Regularization Methods for Solving Optimization

Problems with Stochastic Order Constraint

Gabriela Martinez
Institute for Mathematics and its Applications
University of Minnesota
Joint work with Darinka Dentcheva
13th International Conference on Stochastic Programming

Gabriela Martinez

Penalty Method Stochastic Order

Introduction

min E[f (X )]
s.t

G (X )  Y ,
X C.

C L1 (, F, P) is a convex and closed set,

f : C L1 (, F, P) is a convex and continuous functional,

Y L1 (, F, P),

G : L1 (, F, P) L1 (, F, P) is continuous: [G (x)] is
convex for almost all ,

: stochastic order.

Gabriela Martinez

Penalty Method Stochastic Order

Stochastic Order

Distribution functions:
F (X ; ) = P(X ),
F (X ; ) = 1 F (X ; ) = P(X > ).

Integrated functions:
Z
F2 (X ; ) =
F (X ; t) dt = E[( X )+ ] for R,

Z
H(X ; ) =
F (X ; t)dt = E[(X )+ ] for R.

Gabriela Martinez

Penalty Method Stochastic Order

Stochastic Order

X , Y L1 (, F, P)
I

First Order Smaller: X 1 Y

F (X ; ) F (Y ; ) for all R.

First Order Larger: X 1 Y

F (X ; ) F (Y ; ) for all R.

Relation
X 1 Y Y 1 X .

Gabriela Martinez

Penalty Method Stochastic Order

Stochastic Order

X , Y L1 (, F, P)
I

Second Order Smaller: X ic Y

H(X ; ) H(Y ; ) E[(X )+ ] E[(Y )+ ] for all R,

Second Order Larger: X 2 Y

F2 (X ; ) F2 (Y ; ) E[(X )+ ] E[(Y )+ ] for all R,

Relation
X ic Y X 2 Y .

Gabriela Martinez

Penalty Method Stochastic Order

Stochastic Order
X , Y L1 (, F, P)
I

Second Order Smaller: X ic Y

H(X ; ) H(Y ; ) E[(X )+ ] E[(Y )+ ] for all R,

Second Order Larger: X 2 Y

F2 (X ; ) F2 (Y ; ) E[(X )+ ] E[(Y )+ ] for all R,

Relation
X ic Y X 2 Y .

X ic Y is equivalent to E[v (X )] E[v (Y )] for every v increasing

convex.

Gabriela Martinez

Penalty Method Stochastic Order

Quantile Characterization of Second Stochastic Order

X , Y L1 (, F, P). Let F(1) (X ; p) = inf{ : F1 (X ; ) p}.

Upper Lorenz Function: L : R R

Z 1
F(1) (X ; t)dt for 0 p 1,
L(X , p) =
p

L(X ; p) = if p
/ [0, 1].
I

X ic Y if and only if L(X ; p) L(Y ; p) for all p [0, 1]

Gabriela Martinez

Penalty Method Stochastic Order

Quantile Characterization of Second Stochastic Order

X , Y L1 (, F, P). Let F(1) (X ; p) = inf{ : F1 (X ; ) p}.

Upper Lorenz Function: L : R R

Z 1
F(1) (X ; t)dt for 0 p 1,
L(X , p) =
p

L(X ; p) = if p
/ [0, 1].
I

X ic Y if and only if L(X ; p) L(Y ; p) for all p [0, 1]

Lorenz function: F(2) (X ; p) = E[X ] L(X ; p)

I

X 2 Y if and only if F(2) (X ; p) F(2) (Y ; p) for all

p [0, 1]

Gabriela Martinez

Penalty Method Stochastic Order

Optimization Problem

G (X ) ic Y E[(X )+ ] E[(Y )+ ] for all R

Gabriela Martinez

Penalty Method Stochastic Order

Optimization Problem

G (X ) ic Y E[(X )+ ] E[(Y )+ ] for all R

Assume X , Y are finite discrete random variables.
Let Ym , m , m M = {1, . . . , M}, Xs , ps , s S = {1, . . . , S}

Gabriela Martinez

Penalty Method Stochastic Order

Optimization Problem

G (X ) ic Y E[(X )+ ] E[(Y )+ ] for all R

Assume X , Y are finite discrete random variables.
Let Ym , m , m M = {1, . . . , M}, Xs , ps , s S = {1, . . . , S}
min E[f (X )]
s.t

E[(G (X ) Ym )+ ] E[(Y Ym )+ ], m M,
X C.

