1 research outputs found
Data-driven satisficing measure and ranking
We propose an computational framework for real-time risk assessment and
prioritizing for random outcomes without prior information on probability
distributions. The basic model is built based on satisficing measure (SM) which
yields a single index for risk comparison. Since SM is a dual representation
for a family of risk measures, we consider problems constrained by general
convex risk measures and specifically by Conditional value-at-risk. Starting
from offline optimization, we apply sample average approximation technique and
argue the convergence rate and validation of optimal solutions. In online
stochastic optimization case, we develop primal-dual stochastic approximation
algorithms respectively for general risk constrained problems, and derive their
regret bounds. For both offline and online cases, we illustrate the
relationship between risk ranking accuracy with sample size (or iterations).Comment: 26 Pages, 6 Figure