On the resolution of misspecified convex optimization and monotone variational inequality problems

DOI10.1007/S10589-020-00193-ZzbMATH Open1447.90028arXiv1408.5532OpenAlexW3035847440MaRDI QIDQ782913FDOQ782913

Authors: Hesam Ahmadi, Uday V. Shanbhag 

Publication date: 29 July 2020

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Abstract: We consider a misspecified optimization problem that requires minimizing a function f(x;q*) over a closed and convex set X where q* is an unknown vector of parameters that may be learnt by a parallel learning process. In this context, We examine the development of coupled schemes that generate iterates {x_k,q_k} as k goes to infinity, then {x_k} converges x*, a minimizer of f(x;q*) over X and {q_k} converges to q*. In the first part of the paper, we consider the solution of problems where f is either smooth or nonsmooth under various convexity assumptions on function f. In addition, rate statements are also provided to quantify the degradation in rate resulted from learning process. In the second part of the paper, we consider the solution of misspecified monotone variational inequality problems to contend with more general equilibrium problems as well as the possibility of misspecification in the constraints. We first present a constant steplength misspecified extragradient scheme and prove its asymptotic convergence. This scheme is reliant on problem parameters (such as Lipschitz constants)and leads us to present a misspecified variant of iterative Tikhonov regularization. Numerics support the asymptotic and rate statements.

Full work available at URL: https://arxiv.org/abs/1408.5532

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zbMATH Keywords

convex optimizationmisspecificationvariational inequality problems

Mathematics Subject Classification ID

Convex programming (90C25) Abstract computational complexity for mathematical programming problems (90C60) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

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Cited In (2)

• On the solution of stochastic optimization and variational problems in imperfect information regimes
• Stochastic approximation for multi-period simulation optimization with streaming input data

Uses Software

• ElemStatLearn

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