{"title":"抽样平均逼近中的多级蒙特卡罗:收敛性、复杂性与应用","authors":"Devang Sinha, Siddhartha P. Chakrabarty","doi":"arxiv-2407.18504","DOIUrl":null,"url":null,"abstract":"In this paper, we examine the Sample Average Approximation (SAA) procedure\nwithin a framework where the Monte Carlo estimator of the expectation is\nbiased. We also introduce Multilevel Monte Carlo (MLMC) in the SAA setup to\nenhance the computational efficiency of solving optimization problems. In this\ncontext, we conduct a thorough analysis, exploiting Cram\\'er's large deviation\ntheory, to establish uniform convergence, quantify the convergence rate, and\ndetermine the sample complexity for both standard Monte Carlo and MLMC\nparadigms. Additionally, we perform a root-mean-squared error analysis\nutilizing tools from empirical process theory to derive sample complexity\nwithout relying on the finite moment condition typically required for uniform\nconvergence results. Finally, we validate our findings and demonstrate the\nadvantages of the MLMC estimator through numerical examples, estimating\nConditional Value-at-Risk (CVaR) in the Geometric Brownian Motion and nested\nexpectation framework.","PeriodicalId":501215,"journal":{"name":"arXiv - STAT - Computation","volume":"26 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Multilevel Monte Carlo in Sample Average Approximation: Convergence, Complexity and Application\",\"authors\":\"Devang Sinha, Siddhartha P. Chakrabarty\",\"doi\":\"arxiv-2407.18504\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper, we examine the Sample Average Approximation (SAA) procedure\\nwithin a framework where the Monte Carlo estimator of the expectation is\\nbiased. We also introduce Multilevel Monte Carlo (MLMC) in the SAA setup to\\nenhance the computational efficiency of solving optimization problems. In this\\ncontext, we conduct a thorough analysis, exploiting Cram\\\\'er's large deviation\\ntheory, to establish uniform convergence, quantify the convergence rate, and\\ndetermine the sample complexity for both standard Monte Carlo and MLMC\\nparadigms. Additionally, we perform a root-mean-squared error analysis\\nutilizing tools from empirical process theory to derive sample complexity\\nwithout relying on the finite moment condition typically required for uniform\\nconvergence results. Finally, we validate our findings and demonstrate the\\nadvantages of the MLMC estimator through numerical examples, estimating\\nConditional Value-at-Risk (CVaR) in the Geometric Brownian Motion and nested\\nexpectation framework.\",\"PeriodicalId\":501215,\"journal\":{\"name\":\"arXiv - STAT - Computation\",\"volume\":\"26 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-07-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - STAT - Computation\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2407.18504\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - STAT - Computation","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2407.18504","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
摘要
在本文中,我们在蒙特卡罗期望估计器有偏差的框架下研究了样本平均逼近(SAA)程序。我们还在 SAA 设置中引入了多级蒙特卡罗(MLMC),以提高解决优化问题的计算效率。在此背景下,我们利用克拉姆(Cram\'er)的大偏差理论(large deviationtheory)进行了深入分析,为标准蒙特卡罗和 MLMC 范式建立了均匀收敛性、量化了收敛速率并确定了样本复杂度。此外,我们还利用经验过程理论的工具进行了均方根误差分析,得出了样本复杂度,而无需依赖均匀收敛结果通常需要的有限矩条件。最后,我们通过数值示例验证了我们的发现,并证明了 MLMC 估计器的优势,即在几何布朗运动和嵌套期望框架下估计条件风险值(CVaR)。
Multilevel Monte Carlo in Sample Average Approximation: Convergence, Complexity and Application
In this paper, we examine the Sample Average Approximation (SAA) procedure
within a framework where the Monte Carlo estimator of the expectation is
biased. We also introduce Multilevel Monte Carlo (MLMC) in the SAA setup to
enhance the computational efficiency of solving optimization problems. In this
context, we conduct a thorough analysis, exploiting Cram\'er's large deviation
theory, to establish uniform convergence, quantify the convergence rate, and
determine the sample complexity for both standard Monte Carlo and MLMC
paradigms. Additionally, we perform a root-mean-squared error analysis
utilizing tools from empirical process theory to derive sample complexity
without relying on the finite moment condition typically required for uniform
convergence results. Finally, we validate our findings and demonstrate the
advantages of the MLMC estimator through numerical examples, estimating
Conditional Value-at-Risk (CVaR) in the Geometric Brownian Motion and nested
expectation framework.