Gabriela Martinez

Penalty Method Stochastic Order

Regularization Using Excess Information

Linear representation of ic

Let m = E[(Y Ym )+ ] for m M. X ic Y if and only if
E[(X Ym )1A ] m for all m M and all events A F

Gabriela Martinez

Penalty Method Stochastic Order

Regularization Using Excess Information

Linear representation of ic

Let m = E[(Y Ym )+ ] for m M. X ic Y if and only if
E[(X Ym )1A ] m for all m M and all events A F

Approximation
K = {1, . . . , K }, Ak F, k K.
min E[f (X )]
s.t

E[G (X ) Ym )1Ak ] m , m M, k K
X C.

Gabriela Martinez

Penalty Method Stochastic Order

Regularization Using Excess Information

Approximation
K = {1, . . . , K }, Ak F, k K.
min E[f (X )]
s.t

E[(G (X ) Ym )1Ak ] m , m M, k K
X C.

A|K| = {A}kK , Rm|K|

Gabriela Martinez

Penalty Method Stochastic Order

Regularization Using Excess Information

Approximation
K = {1, . . . , K }, Ak F, k K.
min E[f (X )]
s.t

E[(G (X ) Ym )1Ak ] m , m M, k K
X C.

A|K| = {A}kK , Rm|K|

Augmented Lagrangian
L,|K| (X , A|K| , ) = E[f P
(X )] P
+ 2 kK mM [E[(G (X ) Ym )1Ak ] m +
P
P
1
2
2
kK
mM km

Gabriela Martinez

Penalty Method Stochastic Order

km 2
]+

Excess Regularization
Step 0: Set k = 1, 0 = 0, A0 = ,  > 0, > 0. Let X k be
a solution of min E[f (X )] s.t X C , V 0 = .
Step 1: Find [k , mk ] = maxmM {E[(G (X k ) Ym )+ ] m }
Step 2: If k 0 and kV k k  stop; otherwise go to Step 3.
Step 3: If kV k k kV k1 k then
A = {s S : G (Xsk ) > Ymk }, Ak = Ak1 {A}
else Ak = Ak1 .
Step 4: l = 1, . . . , |Ak |, m M,
k
klm = max(0, k1
lm + (E[(G (X ) Ym )1Al ] m )).
Step 5: Solve master: X k+1 minX C L,|Ak | (X , Ak , k )
Step 6: k = k + 1,
k
k = max{E[(G (X k ) Y )1 ] , lm }. go to
Vlm
m Al
m

Step 1.
Gabriela Martinez

Penalty Method Stochastic Order

Optimization Problem

G (X ) ic Y L(X ; p) L(Y ; p) for all p [0, 1]

Assume X , Y are finite discrete random variables.
Let Ym , m , m M = {1, . . . , M}, Xs , ps , s S = {1, . . . , S}

Gabriela Martinez

Penalty Method Stochastic Order

Optimization Problem

G (X ) ic Y L(X ; p) L(Y ; p) for all p [0, 1]

Assume X , Y are finite discrete random variables.
Let Ym , m , m M = {1, . . . , M}, Xs , ps , s S = {1, . . . , S}
min E[f (X )]
s.t

L(G (X );

s
X

pr ) L(Y ;

r =1

s
X

pr ), s S

r =1

X C.

