PASCAL - Pattern Analysis, Statistical Modelling and Computational Learning

Stochastic Approximation approach to Stochastic Programming
A. Juditsky, G. Lan, A. Nemirovski and A. Shapiro
SIAM J. Optimization Volume 19, Number 4, pp. 1574-1609, 2009.

Abstract

In this paper we consider optimization problems where the objective function is given in a form of the expectation. A basic difficulty of solving such stochastic optimization problems is that the involved multidimensional integrals (expectations) cannot be computed with high accuracy. The aim of this paper is to compare two computational approaches based on Monte Carlo sampling techniques, namely, the stochastic approximation (SA) and the sample average approximation (SAA) methods. Both approaches, the SA and SAA methods, have a long history. Current opinion is that the SAA method can efficiently use a specific (say, linear) structure of the considered problem, while the SA approach is a crude subgradient method, which often performs poorly in practice. We intend to demonstrate that a properly modified SA approach can be competitive and even significantly outperform the SAA method for a certain class of convex stochastic problems. We extend the analysis to the case of convex-concave stochastic saddle point problems and present (in our opinion highly encouraging) results of numerical experiments.

EPrint Type:Article
Project Keyword:Project Keyword UNSPECIFIED
Subjects:Learning/Statistics & Optimisation
Theory & Algorithms
ID Code:5170
Deposited By:Anatoli Iouditski
Deposited On:24 March 2009