Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization
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Publication:6401124
DOI10.1016/J.MATCOM.2022.09.012arXiv2206.01991MaRDI QIDQ6401124FDOQ6401124
Authors: Takashi Goda, Wataru Kitade 
Publication date: 4 June 2022
Abstract: We study stochastic gradient descent for solving conditional stochastic optimization problems, in which an objective to be minimized is given by a parametric nested expectation with an outer expectation taken with respect to one random variable and an inner conditional expectation with respect to the other random variable. The gradient of such a parametric nested expectation is again expressed as a nested expectation, which makes it hard for the standard nested Monte Carlo estimator to be unbiased. In this paper, we show under some conditions that a multilevel Monte Carlo gradient estimator is unbiased and has finite variance and finite expected computational cost, so that the standard theory from stochastic optimization for a parametric (non-nested) expectation directly applies. We also discuss a special case for which yet another unbiased gradient estimator with finite variance and cost can be constructed.
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