Prove2Me
Navigate
DiscoverCollectionsFormalpediaBlogsUsersMomentumMy Missions+
Prove2Me
⌕
Log in
← Collections

Robust Optimization

Robust counterparts, uncertainty sets, adaptive policies, and distributionally robust optimization.

34 open missions

Missions

1–20 of 34
OpenCompletedAll
Convex OptimizationOperations ResearchOptimization·Captain: naimengye

Robust Optimization X: Globalized Robust Counterparts of Uncertain Conic Problems (retired)Textbook

Motivation

A robust counterpart draws a hard line. Inside the uncertainty set the constraint must hold; outside it, nothing is promised — and in a real problem the perturbation does sometimes land outside. Chapter 3 answered this for linear problems with the globalized robust counterpart: keep the constraint exactly on the normal range Z\mathcal{Z}Z, and let it degrade at a controlled rate outside, proportionally to the distance from Z\mathcal{Z}Z. That mission published Proposition 3.2.1, which says the GRC of an uncertain linear inequality is equivalent to two ordinary robust counterparts.

Chapter 11 of Ben-Tal, El Ghaoui and Nemirovski, Robust Optimization (Princeton, 2009) does the same for conic constraints, and the move is not routine. The left hand side of a conic constraint is a vector, not a scalar, so "the constraint is violated by at most α dist(ζ,Z)\alpha \,\mathrm{dist}(\zeta, \mathcal{Z})αdist(ζ,Z)" has no direct meaning. What replaces it is the observation that a scalar inequality aTy−b≤0a^Ty - b \le 0aTy−b≤0 is the inclusion aTy−b∈Q≡R−a^Ty - b \in \mathbf{Q} \equiv \mathcal{R}_-aTy−b∈Q≡R−​, and that the violation is the distance from the left hand side to Q\mathbf{Q}Q. In that form the notion lifts verbatim, and the whole chapter follows.

Setting

Definition 11.1.2. Consider an uncertain convex constraint

[P0+∑ℓ=1LζℓPℓ]y−[p0+∑ℓ=1Lζℓpℓ] ∈ Q,(11.1.4)\Bigl[P^0 + \sum_{\ell=1}^L \zeta_\ell P^\ell\Bigr]y - \Bigl[p^0 + \sum_{\ell=1}^L \zeta_\ell p^\ell\Bigr] \ \in\ \mathbf{Q}, \tag{11.1.4}[P0+ℓ=1∑L​ζℓ​Pℓ]y−[p0+ℓ=1∑L​ζℓ​pℓ] ∈ Q,(11.1.4)

with Q⊆Rk\mathbf{Q} \subseteq \mathcal{R}^kQ⊆Rk nonempty, closed and convex. Let the perturbation space split as RL=RL1×⋯×RLS\mathcal{R}^L = \mathcal{R}^{L_1}\times\cdots\times\mathcal{R}^{L_S}RL=RL1​×⋯×RLS​, each factor carrying a normal range Zs\mathcal{Z}^sZs, a closed convex cone Ls\mathcal{L}^sLs and a norm ∥⋅∥s\|\cdot\|_s∥⋅∥s​, and let ∥⋅∥Q\|\cdot\|_{\mathbf{Q}}∥⋅∥Q​ be a norm on Rk\mathcal{R}^kRk. A candidate yyy is robust feasible with global sensitivities αs\alpha_sαs​ if

dist(P(y,ζ),Q) ≤ ∑s=1Sαs dist(ζs,Zs∣Ls)∀ ζ∈Z+L,(11.1.6)\mathrm{dist}\bigl(P(y,\zeta), \mathbf{Q}\bigr) \ \le\ \sum_{s=1}^S \alpha_s\, \mathrm{dist}(\zeta^s, \mathcal{Z}^s|\mathcal{L}^s) \qquad \forall\, \zeta \in \mathcal{Z} + \mathcal{L}, \tag{11.1.6}dist(P(y,ζ),Q) ≤ s=1∑S​αs​dist(ζs,Zs∣Ls)∀ζ∈Z+L,(11.1.6)

where dist(u,Q)=min⁡v∈Q∥u−v∥Q\mathrm{dist}(u,\mathbf{Q}) = \min_{v\in\mathbf{Q}}\|u - v\|_{\mathbf{Q}}dist(u,Q)=minv∈Q​∥u−v∥Q​ and dist(ζs,Zs∣Ls)=min⁡{∥ζs−v∥s:v∈Zs, ζs−v∈Ls}\mathrm{dist}(\zeta^s,\mathcal{Z}^s|\mathcal{L}^s) = \min\{\|\zeta^s - v\|_s : v \in \mathcal{Z}^s,\ \zeta^s - v \in \mathcal{L}^s\}dist(ζs,Zs∣Ls)=min{∥ζs−v∥s​:v∈Zs, ζs−v∈Ls}.

The object that makes the analysis work is the recessive cone of Q\mathbf{Q}Q (Definition 11.3.1): for any xˉ∈Q\bar x \in \mathbf{Q}xˉ∈Q,

Rec(Q)={h:xˉ+th∈Q  ∀t≥0},\mathrm{Rec}(\mathbf{Q}) = \{h : \bar x + th \in \mathbf{Q}\ \ \forall t \ge 0\},Rec(Q)={h:xˉ+th∈Q  ∀t≥0},

which does not depend on xˉ\bar xxˉ and is a nonempty closed convex cone.

Formalization targets

Goal — Proposition 11.3.3, the decomposition of the conic GRC

A candidate yyy is feasible for the GRC (11.1.6) if and only if it satisfies the system

(a)[P0+∑ℓζℓPℓ]y−[p0+∑ℓζℓpℓ]∈Q∀ζ∈Z=Z1×⋯×ZS,\text{(a)}\quad \Bigl[P^0 + \sum_\ell \zeta_\ell P^\ell\Bigr]y - \Bigl[p^0 + \sum_\ell \zeta_\ell p^\ell\Bigr] \in \mathbf{Q} \qquad \forall \zeta \in \mathcal{Z} = \mathcal{Z}^1\times \cdots\times\mathcal{Z}^S,(a)[P0+ℓ∑​ζℓ​Pℓ]y−[p0+ℓ∑​ζℓ​pℓ]∈Q∀ζ∈Z=Z1×⋯×ZS, (bs)dist(∑ℓ[Pℓy−pℓ](Esζs)ℓ, Rec(Q)) ≤ αs∀ζs∈Ls with ∥ζs∥s≤1,s=1,…,S.\text{(b}_s)\quad \mathrm{dist}\Bigl(\sum_{\ell} [P^\ell y - p^\ell](E_s\zeta^s)_\ell,\ \mathrm{Rec}(\mathbf{Q})\Bigr) \ \le\ \alpha_s \qquad \forall \zeta^s \in \mathcal{L}^s \text{ with } \|\zeta^s\|_s \le 1, \quad s = 1,\ldots,S .(bs​)dist(ℓ∑​[Pℓy−pℓ](Es​ζs)ℓ​, Rec(Q)) ≤ αs​∀ζs∈Ls with ∥ζs∥s​≤1,s=1,…,S.

Line (a) is the ordinary robust counterpart over the normal range. Each line (bs_ss​) is a bounded semi-infinite constraint — the perturbation ranges over the unit ball of a cone, not over an unbounded set — measuring the distance to the recessive cone rather than to Q\mathbf{Q}Q itself.

Supporting targets

(Def 11.3.1)Rec(Q) is independent of the base point and is a nonempty closed convex cone,\text{(Def 11.3.1)}\quad \mathrm{Rec}(\mathbf{Q}) \text{ is independent of the base point and is a nonempty closed convex cone},(Def 11.3.1)Rec(Q) is independent of the base point and is a nonempty closed convex cone, (Ex 11.3.2)Q bounded⇒Rec(Q)={0};Q a cone⇒Rec(Q)=Q;Rec{u:Au−b∈K}={h:Ah∈K},\text{(Ex 11.3.2)}\quad \mathbf{Q} \text{ bounded} \Rightarrow \mathrm{Rec}(\mathbf{Q}) = \{0\}; \quad \mathbf{Q} \text{ a cone} \Rightarrow \mathrm{Rec}(\mathbf{Q}) = \mathbf{Q}; \quad \mathrm{Rec}\{u : Au - b \in \mathbf{K}\} = \{h : Ah \in \mathbf{K}\},(Ex 11.3.2)Q bounded⇒Rec(Q)={0};Q a cone⇒Rec(Q)=Q;Rec{u:Au−b∈K}={h:Ah∈K}, (Prop 11.4.1)ΨΞ(M)=ΨΞ∗(M∗),Ψ(M)=max⁡{dist∥⋅∥F(Me,KF):e∈KE, ∥e∥E≤1}.\text{(Prop 11.4.1)}\quad \Psi_\Xi(\mathcal{M}) = \Psi_{\Xi_*}(\mathcal{M}^*), \qquad \Psi(\mathcal{M}) = \max\{\mathrm{dist}_{\|\cdot\|_F}(\mathcal{M}e, \mathbf{K}^F) : e \in \mathbf{K}^E,\ \|e\|_E \le 1\} .(Prop 11.4.1)ΨΞ​(M)=ΨΞ∗​​(M∗),Ψ(M)=max{dist∥⋅∥F​​(Me,KF):e∈KE, ∥e∥E​≤1}.

Significance

The goal is the chapter's structural result and it does exactly what Proposition 3.2.1 did one level down: it converts a single semi-infinite constraint over an unbounded perturbation set into a robust counterpart over the bounded normal range plus finitely many constraints over unit balls. That matters because every tractability result of Chapters 6 to 9 is about bounded uncertainty sets; without the decomposition none of them applies to a GRC.

The two halves of the decomposition are genuinely different objects. Line (a) is familiar. Lines (bs_ss​) are not: they measure the distance from a linear image of a ball to the recessive cone, and that is the function

Ψ(M)=max⁡{dist(Me,KF):e∈KE, ∥e∥E≤1}\Psi(\mathcal{M}) = \max\bigl\{\mathrm{dist}(\mathcal{M}e, \mathbf{K}^F) : e \in \mathbf{K}^E,\ \|e\|_E \le 1\bigr\}Ψ(M)=max{dist(Me,KF):e∈KE, ∥e∥E​≤1}

of §11.4, which is almost a norm on linear maps — nonnegative, positively homogeneous, subadditive, but neither symmetric nor strictly positive. Proposition 11.4.1 says this function is self-dual in the precise sense that Ψ\PsiΨ of a map with respect to a setup equals Ψ\PsiΨ of the adjoint map with respect to the dual setup: dual norms, dual cones, source and destination exchanged. That single identity is what lets every bound on Ψ\PsiΨ be computed on whichever side of the duality is tractable, and it is the engine of §11.4's tractability results.

The recessive cone results are the vocabulary. The one that earns its place is Rec{u:Au−b∈K}={h:Ah∈K}\mathrm{Rec}\{u : Au - b \in \mathbf{K}\} = \{h : Ah \in \mathbf{K}\}Rec{u:Au−b∈K}={h:Ah∈K}: the conic sets of this book are all of that form, so it says the recessive cone of every constraint in sight is computed by deleting the constant term.

Difficulty

The goal is an equivalence and the two directions are asymmetric.

Forward — GRC implies the system — is where the recessive cone is discovered rather than used. Fix ζˉ∈Z\bar\zeta \in \mathcal{Z}ζˉ​∈Z and ζs\zeta^sζs in the unit ball of Ls\mathcal{L}^sLs, and run ζi=ζˉ+i ζs\zeta_i = \bar\zeta + i\,\zeta^sζi​=ζˉ​+iζs out along the cone. The GRC bounds the distance to Q\mathbf{Q}Q by αsi\alpha_s iαs​i, so there are qi∈Qq_i \in \mathbf{Q}qi​∈Q with ∥P(y,ζˉ)+iΦ(y)Esζs−qi∥Q≤αsi\|P(y,\bar\zeta) + i\Phi(y)E_s\zeta^s - q_i\|_{\mathbf{Q}} \le \alpha_s i∥P(y,ζˉ​)+iΦ(y)Es​ζs−qi​∥Q​≤αs​i; the rescaled points qi/iq_i/iqi​/i stay bounded, and a limit point of them lies in Rec(Q)\mathrm{Rec}(\mathbf{Q})Rec(Q) by the limit characterization of the recessive cone. This is a genuine compactness argument, and it is why the recessive cone — not Q\mathbf{Q}Q — is what appears in lines (bs_ss​).

Backward is a decomposition-and-assemble: split each ζs=ζˉs+δs\zeta^s = \bar\zeta^s + \delta^sζs=ζˉ​s+δs with ζˉs∈Zs\bar\zeta^s \in \mathcal{Z}^sζˉ​s∈Zs, δs∈Ls\delta^s \in \mathcal{L}^sδs∈Ls realizing the distance, get a point of Q\mathbf{Q}Q from line (a) and a recession direction from each line (bs_ss​), and add them — using that Q+Rec(Q)⊆Q\mathbf{Q} + \mathrm{Rec}(\mathbf{Q}) \subseteq \mathbf{Q}Q+Rec(Q)⊆Q.

