Robust Risk Under Evolving Uncertainty: A Wasserstein Counterpart of the Entropic Value-at-Risk
An agent still learning its environment should be cautious while ignorant and bold once confident. The entropic value-at-risk captures this through a robust-optimization identity---a confidence level fixes the radius of a relative-entropy ball of alternative models---but that ball cannot reach catastrophes the nominal deems impossible, precisely what a safe agent must hedge. We instead use an optimal-transport ball and study the coherent risk measure it induces, the Wasserstein entropic value-at-risk. It has a variational dual mirroring the entropic formula (an inverse temperature becomes a transport price), occupies a definite place in the risk hierarchy, and provably accounts for the re...
| Authors | Deep Kumar Ganguly, Jan Křetínský |
|---|---|
| Primary category | cs.AI |
| Published | 19 August 2026 |
| Last updated at source | 19 August 2026 |
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