Stochastic Compositional Optimization with Compositional Constraints

• URL: http://arxiv.org/abs/2209.04086v1
• Date: Fri, 9 Sep 2022 02:06:35 GMT
• Title: Stochastic Compositional Optimization with Compositional Constraints
• Authors: Shuoguang Yang, Zhe Zhang, Ethan X. Fang
• Abstract summary: We study a novel model that incorporates single-level expected value and two-level compositional constraints into the current SCO framework. Our model can be applied widely to data-driven optimization and risk management, including risk-averse optimization and high-moment portfolio selection. We propose a class of primal-dual algorithms that generates sequences converging to the optimal solution at the rate of $cO(frac1sqrtN)$under both single-level expected value and two-level compositional constraints.
• Score: 8.535822787583486
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Stochastic compositional optimization (SCO) has attracted considerable attention because of its broad applicability to important real-world problems. However, existing works on SCO assume that the projection within a solution update is simple, which fails to hold for problem instances where the constraints are in the form of expectations, such as empirical conditional value-at-risk constraints. We study a novel model that incorporates single-level expected value and two-level compositional constraints into the current SCO framework. Our model can be applied widely to data-driven optimization and risk management, including risk-averse optimization and high-moment portfolio selection, and can handle multiple constraints. We further propose a class of primal-dual algorithms that generates sequences converging to the optimal solution at the rate of $\cO(\frac{1}{\sqrt{N}})$under both single-level expected value and two-level compositional constraints, where $N$ is the iteration counter, establishing the benchmarks in expected value constrained SCO.

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