Thomas Surowiec – Optimization Online

Asymptotic Consistency for Nonconvex Risk-Averse Stochastic Optimization with Infinite Dimensional Decision Spaces

Published: 2022/07/22

Optimization of Systems modeled by PDEs, Stochastic Programming, Systems governed by Differential Equations Optimization asymptotic consistency, empirical approximation, monte carlo sampling, pde-constrained optimization, risk averse optimization, sample average approximation, stochastic programming, uncertainty quantification

Optimal values and solutions of empirical approximations of stochastic optimization problems can be viewed as statistical estimators of their true values. From this perspective, it is important to understand the asymptotic behavior of these estimators as the sample size goes to infinity, which is both of theoretical as well as practical interest. This area of … Read more

A Primal-Dual Algorithm for Risk Minimization

Published: 2020/11/16

Drew P. Kouri

Thomas Surowiec

Infinite Dimensional Optimization, Nonsmooth Optimization, Stochastic Programming coherent risk measures, method of multipliers, risk averse optimization, stochastic optimization

In this paper, we develop an algorithm to efficiently solve risk-averse optimization problems posed in reflexive Banach space. Such problems often arise in many practical applications as, e.g., optimization problems constrained by partial differential equations with uncertain inputs. Unfortunately, for many popular risk models including the coherent risk measures, the resulting risk-averse objective function is … Read more