Proposition 11.4.1 is a chain of polarity identities: the polar of X+KX + KX+K is Xo∩(−K∗)X^o \cap (-K_*)Xo∩(−K∗​) for compact convex XXX containing the origin, the polar of a norm ball of radius α\alphaα is the dual-norm ball of radius 1/α1/\alpha1/α, and bipolarity. Each step is standard and the composition is not.

Formalization scope

Built on the module published by the third mission of this series, which carries the linear-case globalized robust counterpart and the dual cone. New here: norms as functions with their defining properties, dual norms, the two distances, the recessive cone, the conic GRC, and the function Ψ\PsiΨ.

Conventions committed to:

  • Norms are functions carrying an explicit predicate, not typeclass instances. Chapter 11 quantifies over arbitrary norms ∥⋅∥Q\|\cdot\|_{\mathbf{Q}}∥⋅∥Q​ and ∥⋅∥s\|\cdot\|_s∥⋅∥s​ on fixed coordinate spaces, and a statement must be able to range over them; a typeclass instance would fix one norm per type. IsNormOn bundles definiteness, absolute homogeneity and the triangle inequality, and nonnegativity follows from them.
  • The dual norm is a predicate, not a construction. ∥f∥∗=sup⁡{fTe:∥e∥≤1}\|f\|^* = \sup\{f^Te : \|e\| \le 1\}∥f∥∗=sup{fTe:∥e∥≤1} is asserted as a least upper bound of the set of values, so no supremum is taken on faith.
  • Distances are infima, not minima. The source writes min⁡\minmin, which is correct because the sets are closed; writing inf⁡\infinf avoids carrying an attainment proof into every statement, and agrees with the minimum whenever the source's own hypotheses hold.
  • The recessive cone is indexed by a base point. Definition 11.3.1 defines it at an arbitrary xˉ∈Q\bar x \in \mathbf{Q}xˉ∈Q and then asserts independence of the choice; that assertion is one of the published items, so the definition cannot presuppose it.
  • The perturbation is carried as a family of blocks, ζ=(ζ1,…,ζS)\zeta = (\zeta^1,\ldots,\zeta^S)ζ=(ζ1,…,ζS) with ζs∈RLs\zeta^s \in \mathcal{R}^{L_s}ζs∈RLs​, rather than as a single vector in RL\mathcal{R}^LRL together with the embeddings EsE_sEs​. This is the same data and removes the index bookkeeping of EsE_sEs​ from every statement.
  • Ψ\PsiΨ is a predicate on a real number, as for the dual norm and for the same reason.
  • §11.2 and §11.5 are out of scope: the definition of a tight safe approximation of a GRC and the worked analysis of nonexpansive dynamical systems. The first is a definition the chapter uses only to phrase §11.4's programme, the second an application.

Selected references

  • A. Ben-Tal, L. El Ghaoui and A. Nemirovski, Robust Optimization, Princeton University Press, 2009. Chapter 11, §§11.1, 11.3-11.4, pp. 281-294; Chapter 3 for the linear case. https://doi.org/10.1515/9781400831050
  • A. Ben-Tal, S. Boyd and A. Nemirovski, Extending scope of robust optimization: comprehensive robust counterparts of uncertain problems, Mathematical Programming 107 (2006), 63-89. https://doi.org/10.1007/s10107-005-0679-z
  • R. T. Rockafellar, Convex Analysis, Princeton University Press, 1970. https://doi.org/10.1515/9781400873173
10 thms5 active users
Control TheoryConvex OptimizationLinear algebra+3·Captain: mikedeng1

Robust Solutions to Least-Squares Problems with Uncertain Data IV: A Semidefinite Upper Bound on the Linear-Fractional Worst-Case Residual, Exact for Full PerturbationsResearch Paper

Motivation

Least-squares fitting is a standard tool in estimation, identification and data analysis, and its data AAA, bbb are rarely known exactly. El Ghaoui and Lebret (SIAM J. Matrix Anal. Appl. 18(4), 1997) proposed to choose xxx to minimize the worst-case residual over a set of admissible data perturbations. Earlier missions of this series treat unstructured perturbations of [A b][A\ b][A b] and perturbations affine in a parameter vector. §5 of the paper covers a more general model, taken from robust identification (Doyle et al.): the perturbed data depend on an uncertain matrix Δ\DeltaΔ through a linear-fractional transformation. This form covers rational dependence of the data on uncertain parameters, max-norm bounds on independent parameters, and data matrices with some columns known exactly (pp. 1046–1047).

In this generality, deciding whether the worst-case residual is finite is NP-complete, and computing it is NP-hard even when the dependence is affine (§5.3, Lemma 5.1). Theorem 5.2 gives the tractable replacement: a semidefinite program whose value bounds the worst-case residual from above, and equals it when the perturbation is unstructured. The main tool is a structured form of the S-procedure. Robust control uses the same tool, with the scalings SSS and GGG below, to bound the real structured singular value (Fan, Tits and Doyle, 1991).

Setting

Vectors carry the Euclidean norm ∥v∥\|v\|∥v∥. For a matrix XXX, ∥X∥\|X\|∥X∥ is its largest singular value (operator norm between Euclidean spaces). Let D\mathcal DD be a linear subspace of RN×N\mathbb R^{N\times N}RN×N (the perturbation structure), and fix A∈Rn×mA \in \mathbb R^{n\times m}A∈Rn×m, b∈Rnb \in \mathbb R^nb∈Rn, L∈Rn×NL \in \mathbb R^{n\times N}L∈Rn×N, RA∈RN×mR_A \in \mathbb R^{N\times m}RA​∈RN×m, Rb∈RNR_b \in \mathbb R^NRb​∈RN, D∈RN×ND \in \mathbb R^{N\times N}D∈RN×N. For Δ∈D\Delta \in \mathcal DΔ∈D with det⁡(I−DΔ)≠0\det(I - D\Delta) \ne 0det(I−DΔ)=0 the perturbed data are

A(Δ)=A+LΔ(I−DΔ)−1RA,b(Δ)=b+LΔ(I−DΔ)−1Rb.A(\Delta) = A + L\Delta(I - D\Delta)^{-1}R_A, \qquad b(\Delta) = b + L\Delta(I - D\Delta)^{-1}R_b .A(Δ)=A+LΔ(I−DΔ)−1RA​,b(Δ)=b+LΔ(I−DΔ)−1Rb​.

With the normalization ρ=1\rho = 1ρ=1 (the paper's, with no loss of generality), the worst-case residual of x∈Rmx \in \mathbb R^mx∈Rm is

rD(A,b,x)=max⁡Δ∈D, ∥Δ∥≤1∥A(Δ)x−b(Δ)∥r_{\mathcal D}(A,b,x) = \max_{\Delta \in \mathcal D,\ \|\Delta\| \le 1} \|A(\Delta)x - b(\Delta)\|rD​(A,b,x)=Δ∈D, ∥Δ∥≤1max​∥A(Δ)x−b(Δ)∥

if det⁡(I−DΔ)≠0\det(I - D\Delta) \ne 0det(I−DΔ)=0 for every such Δ\DeltaΔ, and +∞+\infty+∞ otherwise (35). The commutant scalings are S={S=ST:SΔ=ΔS ∀Δ∈D}\mathcal S = \{S = S^T : S\Delta = \Delta S\ \forall \Delta \in \mathcal D\}S={S=ST:SΔ=ΔS ∀Δ∈D} and G={G=−GT:GΔ=ΔG ∀Δ∈D}\mathcal G = \{G = -G^T : G\Delta = \Delta G\ \forall \Delta \in \mathcal D\}G={G=−GT:GΔ=ΔG ∀Δ∈D} (37). The SDP constraint is

F(λ,S,G,x)=[ΘAx−bRAx−Rb(Ax−b)T(RAx−Rb)Tλ]≻0,Θ=[λI−LSLT−LSDT+LG−DSLT+GTLTS+DG−GDT−DSDT].(38),(39)\mathcal F(\lambda,S,G,x) = \begin{bmatrix} \Theta & \begin{matrix} Ax - b \\ R_Ax - R_b\end{matrix} \\ \begin{matrix}(Ax-b)^T & (R_Ax - R_b)^T\end{matrix} & \lambda\end{bmatrix} \succ 0, \quad \Theta = \begin{bmatrix} \lambda I - LSL^T & -LSD^T + LG \\ -DSL^T + G^TL^T & S + DG - GD^T - DSD^T\end{bmatrix}. \qquad (38),(39)F(λ,S,G,x)=​Θ(Ax−b)T​(RA​x−Rb​)T​​Ax−bRA​x−Rb​​λ​​≻0,Θ=[λI−LSLT−DSLT+GTLT​−LSDT+LGS+DG−GDT−DSDT​].(38),(39)

Formalization targets

Goal: Theorem 5.2 (corrected)

For all xxx and λ\lambdaλ:

(a)S∈S, G∈G, S≻0, GΔ skew ∀Δ∈D, F(λ,S,G,x)≻0 ⟹ λ>rD(A,b,x);\text{(a)}\quad S \in \mathcal S,\ G \in \mathcal G,\ S \succ 0,\ G\Delta \text{ skew } \forall \Delta \in \mathcal D,\ \mathcal F(\lambda,S,G,x) \succ 0 \ \Longrightarrow\ \lambda > r_{\mathcal D}(A,b,x);(a)S∈S, G∈G, S≻0, GΔ skew ∀Δ∈D, F(λ,S,G,x)≻0 ⟹ λ>rD​(A,b,x); (b)D=RN×N, λ>rD(A,b,x) ⟹ ∃s>0: F(λ,sI,0,x)≻0.\text{(b)}\quad \mathcal D = \mathbb R^{N\times N},\ \lambda > r_{\mathcal D}(A,b,x) \ \Longrightarrow\ \exists s > 0:\ \mathcal F(\lambda, sI, 0, x) \succ 0 .(b)D=RN×N, λ>rD​(A,b,x) ⟹ ∃s>0: F(λ,sI,0,x)≻0.

Part (a) says the value of the SDP inf⁡{λ:(λ,S,G) feasible}\inf\{\lambda : (\lambda, S, G) \text{ feasible}\}inf{λ:(λ,S,G) feasible} (40) is an upper bound on rDr_{\mathcal D}rD​. Part (b) says this upper bound is exact for full perturbations, including the case rD=∞r_{\mathcal D} = \inftyrD​=∞, where (40) is infeasible.

Milestones

  1. Lemma 2.2, both directions: the full-block S-procedure. det⁡(I−T4Δ)≠0\det(I - T_4\Delta) \ne 0det(I−T4​Δ)=0 and T(Δ)⪰0T(\Delta) \succeq 0T(Δ)⪰0 for all ∥Δ∥≤1\|\Delta\| \le 1∥Δ∥≤1 if and only if ∥T4∥<1\|T_4\| < 1∥T4​∥<1 and a one-scalar LMI (10) holds (the "only if" under T2≠0T_2 \ne 0T2​=0 or T3=0T_3 = 0T3​=0).
  2. Lemma 2.3: sufficiency of the scaled LMI for a structured D\mathcal DD, and its strict necessity for D=RN×N\mathcal D = \mathbb R^{N\times N}D=RN×N.
  3. §5.4, p. 1047: λ>rD(A,b,x)\lambda > r_{\mathcal D}(A,b,x)λ>rD​(A,b,x) if and only if a linear-fractional matrix function of Δ\DeltaΔ is positive definite on the structured unit ball.
  4. §5.4, (38)–(39): the certificate (a) in the paper's own words.

Significance

The worst-case residual under linear-fractional uncertainty cannot be computed efficiently unless P = NP. Theorem 5.2 gives an SDP-computable upper bound with an explicit certificate (S,G)(S, G)(S,G). Since xxx enters (38) linearly, the same constraint can also be optimized over xxx (Theorem 5.3, not part of this mission). For D=RN×N\mathcal D = \mathbb R^{N\times N}D=RN×N the bound is exact, which covers the model [A(Δ) b(Δ)]=[A b]+LΔ[RA Rb][A(\Delta)\ b(\Delta)] = [A\ b] + L\Delta[R_A\ R_b][A(Δ) b(Δ)]=[A b]+LΔ[RA​ Rb​] and, as a special case, the unstructured problem of §3.

The results are proved in the paper (the proof of Theorem 5.2 is only indicated, through Appendix C). No machine-checked version of these statements, of Lemma 2.2 or of the structured S-procedure with commutant scalings is known. The formalization also fixes the statements. As printed, Lemma 2.2's "only if", Lemma 2.3 and the upper bound of Theorem 5.2 are each false in a boundary or structural case (see Formalization scope). The corrected forms stated here are the ones the paper's proofs support.

