TTRISK: Tensor train decomposition algorithm for risk averse optimization

DOI10.1002/NLA.2481arXiv2111.05180OpenAlexW3213872578MaRDI QIDQ6133042FDOQ6133042

Authors: Harbir Antil, Sergey Dolgov, Akwum Onwunta 

Publication date: 17 August 2023

Published in: Numerical Linear Algebra with Applications (Search for Journal in Brave)

Abstract: This article develops a new algorithm named TTRISK to solve high-dimensional risk-averse optimization problems governed by differential equations (ODEs and/or PDEs) under uncertainty. As an example, we focus on the so-called Conditional Value at Risk (CVaR), but the approach is equally applicable to other coherent risk measures. Both the full and reduced space formulations are considered. The algorithm is based on low rank tensor approximations of random fields discretized using stochastic collocation. To avoid non-smoothness of the objective function underpinning the CVaR, we propose an adaptive strategy to select the width parameter of the smoothed CVaR to balance the smoothing and tensor approximation errors. Moreover, unbiased Monte Carlo CVaR estimate can be computed by using the smoothed CVaR as a control variate. To accelerate the computations, we introduce an efficient preconditioner for the KKT system in the full space formulation.The numerical experiments demonstrate that the proposed method enables accurate CVaR optimization constrained by large-scale discretized systems. In particular, the first example consists of an elliptic PDE with random coefficients as constraints. The second example is motivated by a realistic application to devise a lockdown plan for United Kingdom under COVID-19. The results indicate that the risk-averse framework is feasible with the tensor approximations under tens of random variables.

Full work available at URL: https://arxiv.org/abs/2111.05180

zbMATH Keywords

risk measurespreconditionerCVaRfull spacetensor trainreduced spaceTTRISK

Mathematics Subject Classification ID

Factorization of matrices (15A23) Multilinear algebra, tensor calculus (15A69) Stochastic programming (90C15) Existence of optimal solutions to problems involving randomness (49J55) Optimality conditions for problems involving partial differential equations (49K20) Optimality conditions for problems involving randomness (49K45) Algorithms for approximation of functions (65D15) Optimal stochastic control (93E20)

Cited In (3)

• A multigrid solver for PDE-constrained optimization with uncertain inputs
• Adjoint-based determination of weaknesses in structures
• Complexity analysis of regularization methods for implicitly constrained least squares

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