Representation-Aware Distributionally Robust Optimization: A Knowledge Transfer Framework

Distributionally robust optimization (DRO) protects statistical learning against distributional shifts by optimizing the worst-case performance over a set of perturbed distributions.

However, standard DRO formulations often treat all feature perturbations equally.

This can be unnecessarily conservative when external knowledge suggests that the predictive signal is embedded in a low-dimensional representation of covariates.

We propose REpresentation-Aware Distributionally robust estimation (READ), a Wasserstein DRO framework that uses external representations to guide the geometry of robustness.

Rather than uniformly perturbing all covariate directions, READ increases the transport cost of perturbations that change representation coordinates, thereby reshaping the dual regularization toward the representation subspace.

Meanwhile, it preserves protection against variations orthogonal to the representation.

We study READ in two regimes.

First, for inference on the current target, we characterize our estimator asymptotically and develop a Wasserstein profile inference approach to construct representation-aligned confidence regions while enabling automatic hyperparameter tuning.

Second, for deployment to future populations that differ from the current target but are generated from the same representation-invariant random-coefficient model, we show that the resulting regions achieve higher coverage of future model parameters than standard methods.

Simulations and a single-cell multi-omics application demonstrate the advantages of READ in multi-source and multitask transfer learning settings.