1. Probability maximization via Minkowski functionals: convex representations and tractable resolution.
- Author
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Bardakci, I. E., Jalilzadeh, A., Lagoa, C., and Shanbhag, U. V.
- Subjects
INTEGER approximations ,FUNCTIONALS ,STOCHASTIC approximation ,SMOOTHNESS of functions ,PROBABILITY theory ,CONSTRAINED optimization ,CONVEX sets - Abstract
In this paper, we consider the maximizing of the probability P ζ ∣ ζ ∈ K (x) over a closed and convex set X , a special case of the chance-constrained optimization problem. Suppose K (x) ≜ ζ ∈ K ∣ c (x , ζ) ≥ 0 , and ζ is uniformly distributed on a convex and compact set K and c (x , ζ) is defined as either c (x , ζ) ≜ 1 - ζ T x m where m ≥ 0 (Setting A) or c (x , ζ) ≜ T x - ζ (Setting B). We show that in either setting, by leveraging recent findings in the context of non-Gaussian integrals of positively homogenous functions, P ζ ∣ ζ ∈ K (x) can be expressed as the expectation of a suitably defined continuous function F (∙ , ξ) with respect to an appropriately defined Gaussian density (or its variant), i.e. E p ~ F (x , ξ) . Aided by a recent observation in convex analysis, we then develop a convex representation of the original problem requiring the minimization of g E F (∙ , ξ) over X , where g is an appropriately defined smooth convex function. Traditional stochastic approximation schemes cannot contend with the minimization of g E F (∙ , ξ) over X , since conditionally unbiased sampled gradients are unavailable. We then develop a regularized variance-reduced stochastic approximation (r-VRSA) scheme that obviates the need for such unbiasedness by combining iterative regularization with variance-reduction. Notably, (r-VRSA) is characterized by almost-sure convergence guarantees, a convergence rate of O (1 / k 1 / 2 - a) in expected sub-optimality where a > 0 , and a sample complexity of O (1 / ϵ 6 + δ) where δ > 0 . To the best of our knowledge, this may be the first such scheme for probability maximization problems with convergence and rate guarantees. Preliminary numerics on a portfolio selection problem (Setting A) and a set-covering problem (Setting B) suggest that the scheme competes well with naive mini-batch SA schemes as well as integer programming approximation methods. [ABSTRACT FROM AUTHOR]
- Published
- 2023
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