解决非凸分布鲁棒优化问题的鲁棒 SGLD 算法

Ariel Neufeld, Matthew Ng Cheng En, Ying Zhang
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引用次数: 0

摘要

在本文中,我们开发了一种随机梯度朗格文动力学算法(SGLD),专门用于解决某一类非凸分布式稳健优化问题。通过推导非渐近收敛边界,我们建立了一种算法,对于任何规定精度 $\varepsilon>0$ 的估计器,其预期超额风险最多为 $\varepsilon$。在具体应用中,我们利用我们的稳健 SGLD 算法,使用真实的金融数据来解决(正则化的)分布稳健平均-CVaR 投资组合优化问题。我们通过实证证明,使用我们的稳健 SGLD 算法得到的交易策略优于使用经典 SGLD 算法等方法解决相应的非稳健 Mean-CVaR 投资组合优化问题时得到的交易策略。这凸显了在实际金融市场中优化投资组合时纳入模型不确定性的实用性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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