A multi-step Richardson-Romberg extrapolation method for stochastic approximation

DOI10.1016/J.SPA.2015.05.016MaRDI QIDQ491176zbMATH OpenOpenAlexFDO

Authors Lorick Huang, Noufel Frikha

Publication date 24 August 2015

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1409.4748

zbMATH Keywords

diffusion processesEuler schemeRichardson-Romberg extrapolationstochastic approximationstochastic optimizationweak error

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Diffusion processes (60J60) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Optimal stochastic control (93E20)

Abstract: We obtain an expansion of the implicit weak discretization error for the target of stochastic approximation algorithms introduced and studied in [Frikha2013]. This allows us to extend and develop the Richardson-Romberg extrapolation method for Monte Carlo linear estimator (introduced in [Talay & Tubaro 1990] and deeply studied in [Pag{`e}s 2007]) to the framework of stochastic optimization by means of stochastic approximation algorithm. We notably apply the method to the estimation of the quantile of diffusion processes. Numerical results confirm the theoretical analysis and show a significant reduction in the initial computational cost.

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Cited in

(7)

• A simple method for the existence of a density for stochastic evolutions with rough coefficients
• Multilevel Richardson-Romberg extrapolation
• Estimateur de Richardson à pas variable
• On the effectiveness of Richardson extrapolation in data science
• Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
• A multilevel stochastic approximation algorithm for value-at-risk and expected shortfall estimation
• CV@R-penalised portfolio optimisation with biased stochastic mirror descent

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