Difficulty

Part (a) reduces to robust positivity of a linear-fractional matrix function, and the difficulty is the inverse (I−DΔ)−1(I - D\Delta)^{-1}(I−DΔ)−1. The certificate is one LMI in which Δ\DeltaΔ does not appear, while the conclusion is about a rational function of Δ\DeltaΔ over a whole structured ball. The certificate also has to guarantee that I−DΔI - D\DeltaI−DΔ is invertible everywhere on that ball, and not only that the residual is small where it is defined. Evaluating F\mathcal FF at a single point does not show this. Part (b) needs a lossless S-procedure in its strict form. The standard (non-strict) S-lemma gives only ⪰\succeq⪰, and the gap between strict and non-strict inequalities is exactly where the printed statements fail. The degenerate case T2=0T_2 = 0T2​=0 is not covered by the S-lemma's regularity condition and has to be handled separately.

Formalization scope

  • Dimensions are Fin n, Fin m, Fin N; D\mathcal DD is a Submodule ℝ (Matrix (Fin N) (Fin N) ℝ), with D=RN×N\mathcal D = \mathbb R^{N\times N}D=RN×N as ⊤. The Euclidean norm is written out, because ‖·‖ on Fin n → ℝ is the sup norm. ∥Δ∥\|\Delta\|∥Δ∥ is the operator norm of Matrix.toEuclideanLin Δ, the largest singular value.
  • λ>rD(A,b,x)\lambda > r_{\mathcal D}(A,b,x)λ>rD​(A,b,x) is the predicate ResidualBelow: every Δ∈D\Delta \in \mathcal DΔ∈D with ∥Δ∥≤1\|\Delta\| \le 1∥Δ∥≤1 has det⁡(I−DΔ)≠0\det(I - D\Delta) \ne 0det(I−DΔ)=0 and residual <λ< \lambda<λ. It is false for every λ\lambdaλ when rD=∞r_{\mathcal D} = \inftyrD​=∞. No real-valued supremum is used, so the ∞\infty∞ branch of (35) cannot turn into a default 000. Matrix inverses are Mathlib's Matrix.inv, and every use carries the determinant condition.
  • ρ=1\rho = 1ρ=1 throughout, as in the paper; general ρ\rhoρ follows by scaling Δ\DeltaΔ.
  • Corrections of the printed statements. (i) (40) must require S≻0S \succ 0S≻0. Without it, N=n=m=1N = n = m = 1N=n=m=1, D=2D = 2D=2, L=1L = 1L=1, A=b=RA=Rb=0A = b = R_A = R_b = 0A=b=RA​=Rb​=0, x=0x = 0x=0, S=−1S = -1S=−1, G=0G = 0G=0 satisfy (38) for every λ>1/3\lambda > 1/3λ>1/3, while rD=∞r_{\mathcal D} = \inftyrD​=∞. (ii) GGG must make GΔG\DeltaGΔ skew-symmetric for every Δ∈D\Delta \in \mathcal DΔ∈D, which is the identity pTGq=0p^TGq = 0pTGq=0 used in the proof of Lemma 2.3. For D=span⁡{I,J}\mathcal D = \operatorname{span}\{I, J\}D=span{I,J}, J=[01−10]J = \begin{bmatrix}0&1\\-1&0\end{bmatrix}J=[0−1​10​], the printed bound certifies λ=3/2\lambda = 3/2λ=3/2 for an instance with worst-case residual 222. The added condition holds automatically when every element of D\mathcal DD is symmetric (e.g. the diagonal structures (36)) and when G=0G = 0G=0 (e.g. D=RN×N\mathcal D = \mathbb R^{N\times N}D=RN×N). (iii) Lemma 2.2's "only if" is stated under T2≠0T_2 \ne 0T2​=0 or T3=0T_3 = 0T3​=0. (iv) Lemma 2.3's necessity is stated in strict form, and its sufficiency concludes T(Δ)≻0T(\Delta) \succ 0T(Δ)≻0.
  • Not stated: "If Θ>0\Theta > 0Θ>0 at the optimum, the upper bound is also exact". The infimum over the strict LMI (38) is not attained, and the paper does not say which limit is meant. Theorem 5.3, Lemma 2.4 and Lemma 5.1 are also not stated.
  • Trivializing encodings ruled out: the goal is not a statement about the value of an infimum (which a junk value could satisfy), and the added hypotheses are satisfiable (for instance S=sIS = sIS=sI, G=0G = 0G=0 for full D\mathcal DD, which part (b) produces).
  • Infrastructure needed: the Schur complement for block matrices (in Mathlib), a lossless S-lemma for two homogeneous quadratic forms in strict and non-strict form (the platform has ConvexOptimization.s_procedure, in a different sign convention), square roots of positive definite matrices that commute with D\mathcal DD, and compactness of the structured unit ball. The S-procedure lemmas are reusable in robust control and trust-region analysis. Proofs of the milestones in any order are welcome.

Selected references

  • L. El Ghaoui and H. Lebret, Robust solutions to least-squares problems with uncertain data, SIAM J. Matrix Anal. Appl. 18(4):1035–1064, 1997. https://doi.org/10.1137/S0895479896298130
  • S. Boyd, L. El Ghaoui, E. Feron and V. Balakrishnan, Linear Matrix Inequalities in System and Control Theory, SIAM, 1994. https://doi.org/10.1137/1.9781611970777
  • M. K. H. Fan, A. L. Tits and J. C. Doyle, Robustness in the presence of mixed parametric uncertainty and unmodeled dynamics, IEEE Trans. Automat. Control 36(1):25–38, 1991. https://doi.org/10.1109/9.62265
  • I. Pólik and T. Terlaky, A survey of the S-lemma, SIAM Review 49(3):371–418, 2007. https://doi.org/10.1137/S003614450444614X
8 thms2 active usersReviewed
Machine LearningOptimizationProbability+1·Captain: mikedeng1

Variance-based Regularization with Convex Objectives I: The χ²-Robust Risk Equals Empirical Risk plus a Standard-Deviation PenaltyResearch Paper

Motivation

Many statistical procedures minimize an average observed loss. This treats two candidates with the same average as equally attractive even when one has much more variable losses across the sample. Adding a multiple of the empirical standard deviation can distinguish them, but the resulting objective need not be convex even when each individual loss is convex. Duchi and Namkoong study a distributionally robust alternative: they maximize expected loss over a small neighborhood of the empirical distribution, then minimize that worst-case value. Their paper identifies when this convex robust value agrees exactly with the mean-plus-standard-deviation expression and how far apart the two can be otherwise. The finite-sample statement is Theorem 1 of the pinned preprint.

The relation matters to someone choosing a loss function for stochastic optimization. The variance expression has a direct statistical interpretation, while the robust expression preserves convexity in a decision parameter when the loss is convex. Theorem 1 makes the relationship quantitative for a single bounded random variable, before the paper turns to uniform guarantees over whole classes of losses. This mission isolates that first step and its finite optimization model.

Setting

Take observed real values z1,…,znz_1,\ldots,z_nz1​,…,zn​, with n≥1n\ge1n≥1. Their empirical mean and empirical variance are

zˉ=1n∑i=1nzi,sn2=1n∑i=1nzi2−zˉ2.\bar z=\frac1n\sum_{i=1}^n z_i,\qquad s_n^2=\frac1n\sum_{i=1}^n z_i^2-\bar z^2.zˉ=n1​i=1∑n​zi​,sn2​=n1​i=1∑n​zi2​−zˉ2.

The variance uses 1/n1/n1/n, not the unbiased-estimator factor 1/(n−1)1/(n-1)1/(n−1). A weight vector p=(p1,…,pn)p=(p_1,\ldots,p_n)p=(p1​,…,pn​) is feasible when its entries are nonnegative, sum to one, and satisfy

12∑i=1n(npi−1)2≤ρ,ρ≥0.\frac12\sum_{i=1}^n(np_i-1)^2\le\rho,\qquad \rho\ge0.21​i=1∑n​(npi​−1)2≤ρ,ρ≥0.

This is the paper's χ² neighborhood Pn(ρ)\mathcal P_n(\rho)Pn​(ρ) of the uniform empirical weights. Its robust sample expectation is

Rn(z,ρ)=sup⁡p∈Pn(ρ)∑i=1npizi.R_n(z,\rho)=\sup_{p\in\mathcal P_n(\rho)}\sum_{i=1}^n p_i z_i.Rn​(z,ρ)=p∈Pn​(ρ)sup​i=1∑n​pi​zi​.

For a random variable ZZZ with law PPP supported on [M0,M1][M_0,M_1][M0​,M1​], write M=M1−M0M=M_1-M_0M=M1​−M0​ and σ2=Var⁡P(Z)\sigma^2=\operatorname{Var}_P(Z)σ2=VarP​(Z). An independent sample Z1,…,ZnZ_1,\ldots,Z_nZ1​,…,Zn​ supplies the vector zzz. The paper describes Pn\mathcal P_nPn​ through a ϕ\phiϕ-divergence from the empirical distribution, with ϕ(t)=12(t−1)2\phi(t)=\tfrac12(t-1)^2ϕ(t)=21​(t−1)2; its finite maximization problem (8) is the weight-vector form used here. The preprint, pp. 2 and 5–7 fixes these conventions.

Formalization targets

Deterministic bound

For every sample in [M0,M1][M_0,M_1][M0​,M1​], the robust value lies between the empirical mean plus a corrected variance penalty and the full penalty:

(2ρsn2n−2Mρn)+≤Rn(z,ρ)−zˉ≤2ρsn2n.\left(\sqrt{\frac{2\rho s_n^2}{n}}-\frac{2M\rho}{n}\right)_+\le R_n(z,\rho)-\bar z\le\sqrt{\frac{2\rho s_n^2}{n}}.(n2ρsn2​​​−n2Mρ​)+​≤Rn​(z,ρ)−zˉ≤n2ρsn2​​​.

This is inequality (10). The correction is explicit, so this target records more than an asymptotic approximation.

Exact expansion

When σ2>0\sigma^2>0σ2>0 and the sample size obeys

n≥max⁡{5,M2σ2max⁡{8σ,44,44ρ}},n\ge\max\left\{5,\frac{M^2}{\sigma^2}\max\{8\sigma,44,44\rho\}\right\},n≥max{5,σ2M2​max{8σ,44,44ρ}},

the goal is the high-probability equality

Pr⁡{Rn(Z1:n,ρ)≠Zˉ+2ρsn2n}≤exp⁡(−nσ211M2).\Pr\left\{R_n(Z_{1:n},\rho)\ne\bar Z+\sqrt{\frac{2\rho s_n^2}{n}}\right\}\le\exp\left(-\frac{n\sigma^2}{11M^2}\right).Pr{Rn​(Z1:n​,ρ)=Zˉ+n2ρsn2​​​}≤exp(−11M2nσ2​).

This is Theorem 1's equality (11) with the missing ρ\rhoρ-dependent sample-size requirement supplied from the proof. The exact expansion is the mission goal; display (30), inequality (10), and Lemma A.2 form the milestone list, and the exact value under condition (9) is a further statement of the mission.

Significance

The deterministic result states how large the discrepancy between a convex robust risk and a variance penalty can be for any bounded sample. The equality says that, with the stated confidence, no discrepancy remains once the population variance and sample size make the penalty compatible with nonnegative probability weights. These are the numerical facts later sections need when they move from one loss variable to families of losses and minimizers. The claims and constants come from Theorem 1 and Section 2.1.

The paper develops arguments for these results, although its printed (11) needs the correction described below; the statements in this mission have no machine-checked proofs yet. The formalization work includes the finite χ² feasible set, its real supremum, exact handling of tied observations, empirical moments with the paper's normalization, and a product-law event for the probability estimate. The Samson concentration milestone is reusable for other bounded independent-coordinate models. Solvers can also contribute a different route to the corrected exact expansion; the goal concerns the statement, not one chosen argument.

Difficulty

Without the nonnegativity requirement on ppp, optimizing a linear function over the centered Euclidean ball gives the mean plus a standard-deviation term. The candidate weights can become negative when a sample coordinate is far below the mean, so that calculation alone cannot certify the robust value. Condition (9) records precisely when the candidate is feasible. The probability target then needs a quantitative guarantee that the sample variance is large enough often enough, with the stated exponential constant. A pointwise inequality for a fixed sample does not by itself yield that probability estimate. These are separate obligations in Section 2.1 and Appendix A.

