An Axiomatic Analysis of Distributionally Robust Optimization with q-Norm Ambiguity Sets for Probability Smoothing
We analyze the axiomatic properties of a class of probability estimators derived from Distributionally Robust Optimization (DRO) with q -norm ambiguity sets ( q -DRO), a principled approach to the zero-frequency problem. While classical estimators such as Laplace smoothing are characterized by strong linearity axioms like Ratio Preservation, we show that q -DRO provides a flexible alternative that satisfies other desirable properties. We first prove that for any q ∈ [1, ∞], the q -DRO estimator satisfies the fundamental axioms of Positivity and Symmetry. For the case of q ∈ (1, ∞), we then prove that it also satisfies Order Preservation. Our analysis of the optimality conditions also reveals that the q -DRO formulation is equivalent to the regularized empirical loss minimization.
Authors
- Yoichi Izunaga (ORCID: https://orcid.org/0000-0003-2113-3630)
- Kota Kurihara (ORCID: https://orcid.org/0009-0007-6582-3226)
- Daiki Uchida (ORCID: https://orcid.org/0009-0000-3753-4290)
- Hokuto Nagano
Institutions
- Kyushu University (JP)
Publication Details
- Journal
- Operations Research Letters
- Published
- 2026-05-01
- DOI
- https://doi.org/10.1016/j.orl.2026.107457
- Primary Topic
- Risk and Portfolio Optimization
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- Japan Society for the Promotion of Science