Solving Nonsmooth Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization
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Publication:6339698
DOI10.1287/MOOR.2021.1247arXiv2004.14342MaRDI QIDQ6339698FDOQ6339698
Authors: Junyi Liu, Ying Cui, Jong-Shi Pang 
Publication date: 29 April 2020
Abstract: This paper studies a structured compound stochastic program (SP) involving multiple expectations coupled by nonconvex and nonsmooth functions. We present a successive convex-programming based sampling algorithm and establish its subsequential convergence. We describe stationarity properties of the limit points for several classes of the compound SP. We further discuss probabilistic stopping rules based on the computable error-bound for the algorithm. We present several risk measure minimization problems that can be formulated as such a compound stochastic program; these include generalized deviation optimization problems based on optimized certainty equivalent and buffered probability of exceedance (bPOE), a distributionally robust bPOE optimization problem, and a multiclass classification problem employing the cost-sensitive error criteria with bPOE risk measure.
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