Formalization scope

The sample is a function Fin n → ℝ; feasible weights have the same type. chiSqBall, robustSup, empMean, and empVar mirror equations (8) and the definitions on p. 6. Every theorem assumes n>0n>0n>0 and ρ≥0\rho\ge0ρ≥0, so the weight ball is nonempty and its real supremum is bounded. The high-probability theorem uses a probability measure PPP on the reals, supported on [M0,M1][M_0,M_1][M0​,M1​], and the independent product measure on Fin n → ℝ. Its conclusion bounds the measure of the event on which equality fails. The positive population variance hypothesis makes division by σ2\sigma^2σ2 and M2M^2M2 meaningful. The deterministic bounds include every sample in the interval and use x+=max⁡{x,0}x_+=\max\{x,0\}x+​=max{x,0}.

The paper prints the threshold without 44ρ44\rho44ρ in (11), but its Appendix A invokes the corresponding inequality, and the printed claim fails for sufficiently large ρ\rhoρ. The goal includes that term. The paper's route through Lemmas A.1 and A.4 contains misprinted lower-tail and moment claims, so those are not milestones. Lemma A.3's displayed (31b) is also omitted because its correction term has the wrong scaling; the corrected goal stands as a target to establish independently. These discrepancies are detailed in the local moderation notes and the pinned source, pp. 7 and 32–35.

No hypothesis may force the bad event to be empty, and the robust value must optimize over all feasible weights, not a selected optimizer. The supporting definitions are intended for reuse in later missions on uniform variance expansions. Contributions to the finite optimization facts, the concentration statement, and the probability goal are welcome.

Selected references

  • J. C. Duchi and H. Namkoong, Variance-based regularization with convex objectives, arXiv preprint arXiv:1610.02581v3, 2017. Pinned preprint.
8 thms2 active usersReviewed
Machine LearningOptimizationProbability+1·Captain: mikedeng1

Variance-based Regularization with Convex Objectives II: A Covering-Number Certificate and Oracle Inequality for the Robust MinimizerResearch Paper

Motivation

Empirical risk minimization (ERM) chooses, from a class F\mathcal FF of loss functions, the one with the smallest average loss on a sample X1,…,XnX_1,\dots,X_nX1​,…,Xn​. Its standard guarantees bound the excess population risk by a term of order 1/n1/\sqrt n1/n​, whatever the variance of the losses. When good functions in F\mathcal FF have small variance, a better trade-off is available in principle: minimize the empirical risk plus a standard-deviation penalty 2ρ VarP^n(f)/n\sqrt{2\rho\,\mathrm{Var}_{\widehat P_n}(f)/n}2ρVarPn​​(f)/n​. Maurer and Pontil (COLT 2009) showed that this sample variance penalization enjoys faster rates, but the penalized objective is non-convex even for convex losses, so it cannot be minimized efficiently in general.

Duchi and Namkoong (arXiv:1610.02581v3, 2017; NIPS 2017) replace the variance penalty by a distributionally robust objective: the worst-case average loss over all reweightings of the sample within a χ2\chi^2χ2-divergence ball of radius ρ/n\rho/nρ/n. This objective is convex whenever the loss is convex, and it equals the empirical risk plus the standard-deviation penalty up to an error of order 1/n1/n1/n. Theorem 3 of the paper turns this into a guarantee for the minimizer of the robust objective, using covering numbers of the class. This mission formalizes Theorem 3 and the lemmas its proof rests on.

Setting

Let X\mathcal XX be a measurable space, PPP a probability measure on it, and X1,…,XnX_1,\dots,X_nX1​,…,Xn​ (n≥1n\ge1n≥1) an i.i.d. sample from PPP with empirical distribution P^n\widehat P_nPn​. Let F\mathcal FF be a nonempty class of measurable functions f:X→[M0,M1]f:\mathcal X\to[M_0,M_1]f:X→[M0​,M1​], and set M=M1−M0M = M_1-M_0M=M1​−M0​. Write E[f]=∫f dP\mathbb E[f]=\int f\,dPE[f]=∫fdP, Var(f)\mathrm{Var}(f)Var(f) for the variance of f(X)f(X)f(X), and

EP^n[f]=1n∑i=1nf(Xi),VarP^n(f)=1n∑i=1nf(Xi)2−(EP^n[f])2.\mathbb E_{\widehat P_n}[f] = \frac1n\sum_{i=1}^n f(X_i),\qquad \mathrm{Var}_{\widehat P_n}(f) = \frac1n\sum_{i=1}^n f(X_i)^2 - \big(\mathbb E_{\widehat P_n}[f]\big)^2 .EPn​​[f]=n1​i=1∑n​f(Xi​),VarPn​​(f)=n1​i=1∑n​f(Xi​)2−(EPn​​[f])2.

For ρ≥0\rho\ge0ρ≥0, the χ2\chi^2χ2 ball Pn\mathcal P_nPn​ is the set of weight vectors p∈Rnp\in\mathbb R^np∈Rn with pi≥0p_i\ge0pi​≥0, ∑ipi=1\sum_i p_i = 1∑i​pi​=1 and 12∑i(npi−1)2≤ρ\frac12\sum_i (np_i-1)^2\le\rho21​∑i​(npi​−1)2≤ρ: the distributions PPP on the sample with Dϕ(P∥P^n)≤ρ/nD_\phi(P\|\widehat P_n)\le\rho/nDϕ​(P∥Pn​)≤ρ/n for ϕ(t)=12(t−1)2\phi(t)=\frac12(t-1)^2ϕ(t)=21​(t−1)2. The robust risk of fff is

Rn(f)=sup⁡P: Dϕ(P∥P^n)≤ρ/nEP[f(X)]=max⁡p∈Pn∑i=1npif(Xi),R_n(f) = \sup_{P:\,D_\phi(P\|\widehat P_n)\le \rho/n}\mathbb E_P[f(X)] = \max_{p\in\mathcal P_n}\sum_{i=1}^n p_i f(X_i),Rn​(f)=P:Dϕ​(P∥Pn​)≤ρ/nsup​EP​[f(X)]=p∈Pn​max​i=1∑n​pi​f(Xi​),

and a robust minimizer is any f^∈argmin⁡f∈FRn(f)\widehat f\in\operatorname{argmin}_{f\in\mathcal F} R_n(f)f​∈argminf∈F​Rn​(f).

Complexity is measured by empirical ℓ∞\ell_\inftyℓ∞​ covering numbers. For V⊂RmV\subset\mathbb R^mV⊂Rm, N(V,ϵ,∥⋅∥∞)N(V,\epsilon,\|\cdot\|_\infty)N(V,ϵ,∥⋅∥∞​) is the least number of points v1,…,vN∈Vv_1,\dots,v_N\in Vv1​,…,vN​∈V such that every v∈Vv\in Vv∈V lies within sup-distance ϵ\epsilonϵ of some viv_ivi​. For x∈Xmx\in\mathcal X^mx∈Xm let F(x)={(f(x1),…,f(xm)):f∈F}\mathcal F(x)=\{(f(x_1),\dots,f(x_m)) : f\in\mathcal F\}F(x)={(f(x1​),…,f(xm​)):f∈F}, and

N∞(F,ϵ,m)=sup⁡x∈XmN(F(x),ϵ,∥⋅∥∞)∈N∪{∞}.N_\infty(\mathcal F,\epsilon,m) = \sup_{x\in\mathcal X^m} N\big(\mathcal F(x),\epsilon,\|\cdot\|_\infty\big)\in\mathbb N\cup\{\infty\}.N∞​(F,ϵ,m)=x∈Xmsup​N(F(x),ϵ,∥⋅∥∞​)∈N∪{∞}.

Formalization targets

Goal: the oracle inequality (16)

Let n≥8M2/tn\ge 8M^2/tn≥8M2/t, t≥log⁡12t\ge\log 12t≥log12, ϵ>0\epsilon>0ϵ>0 and ρ≥9t\rho\ge 9tρ≥9t. With probability at least 1−2(3N∞(F,ϵ,2n)+1)e−t1-2(3N_\infty(\mathcal F,\epsilon,2n)+1)e^{-t}1−2(3N∞​(F,ϵ,2n)+1)e−t, every robust minimizer f^\widehat ff​ satisfies

E[f^(X)]≤inf⁡f∈F{E[f]+22ρnVar(f)}+19Mρ3n+(2+42tn)ϵ.\mathbb E[\widehat f(X)] \le \inf_{f\in\mathcal F}\left\{\mathbb E[f] + 2\sqrt{\frac{2\rho}{n}\mathrm{Var}(f)}\right\} + \frac{19M\rho}{3n} + \left(2+4\sqrt{\frac{2t}{n}}\right)\epsilon .E[f​(X)]≤f∈Finf​{E[f]+2n2ρ​Var(f)​}+3n19Mρ​+(2+4n2t​​)ϵ.

The certificate (15)

Under the same hypotheses and with the same probability, simultaneously for all f∈Ff\in\mathcal Ff∈F,

E[f(X)]≤Rn(f)+113Mρn+(2+42tn)ϵ.\mathbb E[f(X)] \le R_n(f) + \frac{11}{3}\frac{M\rho}{n} + \left(2+4\sqrt{\frac{2t}{n}}\right)\epsilon .E[f(X)]≤Rn​(f)+311​nMρ​+(2+4n2t​​)ϵ.

Supporting results (milestones)

  1. Theorem 1, inequality (10): for every vector z∈[M0,M1]nz\in[M_0,M_1]^nz∈[M0​,M1​]n, the robust mean minus the sample mean lies between (2ρsn2/n−2Mρ/n)+\big(\sqrt{2\rho s_n^2/n}-2M\rho/n\big)_+(2ρsn2​/n​−2Mρ/n)+​ and 2ρsn2/n\sqrt{2\rho s_n^2/n}2ρsn2​/n​.
  2. Lemma C.1: a uniform empirical Bernstein bound over F\mathcal FF with probability 1−6N∞(F,ϵ,2n)e−t1-6N_\infty(\mathcal F,\epsilon,2n)e^{-t}1−6N∞​(F,ϵ,2n)e−t.
  3. Lemma A.1, first bound: P(sn≥Esn2+t)≤exp⁡(−nt2/(2M2))\mathbb P(s_n\ge\sqrt{\mathbb E s_n^2}+t)\le\exp(-nt^2/(2M^2))P(sn​≥Esn2​​+t)≤exp(−nt2/(2M2)).
  4. Bernstein's inequality for one fixed fff, as displayed in the proof (p. 38).
  5. The certificate (15).

Significance

Inequality (15) says the robust risk is a uniform upper confidence bound on the population risk, with an O(1/n)O(1/n)O(1/n) slack instead of the O(1/n)O(1/\sqrt n)O(1/n​) slack of the empirical risk. Inequality (16) says the robust minimizer competes with the best variance-penalized population risk in the class. When some f∈Ff\in\mathcal Ff∈F has small risk and small variance, the excess risk of f^\widehat ff​ is of order 1/n1/n1/n up to the covering term, a rate ERM does not achieve in general (§3.3 of the paper gives an example). For a parametric class with N∞(F,ϵ,2n)N_\infty(\mathcal F,\epsilon,2n)N∞​(F,ϵ,2n) polynomial in 1/ϵ1/\epsilon1/ϵ, choosing ϵ=M/n\epsilon=M/nϵ=M/n gives Corollaries 3.1 and 3.2 of the paper.

The results are proved in the paper; none of them has a machine-checked proof that we know of. The mission's output is a formal proof of Theorem 3 and its ingredients: a deterministic analysis of the χ2\chi^2χ2-constrained linear program (Theorem 1 (10)), a covering-number empirical Bernstein inequality (Lemma C.1, from Maurer and Pontil), concentration of the sample standard deviation (Lemma A.1), and the scalar Bernstein inequality in the form used. Each of these is reusable outside distributionally robust optimization.

Difficulty

The deterministic part, (10), is a short analysis of a quadratically constrained linear program. The main obstacle is Lemma C.1. A union bound over a cover of F\mathcal FF fails directly: the cover depends on the sample, and a population-level cover of F\mathcal FF need not be finite. The standard route goes through a ghost sample of size nnn (hence covering at 2n2n2n points), a symmetrization that must preserve the sample variance rather than only the mean, and a concentration bound for the sample variance itself. Lemma A.1 needs concentration of sns_nsn​, a non-linear and non-smooth function of the sample, at the sub-Gaussian rate M/nM/\sqrt nM/n​. Finally, the oracle inequality (16) holds for an infimum over the whole class, while the concentration step for the comparison function is only proved for one fixed fff at a time.

Formalization scope

The sample is the coordinate process of the product measure P⊗nP^{\otimes n}P⊗n on Xn\mathcal X^nXn (Measure.pi). Each probability statement bounds the probability of the bad event, the set of samples where the inequality fails for some fff (or some minimizer). This set need not be measurable, and its measure is then the outer measure, as is standard in empirical-process theory. Probability bounds are computed in [0,∞][0,\infty][0,∞], and the covering number is valued in N∪{∞}\mathbb N\cup\{\infty\}N∪{∞}, so an infinite covering number makes the bound trivial rather than collapsing to zero. Covering numbers are internal (centres in F(x)\mathcal F(x)F(x)) and use closed sup-norm balls, as on p. 9; this is Mathlib's Metric.coveringNumber. The empirical variance is normalized by 1/n1/n1/n. The χ2\chi^2χ2 ball is encoded as weight vectors on the sample points; with tied sample values this gives the same supremum as the paper's distributions on the sample. Statement (16) is formalized for every minimizer of the robust risk, and the event is empty if no minimizer exists. The infimum ranges over the nonempty class F\mathcal FF, on which every term is at least M0M_0M0​. Population moments are those of bounded measurable functions, hence finite.

