28,462 research outputs found
Continuous approximation schemes for stochastic programs
One of the main methods for solving stochastic programs is approximation by discretizing the probability distribution. However, discretization may lose differentiability of expectational functionals. The complexity of discrete approximation schemes also increases exponentially as the dimension of the random vector increases. On the other hand, stochastic methods can solve stochastic programs with larger dimensions but their convergence is in the sense of probability one. In this paper, we study the differentiability property of stochastic two-stage programs and discuss continuous approximation methods for stochastic programs. We present several ways to calculate and estimate this derivative. We then design several continuous approximation schemes and study their convergence behavior and implementation. The methods include several types of truncation approximation, lower dimensional approximation and limited basis approximation.Peer Reviewedhttp://deepblue.lib.umich.edu/bitstream/2027.42/44240/1/10479_2005_Article_BF02031698.pd
From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming
We consider linear programming (LP) problems in infinite dimensional spaces
that are in general computationally intractable. Under suitable assumptions, we
develop an approximation bridge from the infinite-dimensional LP to tractable
finite convex programs in which the performance of the approximation is
quantified explicitly. To this end, we adopt the recent developments in two
areas of randomized optimization and first order methods, leading to a priori
as well as a posterior performance guarantees. We illustrate the generality and
implications of our theoretical results in the special case of the long-run
average cost and discounted cost optimal control problems for Markov decision
processes on Borel spaces. The applicability of the theoretical results is
demonstrated through a constrained linear quadratic optimal control problem and
a fisheries management problem.Comment: 30 pages, 5 figure
Approximations of countably-infinite linear programs over bounded measure spaces
We study a class of countably-infinite-dimensional linear programs (CILPs)
whose feasible sets are bounded subsets of appropriately defined weighted
spaces of measures. We show how to approximate the optimal value, optimal
points, and minimal points of these CILPs by solving finite-dimensional linear
programs. The errors of our approximations converge to zero as the size of the
finite-dimensional program approaches that of the original problem and are easy
to bound in practice. We discuss the use of our methods in the computation of
the stationary distributions, occupation measures, and exit distributions of
Markov~chains
On the convergence of mirror descent beyond stochastic convex programming
In this paper, we examine the convergence of mirror descent in a class of
stochastic optimization problems that are not necessarily convex (or even
quasi-convex), and which we call variationally coherent. Since the standard
technique of "ergodic averaging" offers no tangible benefits beyond convex
programming, we focus directly on the algorithm's last generated sample (its
"last iterate"), and we show that it converges with probabiility if the
underlying problem is coherent. We further consider a localized version of
variational coherence which ensures local convergence of stochastic mirror
descent (SMD) with high probability. These results contribute to the landscape
of non-convex stochastic optimization by showing that (quasi-)convexity is not
essential for convergence to a global minimum: rather, variational coherence, a
much weaker requirement, suffices. Finally, building on the above, we reveal an
interesting insight regarding the convergence speed of SMD: in problems with
sharp minima (such as generic linear programs or concave minimization
problems), SMD reaches a minimum point in a finite number of steps (a.s.), even
in the presence of persistent gradient noise. This result is to be contrasted
with existing black-box convergence rate estimates that are only asymptotic.Comment: 30 pages, 5 figure
- …