Probability Maximization with Random Linear Inequalities: Alternative Formulations and Stochastic Approximation Schemes

Abstract

Listen

Translate article

This paper addresses a particular instance of probability maximization problems with random linear inequalities. We consider a novel approach that relies on recent findings in the context of non-Gaussian integrals of positively homogeneous functions. This allows for showing that such a maximization problem can be recast as a convex stochastic optimization problem. While standard stochastic approximation schemes cannot be directly employed, we notice that a modified variant of such schemes is provably convergent and displays optimal rates of convergence. This allows for stating a variable sample-size stochastic approximation (SA) scheme which uses an increasing sample-size of gradients at each step. This scheme is seen to provide accurate solutions at a fraction of the time compared to standard SA schemes.