Adaptive sampling strategies for risk-averse stochastic optimization with constraints

DOI10.1093/IMANUM/DRAC083arXiv2012.03844OpenAlexW3112994519MaRDI QIDQ6190845FDOQ6190845

Authors: Brendan Keith, B. Wohlmuth 

Publication date: 6 February 2024

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Abstract: We introduce adaptive sampling methods for stochastic programs with deterministic constraints. First, we propose and analyze a variant of the stochastic projected gradient method where the sample size used to approximate the reduced gradient is determined on-the-fly and updated adaptively. This method is applicable to a broad class of expectation-based risk measures and leads to a significant reduction in the individual gradient evaluations used to estimate the objective function gradient. Numerical experiments with expected risk minimization and conditional value-at-risk minimization support this conclusion and demonstrate practical performance and efficacy for both risk-neutral and risk-averse problems. Second, we propose an SQP-type method based on similar adaptive sampling principles. The benefits of this method are demonstrated in a simplified engineering design application featuring risk-averse shape optimization of a steel shell structure subject to uncertain loading conditions and model uncertainty.

Full work available at URL: https://arxiv.org/abs/2012.03844

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zbMATH Keywords

constrained optimizationstochastic optimizationshape optimizationportfolio optimizationsample size selection

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Portfolio theory (91G10) Stochastic programming (90C15)

Cited In (3)

• Finite elements for Matérn-type random fields: uncertainty in computational mechanics and design optimization
• An adaptive sampling augmented Lagrangian method for stochastic optimization with deterministic constraints
• A proximal stochastic quasi-Newton algorithm with dynamical sampling and stochastic line search

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