鲁棒优化：机器学习中的理论和应用