Deviations from the printed text:

  • Lemma A.1 is stated only for its first (upper-tail) bound. The paper derives the second bound from Lemma A.4, which is false as printed; the second bound is not stated. M>0M>0M>0 is assumed because M2M^2M2 is a denominator.
  • Lemma C.1 is the paper's restatement of Maurer and Pontil's Theorem 6, with a general radius ϵ\epsilonϵ. It is formalized as printed, with the implicit assumption ϵ>0\epsilon>0ϵ>0 made explicit.
  • n≥1n\ge1n≥1 is assumed throughout. The hypothesis n≥8M2/tn\ge 8M^2/tn≥8M2/t is kept as printed.

A trivializing formalization is ruled out: the bound is not taken over all functions, a probability bound is not formed from the real part of an infinite covering number, and the minimizer is not a hypothesis that can fail to exist for the given sample.

Needed infrastructure: product-measure concentration (Bernstein, and a bounded-difference or convex-Lipschitz inequality for sns_nsn​), symmetrization with a ghost sample, and finite union bounds over a cover. Contributions are welcome on any milestone, in particular a general covering-number empirical Bernstein inequality, which is reusable on its own.

Selected references

  • J. C. Duchi and H. Namkoong, Variance-based regularization with convex objectives, arXiv:1610.02581v3, 2017 (NIPS 2017; JMLR 20, 2019). https://arxiv.org/abs/1610.02581
  • A. Maurer and M. Pontil, Empirical Bernstein bounds and sample variance penalization, COLT 2009. https://arxiv.org/abs/0907.3740
  • S. Boucheron, G. Lugosi and P. Massart, Concentration Inequalities: A Nonasymptotic Theory of Independence, Oxford University Press, 2013. https://doi.org/10.1093/acprof:oso/9780199535255.001.0001
  • A. W. van der Vaart and J. A. Wellner, Weak Convergence and Empirical Processes, Springer, 1996. https://doi.org/10.1007/978-1-4757-2545-2
11 thms2 active usersReviewed
Machine LearningOptimizationProbability+1·Captain: mikedeng1

Variance-based Regularization with Convex Objectives III: Localized-Rademacher Risk Bounds for the Robust MinimizerResearch Paper

Why variance-regularized risk bounds

In statistical learning, one picks a function fff from a class F\mathcal FF to make the population risk E[f]\mathbb E[f]E[f] small, with access only to an i.i.d. sample x1,…,xnx_1,\dots,x_nx1​,…,xn​ from an unknown distribution PPP. Empirical risk minimization replaces E[f]\mathbb E[f]E[f] by the empirical mean EP^n[f]\mathbb E_{\widehat P_n}[f]EPn​​[f], and its classical guarantees decay like 1/n1/\sqrt n1/n​ regardless of how concentrated fff is. Bernstein-type inequalities show that the deviation of EP^n[f]\mathbb E_{\widehat P_n}[f]EPn​​[f] from E[f]\mathbb E[f]E[f] scales with the standard deviation of fff, so a procedure that minimizes "empirical risk plus a standard-deviation penalty" can, in principle, achieve faster rates when the variance at the optimum is small (Maurer and Pontil, 2009). The penalized objective is non-convex even when every fff is convex in its parameters, which makes it hard to optimize.

J. C. Duchi and H. Namkoong (arXiv:1610.02581v3, 2017) replace the penalty by a distributionally robust objective: the worst-case risk over all reweightings of the sample within a χ2\chi^2χ2-divergence ball. This objective is convex whenever the losses are, and (Theorem 1 of the paper) it equals the empirical mean plus a standard-deviation penalty up to an error of order 1/n1/n1/n. This mission formalizes the paper's guarantee for the minimizer of that robust objective in terms of localized Rademacher complexities (Section 3.2, Theorem 4), the sharpest of the paper's three generalization analyses. It is the third of four missions on the paper.

Setting

Let PPP be a probability measure on a measurable space X\mathcal XX and x1,…,xnx_1,\dots,x_nx1​,…,xn​, n≥1n\ge1n≥1, an i.i.d. sample from PPP with empirical distribution P^n\widehat P_nPn​. Let M≥1M\ge1M≥1 and let F\mathcal FF be a collection of measurable functions f:X→[0,M]f:\mathcal X\to[0,M]f:X→[0,M] (losses).

  • The χ2\chi^2χ2 ball of radius ρ≥0\rho\ge0ρ≥0 is the set Pn\mathcal P_nPn​ of weight vectors p∈Rnp\in\mathbb R^np∈Rn with pi≥0p_i\ge0pi​≥0, ∑ipi=1\sum_ip_i=1∑i​pi​=1 and 12∑i(npi−1)2≤ρ\frac12\sum_i(np_i-1)^2\le\rho21​∑i​(npi​−1)2≤ρ; equivalently, the distributions PPP on the sample with Dϕ(P∥P^n)≤ρ/nD_\phi(P\|\widehat P_n)\le\rho/nDϕ​(P∥Pn​)≤ρ/n for ϕ(t)=12(t−1)2\phi(t)=\frac12(t-1)^2ϕ(t)=21​(t−1)2.
  • The robust risk of fff is sup⁡P: Dϕ(P∥P^n)≤ρ/nEP[f]=sup⁡p∈Pn∑ipif(xi)\sup_{P:\,D_\phi(P\|\widehat P_n)\le\rho/n}\mathbb E_P[f]=\sup_{p\in\mathcal P_n}\sum_ip_if(x_i)supP:Dϕ​(P∥Pn​)≤ρ/n​EP​[f]=supp∈Pn​​∑i​pi​f(xi​), and a robust minimizer f^\widehat ff​ minimizes it over F\mathcal FF.
  • The empirical Rademacher complexity is Rn(F)=Eε[sup⁡f∈F1n∑iεif(xi)]\mathfrak R_n(\mathcal F)=\mathbb E_\varepsilon\big[\sup_{f\in\mathcal F}\frac1n\sum_i\varepsilon_if(x_i)\big]Rn​(F)=Eε​[supf∈F​n1​∑i​εi​f(xi​)] with i.i.d. uniform signs εi∈{−1,1}\varepsilon_i\in\{-1,1\}εi​∈{−1,1}, and E[Rn(F)]\mathbb E[\mathfrak R_n(\mathcal F)]E[Rn​(F)] averages it over the sample.
  • A function ψ:R+→R+\psi:\mathbb R_+\to\mathbb R_+ψ:R+​→R+​ is sub-root if it is nonnegative, nondecreasing, and r↦ψ(r)/rr\mapsto\psi(r)/\sqrt rr↦ψ(r)/r​ is nonincreasing on r>0r>0r>0.
  • The localization inequality (20) asks that, for all r≥0r\ge0r≥0,
ψn(r) ≥ E[Rn({cf:f∈F, c∈[0,1], E[c2f2]≤r})],\psi_n(r)\ \ge\ \mathbb E\big[\mathfrak R_n(\{cf : f\in\mathcal F,\ c\in[0,1],\ \mathbb E[c^2f^2]\le r\})\big],ψn​(r) ≥ E[Rn​({cf:f∈F, c∈[0,1], E[c2f2]≤r})],

with ψn\psi_nψn​ sub-root, and rn⋆>0r_n^\star>0rn⋆​>0 is a point with rn⋆≥ψn(rn⋆)r_n^\star\ge\psi_n(r_n^\star)rn⋆​≥ψn​(rn⋆​).

Formalization targets

Goal: Theorem 4, inequality (23), as its proof establishes it

Let 0<t<n0<t<n0<t<n and let ρ\rhoρ satisfy (21): ρn≥8(45Mn(t+log⁡⌈log⁡nt⌉)+18rn⋆)\frac\rho n\ge8\big(\frac{45M}n\big(t+\log\lceil\log\frac nt\rceil\big)+18r_n^\star\big)nρ​≥8(n45M​(t+log⌈logtn​⌉)+18rn⋆​). With probability at least 1−4e−t1-4e^{-t}1−4e−t, every robust minimizer f^\widehat ff​ satisfies

E[f^] ≤ (1+22ρn)inf⁡f∈F(E[f]+182ρ45nVar(f))+(14+62ρn)M(3ρ+t)n.\mathbb E[\widehat f]\ \le\ \Big(1+2\sqrt{\tfrac{2\rho}n}\Big)\inf_{f\in\mathcal F}\Big(\mathbb E[f]+\sqrt{\tfrac{182\rho}{45n}\mathrm{Var}(f)}\Big)+\Big(14+6\sqrt{\tfrac{2\rho}n}\Big)\frac{M(3\rho+t)}n .E[f​] ≤ (1+2n2ρ​​)f∈Finf​(E[f]+45n182ρ​Var(f)​)+(14+6n2ρ​​)nM(3ρ+t)​.

Milestones

In attack order: Bousquet's form of Talagrand's inequality (Lemma B.2); the elementary root bound (Lemma D.4); the contraction principle (Lemma D.5, a published theorem); the uniform Bernstein inequality with Rademacher complexity (Lemma D.1); its localized version in terms of rn⋆r_n^\starrn⋆​ (Lemma D.2); localized second-moment bounds (Lemma D.3); the deterministic expansion (10) of Theorem 1,

(2ρnsn2−2Mρn)+≤sup⁡PEP[Z]−EP^n[Z]≤2ρnsn2;\Big(\sqrt{\tfrac{2\rho}n s_n^2}-\tfrac{2M\rho}n\Big)_+\le\sup_{P}\mathbb E_P[Z]-\mathbb E_{\widehat P_n}[Z]\le\sqrt{\tfrac{2\rho}ns_n^2};(n2ρ​sn2​​−n2Mρ​)+​≤Psup​EP​[Z]−EPn​​[Z]≤n2ρ​sn2​​;

and the uniform bound (22): with probability at least 1−2e−t1-2e^{-t}1−2e−t, for all f∈Ff\in\mathcal Ff∈F,

E[f]≤(1+22ρn)sup⁡P: Dϕ(P∥P^n)≤ρ/nEP[f]+(13+42ρn)Mρn.\mathbb E[f]\le\Big(1+2\sqrt{\tfrac{2\rho}n}\Big)\sup_{P:\,D_\phi(P\|\widehat P_n)\le\rho/n}\mathbb E_P[f]+\Big(13+4\sqrt{\tfrac{2\rho}n}\Big)\frac{M\rho}n .E[f]≤(1+2n2ρ​​)P:Dϕ​(P∥Pn​)≤ρ/nsup​EP​[f]+(13+4n2ρ​​)nMρ​.

Significance

The bound (23) says that the robust minimizer competes with the best trade-off between risk and standard deviation in the class, and that the complexity of the class enters only through the fixed point rn⋆r_n^\starrn⋆​ of a localized complexity bound. For bounded VC classes rn⋆r_n^\starrn⋆​ is of order dlog⁡(n/d)n\frac{d\log(n/d)}nndlog(n/d)​ (Bartlett, Bousquet and Mendelson, 2005, Corollary 3.7), so when the optimal function has small variance the excess risk is of order ρ/n\rho/nρ/n, faster than the 1/n1/\sqrt n1/n​ of uniform covering arguments; and localized complexities apply to classes, such as balls of reproducing kernel Hilbert spaces, whose covering numbers are too large for the covering-number analysis of the paper's Theorem 3 (mission II of this series).

The paper's result is proved, not open. No part of it, and none of the localized-complexity machinery of Bartlett, Bousquet and Mendelson, is formalized in Lean or Mathlib to our knowledge. The mission produces a checked version of the theorem with every constant explicit and, along the way, the localization lemmas D.1–D.3, which are reusable for any localized-complexity analysis. Reading the proof also exposed three arithmetic slips in the printed statements; the mission states what the proof establishes (see Formalization scope).

Difficulty

The obvious route applies a uniform concentration inequality to F\mathcal FF and then a Bernstein bound to each fff. Talagrand's inequality applied to the whole class gives a deviation governed by the largest variance in the class and by the global complexity E[Rn(F)]\mathbb E[\mathfrak R_n(\mathcal F)]E[Rn​(F)], which yields only 1/n1/\sqrt n1/n​ rates. Obtaining a deviation that scales with each function's own second moment requires peeling the class into shells of comparable second moment and a fixed-point argument on the sub-root bound, with a union bound whose cost appears as log⁡⌈log⁡nt⌉\log\lceil\log\frac nt\rceillog⌈logtn​⌉. The two directions of the localized inequalities (population to sample, and sample to population for second moments) must then be combined with the deterministic expansion (10) while keeping the constants explicit. A further subtlety is the self-normalized rescaling f↦r/(E[f2]∨r) ff\mapsto\sqrt{r/(\mathbb E[f^2]\vee r)}\,ff↦r/(E[f2]∨r)​f, which differs from the variance normalization of Bartlett et al. and is what makes the bound compatible with the robust objective.

