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Wasserstein Distributionally Robust Online Learning

Guixian Chen, Salar Fattahi, Soroosh Shafiee

We study online Wasserstein distributionally robust optimization (DRO), where the ambiguity set is a Wasserstein ball centered at the empirical distribution and evolves with each observation. We formulate each round as a zero-sum game and develop an online distributional best-response algorithm that requires only one projected subgradient step per iteration. Combining regret analysis with measure concentration, we establish explicit, instance-dependent, and high-probability convergence rates to the optimal offline DRO value.

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