Price-aware transport subspaces for Wasserstein DRO
We quantify the robust value lost by restricting Wasserstein transport to a common low-dimensional subspace. Affine transport sets and outer moment sets yield exact bounds for quadratic losses with nonsingular nominal covariance. A spectral rule augments a prescribed base space and attains a sharp, base-dependent approximation factor for the aggregate first-order restriction loss. Eigenvalue tails … Read more