Formalization scope

Lean conventions. The sample is the coordinate map of the product measure PnP^nPn on Fin n → X. Distributions on the sample are weight vectors in the χ2\chi^2χ2 ball; the robust risk is the real supremum over that ball (attained, since the ball is nonempty and compact for n≥1n\ge1n≥1, ρ≥0\rho\ge0ρ≥0). Population means and variances are ∫ x, f x ∂P and ProbabilityTheory.variance f P for measurable bounded fff; empirical means and variances are normalized by 1/n1/n1/n. The empirical Rademacher complexity is the published UnderstandingML_Rademacher definition evaluated on {(f(x1),…,f(xn))}\{(f(x_1),\dots,f(x_n))\}{(f(x1​),…,f(xn​))}. Its expectation is a Bochner integral, and every hypothesis that bounds it also asserts that the integrand is integrable: otherwise the integral is 000, (20) would hold for free, and the theorem would be false. Probability bounds are stated for the failure event under PnP^nPn (an outer measure when the event is not measurable). The goal speaks about every minimizer of the robust risk, so it is not vacuous when the set of minimizers is empty. The condition rn⋆>0r_n^\star>0rn⋆​>0 is part of the page's "root" (and the proof divides by rn⋆\sqrt{r_n^\star}rn⋆​​); with rn⋆=0r_n^\star=0rn⋆​=0 allowed, ψ(r)=r\psi(r)=\sqrt rψ(r)=r​ would remove the complexity term from (21). The condition t<nt<nt<n makes log⁡⌈log⁡nt⌉\log\lceil\log\frac nt\rceillog⌈logtn​⌉ defined.

Corrections of printed statements, each recorded in the item's docstring and Formalization Note (the milestone texts stay verbatim):

  • (22) is stated with probability 1−2e−t1-2e^{-t}1−2e−t; the paper prints 1−e−t1-e^{-t}1−e−t, and its proof (p. 41) concludes 1−2e−t1-2e^{-t}1−2e−t.
  • (23) is stated with probability 1−4e−t1-4e^{-t}1−4e−t (printed 1−3e−t1-3e^{-t}1−3e−t; the proof adds two fixed-fff events to the two of (22)) and with 182ρ45n\frac{182\rho}{45n}45n182ρ​ (printed 91ρ45n\frac{91\rho}{45n}45n91ρ​; the proof's step ρ+t≤91ρ/45\sqrt\rho+\sqrt t\le\sqrt{91\rho/45}ρ​+t​≤91ρ/45​ multiplies 2Var(f)/n\sqrt{2\mathrm{Var}(f)/n}2Var(f)/n​).
  • Lemma D.3 is stated with the additive term 72M2(1+η)rn⋆+(4(1+η)+143)M2tn72M^2(1+\eta)r_n^\star+(4(1+\eta)+\frac{14}3)\frac{M^2t}n72M2(1+η)rn⋆​+(4(1+η)+314​)nM2t​ and, in the reversed direction, the coefficient 1+11+η1+\frac1{1+\eta}1+1+η1​, as its proof yields (printed: Mtn(4+73M)\frac{Mt}n(4+\frac73M)nMt​(4+37​M) and 1+η1+η1+\frac\eta{1+\eta}1+1+ηη​), under Theorem 4's standing hypothesis M≥1M\ge1M≥1.
  • Lemma D.5 is linked to the published contraction lemma UnderstandingML.contraction_lemma, which states it at a fixed sample for nonempty bounded classes and allows a different Lipschitz map per coordinate.

Contributions welcome: proofs of the milestones in any order; Lemma B.2 (Bousquet's inequality) is the deepest single ingredient and is reusable well beyond this mission, as are the peeling Lemma D.1 and the sub-root fixed-point Lemma D.2.

Selected references

  • J. C. Duchi and H. Namkoong, Variance-based regularization with convex objectives, arXiv:1610.02581v3, 2017. https://arxiv.org/abs/1610.02581
  • P. L. Bartlett, O. Bousquet and S. Mendelson, Local Rademacher complexities, Annals of Statistics 33(4), 2005. https://doi.org/10.1214/009053605000000282
  • O. Bousquet, A Bennett concentration inequality and its application to suprema of empirical processes, Comptes Rendus Mathématique 334(6), 2002. https://doi.org/10.1016/S1631-073X(02)02292-6
  • A. Maurer and M. Pontil, Empirical Bernstein bounds and sample variance penalization, COLT 2009. https://arxiv.org/abs/0907.3740
  • M. Ledoux and M. Talagrand, Probability in Banach Spaces, Springer, 1991. https://doi.org/10.1007/978-3-642-20212-4
14 thms4 active usersReviewed
Convex OptimizationMachine LearningOptimization+2·Captain: mikedeng1

Variance-based Regularization with Convex Objectives IV: Fast Rates for Approximate Robust Minimizers under a Growth ConditionResearch Paper

Motivation

In stochastic optimization and statistical learning one chooses a parameter θ\thetaθ from a set Θ⊆Rd\Theta\subseteq\mathbb R^dΘ⊆Rd to make the risk R(θ)=EP[ℓ(θ;X)]R(\theta)=\mathbb E_P[\ell(\theta;X)]R(θ)=EP​[ℓ(θ;X)] small, having seen only a sample X1,…,XnX_1,\dots,X_nX1​,…,Xn​ from PPP. Generalization bounds suggest trading empirical risk against its standard deviation, but the variance-penalized objective is non-convex even for convex losses. Duchi and Namkoong (arXiv:1610.02581v3) replace it by the robustly regularized risk, the worst-case expected loss over a χ2\chi^2χ2-divergence ball around the empirical distribution. This objective is convex whenever ℓ\ellℓ is, and it agrees with the variance-penalized objective up to a small error.

When the risk has curvature near its minimizers, empirical risk minimization attains rates faster than 1/n1/\sqrt n1/n​ (Bartlett, Bousquet and Mendelson 2005; Shapiro, Dentcheva and Ruszczyński 2009). Section 4.1 of the paper asks whether minimizers of the robust risk, which carry an extra variance-dependent penalty of order ρ/n\sqrt{\rho/n}ρ/n​, keep these fast rates. Its Theorem 5 answers yes, and does so for approximate minimizers, which is what iterative solvers return.

Setting

A loss ℓ:Rd×X→R\ell:\mathbb R^d\times\mathcal X\to\mathbb Rℓ:Rd×X→R is fixed, with ℓ(⋅;x)\ell(\cdot;x)ℓ(⋅;x) convex and LLL-Lipschitz on a convex set Θ\ThetaΘ for every xxx, and ℓ(θ;⋅)\ell(\theta;\cdot)ℓ(θ;⋅) integrable. The risk is R(θ)=EP[ℓ(θ;X)]R(\theta)=\mathbb E_P[\ell(\theta;X)]R(θ)=EP​[ℓ(θ;X)].

For a radius ρ≥0\rho\ge0ρ≥0, the χ2\chi^2χ2 ball around the empirical distribution P^n\widehat P_nPn​ is the set of weight vectors

Pn={p∈R+n:12∥np−1∥22≤ρ, ⟨1,p⟩=1},\mathcal P_n=\Big\{p\in\mathbb R^n_+:\tfrac12\|np-\mathbf 1\|_2^2\le\rho,\ \langle\mathbf 1,p\rangle=1\Big\},Pn​={p∈R+n​:21​∥np−1∥22​≤ρ, ⟨1,p⟩=1},

and the robust risk is Rn(θ,Pn)=sup⁡p∈Pn∑ipi ℓ(θ;Xi)R_n(\theta,\mathcal P_n)=\sup_{p\in\mathcal P_n}\sum_i p_i\,\ell(\theta;X_i)Rn​(θ,Pn​)=supp∈Pn​​∑i​pi​ℓ(θ;Xi​).

For ϵ≥0\epsilon\ge0ϵ≥0 the ϵ\epsilonϵ-suboptimal sets of the risk and of the robust risk are

S⋆ϵ={θ∈Θ:R(θ)≤inf⁡ΘR+ϵ},S^⋆ϵ={θ∈Θ:Rn(θ,Pn)≤inf⁡ΘRn(⋅,Pn)+ϵ},S_\star^\epsilon=\{\theta\in\Theta:R(\theta)\le\inf_\Theta R+\epsilon\},\qquad\widehat S_\star^\epsilon=\{\theta\in\Theta:R_n(\theta,\mathcal P_n)\le\inf_\Theta R_n(\cdot,\mathcal P_n)+\epsilon\},S⋆ϵ​={θ∈Θ:R(θ)≤Θinf​R+ϵ},S⋆ϵ​={θ∈Θ:Rn​(θ,Pn​)≤Θinf​Rn​(⋅,Pn​)+ϵ},

with S⋆=S⋆0S_\star=S_\star^0S⋆​=S⋆0​ the solution set and πS⋆\pi_{S_\star}πS⋆​​ the Euclidean projection onto it. The risk satisfies a growth condition of order γ>1\gamma>1γ>1 if, for some λ>0\lambda>0λ>0 and r>0r>0r>0,

R(θ)−inf⁡ΘR ≥ λ dist(θ,S⋆)γwhenever dist(θ,S⋆)≤r.(26)R(\theta)-\inf_\Theta R\ \ge\ \lambda\,\mathrm{dist}(\theta,S_\star)^\gamma\quad\text{whenever }\mathrm{dist}(\theta,S_\star)\le r.\tag{26}R(θ)−Θinf​R ≥ λdist(θ,S⋆​)γwhenever dist(θ,S⋆​)≤r.(26)

The complexity of the problem enters through the localized class {x↦ℓ(θ;x)−ℓ(πS⋆(θ);x):θ∈A}\{x\mapsto\ell(\theta;x)-\ell(\pi_{S_\star}(\theta);x):\theta\in A\}{x↦ℓ(θ;x)−ℓ(πS⋆​​(θ);x):θ∈A} and its empirical Rademacher complexity Rn(A)=Eε[sup⁡θ∈A1n∑iεi(ℓ(θ;Xi)−ℓ(πS⋆(θ);Xi))]\mathfrak R_n(A)=\mathbb E_\varepsilon\big[\sup_{\theta\in A}\frac1n\sum_i\varepsilon_i(\ell(\theta;X_i)-\ell(\pi_{S_\star}(\theta);X_i))\big]Rn​(A)=Eε​[supθ∈A​n1​∑i​εi​(ℓ(θ;Xi​)−ℓ(πS⋆​​(θ);Xi​))], with independent uniform signs εi∈{±1}\varepsilon_i\in\{\pm1\}εi​∈{±1}.

Formalization targets

Goal: Theorem 5 (p. 19)

For t>0t>0t>0, ρ≥0\rho\ge0ρ≥0, and 0<ϵ≤12λrγ0<\epsilon\le\frac12\lambda r^\gamma0<ϵ≤21​λrγ satisfying

ϵ≥(28γLγλ)1γ−1(ρn)γ2(γ−1)andϵ2≥2 E[Rn(S⋆2ϵ)]+L(2ϵλ)1γ2tn,(27)\epsilon\ge\Big(2\frac{8^\gamma L^\gamma}{\lambda}\Big)^{\frac1{\gamma-1}}\Big(\frac\rho n\Big)^{\frac\gamma{2(\gamma-1)}}\quad\text{and}\quad\frac\epsilon2\ge2\,\mathbb E[\mathfrak R_n(S_\star^{2\epsilon})]+L\Big(\frac{2\epsilon}\lambda\Big)^{\frac1\gamma}\sqrt{\frac{2t}n},\tag{27}ϵ≥(2λ8γLγ​)γ−11​(nρ​)2(γ−1)γ​and2ϵ​≥2E[Rn​(S⋆2ϵ​)]+L(λ2ϵ​)γ1​n2t​​,(27) P(S^⋆ϵ⊂S⋆2ϵ) ≥ 1−e−t.\mathbb P\big(\widehat S_\star^\epsilon\subset S_\star^{2\epsilon}\big)\ \ge\ 1-e^{-t}.P(S⋆ϵ​⊂S⋆2ϵ​) ≥ 1−e−t.

