Papers › DRO: A Python Library for Distributionally Robust Optimization in Machine Learning
DRO: A Python Library for Distributionally Robust Optimization in Machine Learning
Jiashuo Liu, Tianyu Wang, Henry Lam, Hongseok Namkoong, Jose Blanchet
We introduce dro, an open-source Python library for distributionally robust optimization (DRO) for regression and classification problems. The library implements 14 DRO formulations and 9 backbone models, enabling 79 distinct DRO methods. Furthermore, dro is compatible with both scikit-learn and PyTorch. Through vectorization and optimization approximation techniques, dro reduces runtime by 10x to over 1000x compared to baseline implementations on large-scale datasets. Comprehensive documentation is available at https://python-dro.org.
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