{"title":"解决非凸分布鲁棒优化问题的鲁棒 SGLD 算法","authors":"Ariel Neufeld, Matthew Ng Cheng En, Ying Zhang","doi":"arxiv-2403.09532","DOIUrl":null,"url":null,"abstract":"In this paper we develop a Stochastic Gradient Langevin Dynamics (SGLD)\nalgorithm tailored for solving a certain class of non-convex distributionally\nrobust optimisation problems. By deriving non-asymptotic convergence bounds, we\nbuild an algorithm which for any prescribed accuracy $\\varepsilon>0$ outputs an\nestimator whose expected excess risk is at most $\\varepsilon$. As a concrete\napplication, we employ our robust SGLD algorithm to solve the (regularised)\ndistributionally robust Mean-CVaR portfolio optimisation problem using real\nfinancial data. We empirically demonstrate that the trading strategy obtained\nby our robust SGLD algorithm outperforms the trading strategy obtained when\nsolving the corresponding non-robust Mean-CVaR portfolio optimisation problem\nusing, e.g., a classical SGLD algorithm. This highlights the practical\nrelevance of incorporating model uncertainty when optimising portfolios in real\nfinancial markets.","PeriodicalId":501084,"journal":{"name":"arXiv - QuantFin - Mathematical Finance","volume":"21 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-03-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems\",\"authors\":\"Ariel Neufeld, Matthew Ng Cheng En, Ying Zhang\",\"doi\":\"arxiv-2403.09532\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this paper we develop a Stochastic Gradient Langevin Dynamics (SGLD)\\nalgorithm tailored for solving a certain class of non-convex distributionally\\nrobust optimisation problems. By deriving non-asymptotic convergence bounds, we\\nbuild an algorithm which for any prescribed accuracy $\\\\varepsilon>0$ outputs an\\nestimator whose expected excess risk is at most $\\\\varepsilon$. As a concrete\\napplication, we employ our robust SGLD algorithm to solve the (regularised)\\ndistributionally robust Mean-CVaR portfolio optimisation problem using real\\nfinancial data. We empirically demonstrate that the trading strategy obtained\\nby our robust SGLD algorithm outperforms the trading strategy obtained when\\nsolving the corresponding non-robust Mean-CVaR portfolio optimisation problem\\nusing, e.g., a classical SGLD algorithm. This highlights the practical\\nrelevance of incorporating model uncertainty when optimising portfolios in real\\nfinancial markets.\",\"PeriodicalId\":501084,\"journal\":{\"name\":\"arXiv - QuantFin - Mathematical Finance\",\"volume\":\"21 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-03-14\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Mathematical Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2403.09532\",\"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 - QuantFin - Mathematical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2403.09532","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Robust SGLD algorithm for solving non-convex distributionally robust optimisation problems
In this paper we develop a Stochastic Gradient Langevin Dynamics (SGLD)
algorithm tailored for solving a certain class of non-convex distributionally
robust optimisation problems. By deriving non-asymptotic convergence bounds, we
build an algorithm which for any prescribed accuracy $\varepsilon>0$ outputs an
estimator whose expected excess risk is at most $\varepsilon$. As a concrete
application, we employ our robust SGLD algorithm to solve the (regularised)
distributionally robust Mean-CVaR portfolio optimisation problem using real
financial data. We empirically demonstrate that the trading strategy obtained
by our robust SGLD algorithm outperforms the trading strategy obtained when
solving the corresponding non-robust Mean-CVaR portfolio optimisation problem
using, e.g., a classical SGLD algorithm. This highlights the practical
relevance of incorporating model uncertainty when optimising portfolios in real
financial markets.