Milestones, in attack order

  1. Localization (p. 44). Under (26), S⋆2ϵS_\star^{2\epsilon}S⋆2ϵ​ lies in {θ∈Θ:dist(θ,S⋆)≤(2ϵ/λ)1/γ}\{\theta\in\Theta:\mathrm{dist}(\theta,S_\star)\le(2\epsilon/\lambda)^{1/\gamma}\}{θ∈Θ:dist(θ,S⋆​)≤(2ϵ/λ)1/γ}.
  2. Theorem 1, upper half of (10) (p. 7). sup⁡p∈Pn⟨p,z⟩−zˉ≤2ρsn2/n\sup_{p\in\mathcal P_n}\langle p,z\rangle-\bar z\le\sqrt{2\rho s_n^2/n}supp∈Pn​​⟨p,z⟩−zˉ≤2ρsn2​/n​ for every z∈Rnz\in\mathbb R^nz∈Rn.
  3. Claim E.1 (p. 44). If S^⋆ϵ⊄S⋆2ϵ\widehat S_\star^\epsilon\not\subset S_\star^{2\epsilon}S⋆ϵ​⊂S⋆2ϵ​, the localized deviation Δn\Delta_nΔn​ plus a variance term reaches ϵ\epsilonϵ somewhere on S⋆2ϵS_\star^{2\epsilon}S⋆2ϵ​.
  4. Display (43) (p. 45). P(S^⋆ϵ⊄S⋆2ϵ)≤P(sup⁡S⋆2ϵΔn≥ϵ/2)\mathbb P(\widehat S_\star^\epsilon\not\subset S_\star^{2\epsilon})\le\mathbb P(\sup_{S_\star^{2\epsilon}}\Delta_n\ge\epsilon/2)P(S⋆ϵ​⊂S⋆2ϵ​)≤P(supS⋆2ϵ​​Δn​≥ϵ/2).
  5. Concentration (p. 45). P(sup⁡S⋆2ϵΔn≥2E[Rn(S⋆2ϵ)]+u)≤exp⁡(−nu22L2(λ2ϵ)2/γ)\mathbb P(\sup_{S_\star^{2\epsilon}}\Delta_n\ge2\mathbb E[\mathfrak R_n(S_\star^{2\epsilon})]+u)\le\exp(-\frac{nu^2}{2L^2}(\frac\lambda{2\epsilon})^{2/\gamma})P(supS⋆2ϵ​​Δn​≥2E[Rn​(S⋆2ϵ​)]+u)≤exp(−2L2nu2​(2ϵλ​)2/γ).

Significance

The theorem says that the variance penalty implicit in the robust objective does not cost the fast rates available under curvature. The ρ\rhoρ-dependent condition in (27) is of order (ρ/n)γ/(2(γ−1))(\rho/n)^{\gamma/(2(\gamma-1))}(ρ/n)γ/(2(γ−1)), which for quadratic growth (γ=2\gamma=2γ=2) is ρ/n\rho/nρ/n, the same order as the localized complexity term in typical parametric problems. Corollary 4.1 of the paper derives explicit rates of order dnlog⁡nd+tn+ρn\frac dn\log\frac nd+\frac tn+\frac\rho nnd​logdn​+nt​+nρ​ from it for a unique minimizer. The result applies to ϵ\epsilonϵ-approximate minimizers, so it covers the output of the stochastic-gradient methods used to solve the robust problem.

The result is proved in the paper (Appendix E). None of it is formalized: no statement about growth conditions, localized deviations of a robust objective, or fast rates for robust minimizers is on Prove2Me. A formal proof would check the printed constants, settle the boundary case ϵ=0\epsilon=0ϵ=0 (see below), and produce a localization lemma and a reduction from approximate robust minimizers to empirical processes that apply to other estimators.

Difficulty

The obvious argument fails at two points. First, a uniform deviation bound over all of Θ\ThetaΘ gives only the 1/n1/\sqrt n1/n​ rate: the speed-up comes from localizing to S⋆2ϵS_\star^{2\epsilon}S⋆2ϵ​, which requires transferring the growth condition, assumed only within distance rrr of S⋆S_\starS⋆​, to every 2ϵ2\epsilon2ϵ-suboptimal point by convexity. Second, the robust risk is not an empirical average, so standard comparisons between empirical and population minimizers do not apply. Claim E.1 handles this by moving along the segment from a bad approximate minimizer to its projection, which needs the projection to be preserved along that segment (a normal-cone property of πS⋆\pi_{S_\star}πS⋆​​) and the risk to be continuous there. The robust–empirical gap is then controlled by the variance expansion of Theorem 1. The concentration step needs a bounded-differences inequality for a supremum over an uncountable class, together with symmetrization; neither is in Mathlib in this form.

Formalization scope

Parameters live in EuclideanSpace ℝ (Fin d), so norms, distances and projections are Euclidean. The sample is the coordinate process of the product measure P⊗nP^{\otimes n}P⊗n on Fin n → X, n≥1n\ge1n≥1, and probabilities are measures of sample sets (the outer measure for a set that is not measurable). The χ2\chi^2χ2 ball is the weight-vector form (8). The suboptimal sets are written without infima (R(θ)≤R(θ′)+ϵR(\theta)\le R(\theta')+\epsilonR(θ)≤R(θ′)+ϵ for all θ′∈Θ\theta'\in\Thetaθ′∈Θ). Each supremum "sup⁡≥c\sup\ge csup≥c" is written as "for every δ>0\delta>0δ>0 some θ\thetaθ reaches c−δc-\deltac−δ", so no statement relies on the default value of a real supremum. The Rademacher complexity is the published UnderstandingML.rademacher, and its expectation over the sample is assumed integrable, so that it is the true expectation and not the default value 000 of a Bochner integral. Lipschitz continuity is required on Θ\ThetaΘ, as printed.

Corrections and presuppositions:

  • ϵ>0\epsilon>0ϵ>0. The paper prints 0≤ϵ0\le\epsilon0≤ϵ. At ϵ=0\epsilon=0ϵ=0, ρ=0\rho=0ρ=0, both conditions of (27) hold, yet for ℓ(θ;x)=12(θ−x)2\ell(\theta;x)=\frac12(\theta-x)^2ℓ(θ;x)=21​(θ−x)2 on Θ=[−1,1]\Theta=[-1,1]Θ=[−1,1] with XXX uniform on [−12,12][-\frac12,\frac12][−21​,21​] the robust minimizer is the sample mean, which is almost surely not in S⋆={0}S_\star=\{0\}S⋆​={0}. The proof divides by ϵ\epsilonϵ (p. 45). The goal is stated for ϵ>0\epsilon>0ϵ>0.
  • S⋆S_\starS⋆​ nonempty and closed are assumed. The projection πS⋆\pi_{S_\star}πS⋆​​ presupposes them, and Appendix E calls S⋆S_\starS⋆​ closed.
  • Only the upper half of Theorem 1's (10) is stated; it needs no boundedness of the values.

The constant (2⋅8γLγ/λ)1/(γ−1)\big(2\cdot8^\gamma L^\gamma/\lambda\big)^{1/(\gamma-1)}(2⋅8γLγ/λ)1/(γ−1) is the printed one; the proof uses a smaller one, which the printed condition implies. The hypotheses ϵ>0\epsilon>0ϵ>0, γ>1\gamma>1γ>1 and λ>0\lambda>0λ>0 make every power well defined. A formalization that assumed (26) vacuously, took ϵ=0\epsilon=0ϵ=0, or let the Rademacher term be a non-integrable Bochner integral would trivialize the goal; the statements rule these out.

Infrastructure: Euclidean projection onto closed convex sets and its normal-cone characterization (partly in Mathlib), convexity of integral functionals, McDiarmid's bounded-differences inequality, and symmetrization for suprema of empirical processes. The concentration tools and the localization lemma can be reused beyond this mission. Contributions toward McDiarmid's inequality and symmetrization are especially welcome.

Selected references

  • J. C. Duchi and H. Namkoong, Variance-based regularization with convex objectives, arXiv:1610.02581v3, 2017. https://arxiv.org/abs/1610.02581
  • P. L. Bartlett, O. Bousquet and S. Mendelson, Local Rademacher complexities, Annals of Statistics 33(4), 2005. https://doi.org/10.1214/009053605000000282
  • S. Boucheron, G. Lugosi and P. Massart, Concentration Inequalities: A Nonasymptotic Theory of Independence, Oxford University Press, 2013. https://doi.org/10.1093/acprof:oso/9780199535255.001.0001
  • A. Shapiro, D. Dentcheva and A. Ruszczyński, Lectures on Stochastic Programming: Modeling and Theory, SIAM, 2009. https://doi.org/10.1137/1.9780898718751
  • A. Maurer and M. Pontil, Empirical Bernstein bounds and sample variance penalization, COLT, 2009. https://arxiv.org/abs/0907.3740
12 thms3 active usersReviewed
Machine LearningOperations ResearchOptimization+1·Captain: mikedeng1

Twice Regularized MDPs and the Equivalence Between Robustness and Regularization 2: The Greedy Policy of the R2 Optimal Value Is the Unique Optimal R2 PolicyResearch Paper

Motivation

A robust Markov decision process (robust MDP) evaluates a policy against the worst transition kernel and reward in an uncertainty set around a nominal model (P0,r0)(P_0, r_0)(P0​,r0​). It is the standard model for planning when the dynamics are estimated from data (Iyengar 2005; Nilim and El Ghaoui 2005; Wiesemann, Kuhn and Rustem 2013). Its Bellman update contains an inner optimization over the uncertainty set at every state, which makes robust planning costly when the sets are not (s,a)(s,a)(s,a)-rectangular.

Derman, Geist and Mannor (arXiv:2110.06267, NeurIPS 2021) show that, for sss-rectangular ball uncertainty sets, this inner optimization can be replaced by an explicit penalty that depends both on the policy and on the value function. The resulting twice regularized (R²) MDPs have Bellman operators with no inner optimization over models. The first mission of this series formalizes the robust–regularized equivalence (Theorem 4.1 of the paper). This mission formalizes Section 5: the R² Bellman operators are monotone and contracting under a bound on the transition radius, and the greedy policy of the R² optimal value is optimal.

Setting

Let S\mathcal SS and A\mathcal AA be finite nonempty sets of states and actions, γ∈(0,1)\gamma\in(0,1)γ∈(0,1) a discount factor, P0(s′∣s,a)P_0(s'\mid s,a)P0​(s′∣s,a) a transition kernel and r0(s,a)r_0(s,a)r0​(s,a) a reward. A policy π∈ΔAS\pi\in\Delta_{\mathcal A}^{\mathcal S}π∈ΔAS​ assigns to each state a probability distribution πs\pi_sπs​ on A\mathcal AA. For v∈RSv\in\mathbb R^{\mathcal S}v∈RS write qs(a)=r0(s,a)+γ∑s′P0(s′∣s,a)v(s′)q_s(a)=r_0(s,a)+\gamma\sum_{s'}P_0(s'\mid s,a)v(s')qs​(a)=r0​(s,a)+γ∑s′​P0​(s′∣s,a)v(s′) and

[T(P0,r0)πv](s)=∑aπs(a) qs(a).[T^\pi_{(P_0,r_0)}v](s)=\sum_a\pi_s(a)\,q_s(a).[T(P0​,r0​)π​v](s)=a∑​πs​(a)qs​(a).

All norms ∥⋅∥\|\cdot\|∥⋅∥ below are ℓ2\ell_2ℓ2​-norms, ∥a∥=(∑za(z)2)1/2\|a\|=\big(\sum_z a(z)^2\big)^{1/2}∥a∥=(∑z​a(z)2)1/2; ∥⋅∥∞\|\cdot\|_\infty∥⋅∥∞​ is the sup norm.

Fix nonnegative radii αsr,αsP\alpha^r_s,\alpha^P_sαsr​,αsP​ for each state. The R² regularizer is Ωv,R2(πs)=∥πs∥ (αsr+αsPγ∥v∥)\Omega_{v,\mathrm R^2}(\pi_s)=\|\pi_s\|\,(\alpha^r_s+\alpha^P_s\gamma\|v\|)Ωv,R2​(πs​)=∥πs​∥(αsr​+αsP​γ∥v∥), and the R² Bellman operators are

[Tπ,R2v](s)=[T(P0,r0)πv](s)−Ωv,R2(πs),[T∗,R2v](s)=max⁡π∈ΔAS[Tπ,R2v](s).[T^{\pi,\mathrm R^2}v](s)=[T^\pi_{(P_0,r_0)}v](s)-\Omega_{v,\mathrm R^2}(\pi_s),\qquad [T^{*,\mathrm R^2}v](s)=\max_{\pi\in\Delta^{\mathcal S}_{\mathcal A}}[T^{\pi,\mathrm R^2}v](s).[Tπ,R2v](s)=[T(P0​,r0​)π​v](s)−Ωv,R2​(πs​),[T∗,R2v](s)=π∈ΔAS​max​[Tπ,R2v](s).

A policy π\piπ is greedy for vvv when Tπ,R2v=T∗,R2vT^{\pi,\mathrm R^2}v=T^{*,\mathrm R^2}vTπ,R2v=T∗,R2v.

