No Arabic abstract
We present a new, tractable method for solving and analyzing risk-aware control problems over finite and infinite, discounted time-horizons where the dynamics of the controlled process are described as a martingale problem. Supposing general Polish state and action spaces, and using generalized, relaxed controls, we state a risk-aware dynamic optimal control problem of minimizing risk of costs described by a generic risk function. We then construct an alternative formulation that takes the form of a nonlinear programming problem, constrained by the dynamic, {i.e.} time-dependent, and linear Kolmogorov forward equation describing the distribution of the state and accumulated costs. We show that the formulations are equivalent, and that the optimal control process can be taken to be Markov in the controlled process state, running costs, and time. We further prove that under additional conditions, the optimal value is attained. An example numeric problem is presented and solved.
Despite the simplicity and intuitive interpretation of Minimum Mean Squared Error (MMSE) estimators, their effectiveness in certain scenarios is questionable. Indeed, minimizing squared errors on average does not provide any form of stability, as the volatility of the estimation error is left unconstrained. When this volatility is statistically significant, the difference between the average and realized performance of the MMSE estimator can be drastically different. To address this issue, we introduce a new risk-aware MMSE formulation which trades between mean performance and risk by explicitly constraining the expected predictive variance of the involved squared error. We show that, under mild moment boundedness conditions, the corresponding risk-aware optimal solution can be evaluated explicitly, and has the form of an appropriately biased nonlinear MMSE estimator. We further illustrate the effectiveness of our approach via several numerical examples, which also showcase the advantages of risk-aware MMSE estimation against risk-neutral MMSE estimation, especially in models involving skewed, heavy-tailed distributions.
We present Free-MESSAGEp, the first zeroth-order algorithm for convex mean-semideviation-based risk-aware learning, which is also the first three-level zeroth-order compositional stochastic optimization algorithm, whatsoever. Using a non-trivial extension of Nesterovs classical results on Gaussian smoothing, we develop the Free-MESSAGEp algorithm from first principles, and show that it essentially solves a smoothed surrogate to the original problem, the former being a uniform approximation of the latter, in a useful, convenient sense. We then present a complete analysis of the Free-MESSAGEp algorithm, which establishes convergence in a user-tunable neighborhood of the optimal solutions of the original problem, as well as explicit convergence rates for both convex and strongly convex costs. Orderwise, and for fixed problem parameters, our results demonstrate no sacrifice in convergence speed compared to existing first-order methods, while striking a certain balance among the condition of the problem, its dimensionality, as well as the accuracy of the obtained results, naturally extending previous results in zeroth-order risk-neutral learning.
We prove a duality relation and an integration by parts formula for fractional operators with a general analytical kernel. Based on these basic results, we are able to prove a new Gronwalls inequality and continuity and differentiability of solutions of control differential equations. This allow us to obtain a weak version of Pontryagins maximum principle. Moreover, our approach also allow us to consider mixed problems with both integer and fractional order operators and derive necessary optimality conditions for isoperimetric variational problems and other problems of the calculus of variations.
We derive equivalent linear and dynamic programs for infinite horizon risk-sensitive control for minimization of the asymptotic growth rate of the cumulative cost.
In this paper, we focus on solving a class of constrained non-convex non-concave saddle point problems in a decentralized manner by a group of nodes in a network. Specifically, we assume that each node has access to a summand of a global objective function and nodes are allowed to exchange information only with their neighboring nodes. We propose a decentralized variant of the proximal point method for solving this problem. We show that when the objective function is $rho$-weakly convex-weakly concave the iterates converge to approximate stationarity with a rate of $mathcal{O}(1/sqrt{T})$ where the approximation error depends linearly on $sqrt{rho}$. We further show that when the objective function satisfies the Minty VI condition (which generalizes the convex-concave case) we obtain convergence to stationarity with a rate of $mathcal{O}(1/sqrt{T})$. To the best of our knowledge, our proposed method is the first decentralized algorithm with theoretical guarantees for solving a non-convex non-concave decentralized saddle point problem. Our numerical results for training a general adversarial network (GAN) in a decentralized manner match our theoretical guarantees.