Two-stage stochastic optimization is a framework for modeling uncertainty, where we have a probability distribution over possible realizations of the data, called scenarios, and decisions are taken in two stages: we make first-stage decisions knowing only the underlying distribution and before a scenario is realized, and may take additional second-stage recourse actions after a scenario is realized. The goal is typically to minimize the total expected cost. A criticism of this model is that the underlying probability distribution is itself often imprecise! To address this, a versatile approach that has been proposed is the {em distributionally robust 2-stage model}: given a collection of probability distributions, our goal now is to minimize the maximum expected total cost with respect to a distribution in this collection. We provide a framework for designing approximation algorithms in such settings when the collection is a ball around a central distribution and the central distribution is accessed {em only via a sampling black box}. We first show that one can utilize the {em sample average approximation} (SAA) method to reduce the problem to the case where the central distribution has {em polynomial-size} support. We then show how to approximately solve a fractional relaxation of the SAA (i.e., polynomial-scenario central-distribution) problem. By complementing this via LP-rounding algorithms that provide {em local} (i.e., per-scenario) approximation guarantees, we obtain the {em first} approximation algorithms for the distributionally robus
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