Stochastic Optimization for Spectral Risk Measures Article Swipe
Ronak Mehta
,
Vincent Roulet
,
Krishna Pillutla
,
Lang Liu
,
Zaïd Harchaoui
·
YOU?
·
· 2022
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.2212.05149
YOU?
·
· 2022
· Open Access
·
· DOI: https://doi.org/10.48550/arxiv.2212.05149
Spectral risk objectives - also called $L$-risks - allow for learning systems to interpolate between optimizing average-case performance (as in empirical risk minimization) and worst-case performance on a task. We develop stochastic algorithms to optimize these quantities by characterizing their subdifferential and addressing challenges such as biasedness of subgradient estimates and non-smoothness of the objective. We show theoretically and experimentally that out-of-the-box approaches such as stochastic subgradient and dual averaging are hindered by bias and that our approach outperforms them.
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Metadata
- Type
- preprint
- Language
- en
- Landing Page
- http://arxiv.org/abs/2212.05149
- https://arxiv.org/pdf/2212.05149
- OA Status
- green
- Cited By
- 1
- Related Works
- 10
- OpenAlex ID
- https://openalex.org/W4311407103
All OpenAlex metadata
Raw OpenAlex JSON
- OpenAlex ID
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https://openalex.org/W4311407103Canonical identifier for this work in OpenAlex
- DOI
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https://doi.org/10.48550/arxiv.2212.05149Digital Object Identifier
- Title
-
Stochastic Optimization for Spectral Risk MeasuresWork title
- Type
-
preprintOpenAlex work type
- Language
-
enPrimary language
- Publication year
-
2022Year of publication
- Publication date
-
2022-12-10Full publication date if available
- Authors
-
Ronak Mehta, Vincent Roulet, Krishna Pillutla, Lang Liu, Zaïd HarchaouiList of authors in order
- Landing page
-
https://arxiv.org/abs/2212.05149Publisher landing page
- PDF URL
-
https://arxiv.org/pdf/2212.05149Direct link to full text PDF
- Open access
-
YesWhether a free full text is available
- OA status
-
greenOpen access status per OpenAlex
- OA URL
-
https://arxiv.org/pdf/2212.05149Direct OA link when available
- Concepts
-
Subgradient method, Empirical risk minimization, Smoothness, Mathematical optimization, Minification, Task (project management), Stochastic optimization, Computer science, Dual (grammatical number), Econometrics, Mathematics, Economics, Art, Literature, Management, Mathematical analysisTop concepts (fields/topics) attached by OpenAlex
- Cited by
-
1Total citation count in OpenAlex
- Citations by year (recent)
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2024: 1Per-year citation counts (last 5 years)
- Related works (count)
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10Other works algorithmically related by OpenAlex
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