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Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures

Vincent Guigues (vincent.guigues***at***gmail.com)

Abstract: We consider risk-averse convex stochastic programs expressed in terms of extended polyhedral risk measures. We derive computable confidence intervals on the optimal value of such stochastic programs using the Robust Stochastic Approximation and the Stochastic Mirror Descent (SMD) algorithms. When the objective functions are uniformly convex, we also propose a multistep extension of the Stochastic Mirror Descent algorithm and obtain confidence intervals on both the optimal values and optimal solutions. Numerical simulations show that our confidence intervals are much less conservative and are quicker to compute than previously obtained confidence intervals for SMD and that the multistep Stochastic Mirror Descent algorithm can obtain a good approximate solution much quicker than its nonmultistep counterpart. Our confidence intervals are also more reliable than asymptotic confidence intervals when the sample size is not much larger than the problem size.

Keywords: Stochastic Optimization, Risk measures, Multistep Stochastic Mirror Descent, Robust Stochastic Approximation

Category 1: Stochastic Programming

Category 2: Nonlinear Optimization

Citation:

Download: [Postscript][PDF]

Entry Submitted: 01/15/2016
Entry Accepted: 01/15/2016
Entry Last Modified: 09/01/2016

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