A central limit theorem and hypotheses testing for risk-averse stochastic programs

DOI10.1137/16M1104639zbMATH Open1422.90032arXiv1603.07384WikidataQ129869397 ScholiaQ129869397MaRDI QIDQ4641663FDOQ4641663

Volker Krätschmer, Alexander Shapiro, Vincent Guigues

Publication date: 18 May 2018

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Abstract: We study statistical properties of the optimal value and optimal solutions of the Sample Average Approximation of risk averse stochastic problems. Central Limit Theorem type results are derived for the optimal value and optimal solutions when the stochastic program is expressed in terms of a law invariant coherent risk measure. The obtained results are applied to hypotheses testing problems aiming at comparing the optimal values of several risk averse convex stochastic programs on the basis of samples of the underlying random vectors. We also consider non-asymptotic tests based on confidence intervals on the optimal values of the stochastic programs obtained using the Stochastic Mirror Descent algorithm. Numerical simulations show how to use our developments to choose among different distributions and show the superiority of the asymptotic tests on a class of risk averse stochastic programs.

Full work available at URL: https://arxiv.org/abs/1603.07384

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zbMATH Keywords

central limit theoremstochastic optimizationhypotheses testingstatistical inferencesample average approximationcoherent risk measures

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonlinear programming (90C30) Stochastic programming (90C15)

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Cited In (5)

• Asymptotic behaviors of semidefinite programming with a covariance perturbation
• On Monte-Carlo methods in convex stochastic optimization
• A new coherent multivariate average-value-at-risk
• An online algorithm for the risk-aware restless bandit
• First order asymptotics of the sample average approximation method to solve risk averse stochastic programs

Uses Software

• Mosek
• SUTIL

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