Gabriela Martinez

Penalty Method Stochastic Order

Regularization Using Quantile Information

Representation ic using conditional expectation

1
L(X ; 1 P(A)) for all A F
X ic Y if and only if E[X |A] P(A)
such that A = {X > t}, P(A) > 0.

Gabriela Martinez

Penalty Method Stochastic Order

Regularization Using Quantile Information

Representation ic using conditional expectation

1
L(X ; 1 P(A)) for all A F
X ic Y if and only if E[X |A] P(A)
such that A = {X > t}, P(A) > 0.

Approximation
K = {1, . . . , K }, Ak F, k K.
min E[f (X )]
s.t

E[G (X )|Ak ]

1
L(X ; 1 P(Ak )), k K
P(Ak )

X C.

Gabriela Martinez

Penalty Method Stochastic Order

Regularization Using Quantile Information

Approximation
K = {1, . . . , K }, Ak F, k K.
min E[f (X )]
s.t

E[G (X )|Ak ]

1
L(Y ; 1 P(Ak )), k K
P(Ak )

X C.
A|K| = {A}kK , R|K|

Gabriela Martinez

Penalty Method Stochastic Order

Regularization Using Quantile Information

Approximation
K = {1, . . . , K }, Ak F, k K.
min E[f (X )]
s.t

E[G (X )|Ak ]

1
L(Y ; 1 P(Ak )), k K
P(Ak )

X C.
A|K| = {A}kK , R|K|

Augmented Lagrangian
L,|K| (X , A|K| , ) = E[f (X )]
P
+ 2 kK [E[G (X )|Ak ]
1 P
2
2
kK m
Gabriela Martinez

1
P(Ak ) L(Y ; P(Ak ))

Penalty Method Stochastic Order

k 2
]+

Quantile Regularization
Step 0: Set k = 1, 0 = 0, A0 = ,  > 0, > 0. Let X k be
a solution of min E[f (X )] s.t X C , V 0 = .
Step 1: Find [k , qk ] = maxq[0,1] {L(G (X k ); q) L(Y ; q)}
Step 2: If k 0 and kV k k <  stop; otherwise go to Step 3.
Step 3: If kV k k kV k1 k then A = {G (X k ) > t},
P(A) = qk , Ak = Ak1 {A}
else Ak = Ak1 .
Step 4: l = 1, . . . , |Ak |,
kl = max(0, k1
+ (E[G (X k )|Al ]
l

1
P(Al ) L(Y ; P(Al ))))

Step 5: Solve master: X k+1 minX C L,|Ak | (X , Ak , k )

Step 6: k = k + 1,
Vlk = max{E[G (X k )|Al ]
Step 1.

Gabriela Martinez

l
1
P(Al ) L(Y ; P(Al )),

Penalty Method Stochastic Order

} go to

Numerical Illustration
Set N = {1, . . . , N}. Let R1 , . . . , RN be random variables.
X
min E[
Rn zn ]
nN

s.t

Rn zn ic Y ,

nN

zn = 1,

nN

0 zn 1, n N .
Y , Rn sampled from U[10, 20].
Algorithms were implemented in Python + Pyomo + Cplex - IBM
Academic Initiative

Gabriela Martinez

Penalty Method Stochastic Order

M = 10
S = 100
M = 10
S = 300
M = 40
S = 100
M = 40
S = 300
M = 100
S = 100
M = 300
S = 300
M = 500
S = 100
M = 500
S = 300
M = 300
S = 500
M = 500
S = 500

CPU
Iterations
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Iterations
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Iterations
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Iterations
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Excess R.
1.94
10
3.74
9
0.24
2
3.81
12
1.12
5
5.81
3
8.98
3
16.87
2
10.51
2
14.14
2

Gabriela Martinez

Quantile R.
0.25
5
0.93
10
0.11
2
2.28
7
1.69
3
5.63
2
8.00
2
22.16
4
9.02
3
14.28
3

Excess F.
0.29

0.81

0.94

2.79

2.28

25.27

13.93

41.92

41.55

69.08

Penalty Method Stochastic Order

Thank you!

Gabriela Martinez

Penalty Method Stochastic Order