Assumption 5.1 (bounded radius). For each sss there is ϵs>0\epsilon_s>0ϵs​>0 with

αsP≤min⁡(1−γ−ϵsγ∣S∣ ; min⁡u∈R+A,∥u∥=1, w∈R+S,∥w∥=1 ∑a,s′u(a)P0(s′∣s,a)w(s′)),\alpha^P_s\le\min\Big(\frac{1-\gamma-\epsilon_s}{\gamma\sqrt{|\mathcal S|}}\ ;\ \min_{u\in\mathbb R^{\mathcal A}_+,\|u\|=1,\ w\in\mathbb R^{\mathcal S}_+,\|w\|=1}\ \sum_{a,s'}u(a)P_0(s'\mid s,a)w(s')\Big),αsP​≤min(γ∣S∣​1−γ−ϵs​​ ; u∈R+A​,∥u∥=1, w∈R+S​,∥w∥=1min​ a,s′∑​u(a)P0​(s′∣s,a)w(s′)),

and ϵ∗=min⁡sϵs\epsilon_*=\min_s\epsilon_sϵ∗​=mins​ϵs​. The R² value function vπ,R2v^{\pi,\mathrm R^2}vπ,R2 of a policy and the R² optimal value v∗,R2v^{*,\mathrm R^2}v∗,R2 are the fixed points of Tπ,R2T^{\pi,\mathrm R^2}Tπ,R2 and T∗,R2T^{*,\mathrm R^2}T∗,R2.

Formalization targets

Goal: Theorem 5.1 (p. 8)

Under Assumption 5.1, T∗,R2T^{*,\mathrm R^2}T∗,R2 and every Tπ,R2T^{\pi,\mathrm R^2}Tπ,R2 have unique fixed points; a greedy policy π∗,R2\pi^{*,\mathrm R^2}π∗,R2 for v∗,R2v^{*,\mathrm R^2}v∗,R2 exists, and every such policy satisfies

vπ∗,R2,R2=v∗,R2 ≥ vπ,R2for all π∈ΔAS;v^{\pi^{*,\mathrm R^2},\mathrm R^2}=v^{*,\mathrm R^2}\ \ge\ v^{\pi,\mathrm R^2}\qquad\text{for all }\pi\in\Delta^{\mathcal S}_{\mathcal A};vπ∗,R2,R2=v∗,R2 ≥ vπ,R2for all π∈ΔAS​;

every optimal policy is greedy; and when αsr>0\alpha^r_s>0αsr​>0 for all sss the greedy policy is unique, hence the unique optimal R² policy.

Milestones

  1. Proposition 2.1 (p. 3): for Ω\OmegaΩ strongly convex on the simplex, Ω∗(y)=max⁡a∈Δ⟨a,y⟩−Ω(a)\Omega^*(y)=\max_{a\in\Delta}\langle a,y\rangle-\Omega(a)Ω∗(y)=maxa∈Δ​⟨a,y⟩−Ω(a) is differentiable with Lipschitz gradient equal to the unique maximizer, satisfies Ω∗(y+c1)=Ω∗(y)+c\Omega^*(y+c\mathbb 1)=\Omega^*(y)+cΩ∗(y+c1)=Ω∗(y)+c, and is non-decreasing.
  2. Proposition 5.1 (i) (p. 8): v1≤v2v_1\le v_2v1​≤v2​ implies Tπ,R2v1≤Tπ,R2v2T^{\pi,\mathrm R^2}v_1\le T^{\pi,\mathrm R^2}v_2Tπ,R2v1​≤Tπ,R2v2​ and T∗,R2v1≤T∗,R2v2T^{*,\mathrm R^2}v_1\le T^{*,\mathrm R^2}v_2T∗,R2v1​≤T∗,R2v2​.
  3. Proposition 5.1 (iii) (p. 8):
∥Tπ,R2v1−Tπ,R2v2∥∞≤(1−ϵ∗)∥v1−v2∥∞,∥T∗,R2v1−T∗,R2v2∥∞≤(1−ϵ∗)∥v1−v2∥∞.\|T^{\pi,\mathrm R^2}v_1-T^{\pi,\mathrm R^2}v_2\|_\infty\le(1-\epsilon_*)\|v_1-v_2\|_\infty,\qquad \|T^{*,\mathrm R^2}v_1-T^{*,\mathrm R^2}v_2\|_\infty\le(1-\epsilon_*)\|v_1-v_2\|_\infty.∥Tπ,R2v1​−Tπ,R2v2​∥∞​≤(1−ϵ∗​)∥v1​−v2​∥∞​,∥T∗,R2v1​−T∗,R2v2​∥∞​≤(1−ϵ∗​)∥v1​−v2​∥∞​.

Significance

Theorem 5.1 is the R² counterpart of the fundamental theorem of discounted dynamic programming: optimal R² values are achieved by stationary policies obtained by a single greedy step. Together with the contraction of Proposition 5.1 (iii) it justifies the R² modified policy iteration algorithm of the paper, whose greedy step is a projection onto the simplex rather than a robust max–min problem. Combined with the first mission of the series, which identifies the robust value of an sss-rectangular ball-constrained MDP with the optimum of an R²-regularized program, it gives a route to robust planning at the cost of regularized planning.

The results are proved in the paper (App. C), partly by reference to Geist, Scherrer and Pietquin (2019) for the optimality operator. No machine-checked proof of any of them exists; this mission produces the first. Prop. 2.1 is a general fact of convex analysis (Danskin-type smoothness of a conjugate on the simplex) that is reusable for any regularized MDP or entropy-regularized game.

Difficulty

The R² evaluation operator is not affine: the value regularizer −αsPγ∥πs∥ ∥v∥-\alpha^P_s\gamma\|\pi_s\|\,\|v\|−αsP​γ∥πs​∥∥v∥ is concave in vvv and decreases as ∥v∥\|v\|∥v∥ grows. Monotonicity therefore does not follow from the positivity of P0P_0P0​ as in the standard case; it requires the second bound of Assumption 5.1, which compares the ℓ2\ell_2ℓ2​ variation of ∥v∥\|v\|∥v∥ with the minimal nonnegative bilinear form of P0(⋅∣s,⋅)P_0(\cdot\mid s,\cdot)P0​(⋅∣s,⋅). Likewise the contraction modulus is not γ\gammaγ but 1−ϵ∗1-\epsilon_*1−ϵ∗​, because the regularizer is ∣S∣\sqrt{|\mathcal S|}∣S∣​-Lipschitz between the ℓ2\ell_2ℓ2​ and sup norms. The optimality step of the classical proof uses linearity of TπT^\piTπ when comparing values of policies; here only monotonicity and contraction are available. Uniqueness of the greedy policy rests on strict concavity on the simplex, which holds only when the regularization weight is positive.

Formalization scope

States and actions are finite nonempty types; transitions are arrays P₀ : S → A → S → ℝ with the published predicate IsTransitionKernel; value functions are S → ℝ with the pointwise order. The ℓ2\ell_2ℓ2​-norm is an explicit l2norm (Mathlib's norm on S → ℝ is the sup norm, used only for ∥⋅∥∞\|\cdot\|_\infty∥⋅∥∞​). T∗,R2v(s)T^{*,\mathrm R^2}v(s)T∗,R2v(s) is the real supremum over the simplex ΔA\Delta_{\mathcal A}ΔA​ (attained), and the inner minimum of Assumption 5.1 is the real infimum over nonnegative ℓ2\ell_2ℓ2​-unit vectors; the witnesses ϵs\epsilon_sϵs​ are explicit. Greedy policies are a predicate, never a function, and the R² value functions are not defined by choice: the goal asserts their existence and uniqueness and speaks about the fixed points.

Disclosed deviations from the page. Assumption 5.1 is a hypothesis of Theorem 5.1 (its proof assumes it). The uniqueness clause of Theorem 5.1 additionally assumes αsr>0\alpha^r_s>0αsr​>0 for all sss: with one state, two actions, zero reward and zero radii every policy is greedy and optimal. Proposition 2.1 assumes Ω\OmegaΩ continuous on the simplex, without which the maximum need not be attained, and strong convexity is Mathlib's StrongConvexOn for some modulus (norm-independent in finite dimension). Proposition 5.1 (ii) is false as printed and is not drafted: with one state, one action, P0=1P_0=1P0​=1, r0=0r_0=0r0​=0, γ=1/2\gamma=1/2γ=1/2, αr=0\alpha^r=0αr=0, αP=1/2\alpha^P=1/2αP=1/2, ϵ=1/4\epsilon=1/4ϵ=1/4, one has Tv=v/2−∣v∣/4Tv=v/2-|v|/4Tv=v/2−∣v∣/4, and v1=−1v_1=-1v1​=−1, c=1c=1c=1 give T(v1+c)=0>−1/4=Tv1+γcT(v_1+c)=0>-1/4=Tv_1+\gamma cT(v1​+c)=0>−1/4=Tv1​+γc. Remark 5.1, Algorithm 1 and the ℓp\ell_pℓp​ variant of App. C.1 are out of scope. The inner minimum of Assumption 5.1 is 000 whenever some P0(s′∣s,a)=0P_0(s'\mid s,a)=0P0​(s′∣s,a)=0, forcing αsP=0\alpha^P_s=0αsP​=0; this is the assumption as printed.

A formalization in which ∥⋅∥\|\cdot\|∥⋅∥ is the sup norm, the inner minimum ranges over all unit vectors (making the assumption unsatisfiable), or the value functions are postulated rather than shown to exist would be trivial or wrong; the drafted statements avoid all three. Contributions welcome: Prop. 2.1 as a general convex-analysis lemma, Banach fixed-point plumbing for S → ℝ with the sup norm, and the strict concavity of p↦⟨p,q⟩−c∥p∥p\mapsto\langle p,q\rangle-c\|p\|p↦⟨p,q⟩−c∥p∥ on the simplex.

Selected references

  • E. Derman, M. Geist, S. Mannor, Twice regularized MDPs and the equivalence between robustness and regularization, NeurIPS 2021. arXiv:2110.06267v1
  • M. Geist, B. Scherrer, O. Pietquin, A theory of regularized Markov decision processes, ICML 2019. arXiv:1901.11275
  • A. Nilim, L. El Ghaoui, Robust control of Markov decision processes with uncertain transition matrices, Operations Research 53(5), 2005. doi:10.1287/opre.1050.0216
  • G. N. Iyengar, Robust dynamic programming, Mathematics of Operations Research 30(2), 2005. doi:10.1287/moor.1040.0129
  • W. Wiesemann, D. Kuhn, B. Rustem, Robust Markov decision processes, Mathematics of Operations Research 38(1), 2013. doi:10.1287/moor.1120.0566
  • A. Mensch, M. Blondel, Differentiable dynamic programming for structured prediction and attention, ICML 2018. arXiv:1802.03676
9 thms1 active userReviewed
Convex OptimizationLinear OptimizationOperations Research·Captain: mikedeng1

Robust Solutions of Uncertain Linear Programs I: Under Constraint-wise Uncertainty and the Boundedness Assumption the Robust Counterpart Is No Worse Than the Worst InstanceResearch Paper

Motivation

A linear program is solved with data that, in practice, is rarely known exactly: coefficients come from measurements, estimates or forecasts. Robust optimization asks for a solution that remains feasible for every realization of the data in a prescribed uncertainty set, and among those the one with the best guaranteed objective value. Ben-Tal and Nemirovski introduced this framework for linear programming in Robust solutions of uncertain linear programs (Oper. Res. Lett. 25, 1999), following their treatment of robust convex optimization (Math. Oper. Res. 23, 1998) and Soyster's earlier work on inexact linear programming (Oper. Res. 21, 1973). The robust counterpart has since become the starting point of a large literature on uncertainty sets, budgets of uncertainty and adjustable policies.

A natural first objection is that the robust counterpart might be needlessly conservative: by demanding feasibility for all realizations simultaneously, it could be infeasible, or have a worse value, even when every individual realization is perfectly well behaved. This mission formalizes the paper's answer (§2.2): under two structural hypotheses, the robust counterpart is no worse than the worst realization.

Setting

Fix c,f∈Rnc, f \in \mathbb R^nc,f∈Rn and write a linear program in the homogeneous form (6)

(P)min⁡{cTx∣Ax≥0, fTx=1},(P)\qquad \min\{c^{T}x \mid Ax \ge 0,\ f^{T}x = 1\},(P)min{cTx∣Ax≥0, fTx=1},

where AAA is a real m×nm\times nm×n matrix and Ax≥0Ax\ge0Ax≥0 is componentwise. Every linear program can be put in this form. The matrix AAA is uncertain: it is only known to lie in an uncertainty set U\mathcal UU of m×nm\times nm×n matrices. Each A∈UA\in\mathcal UA∈U gives an instance (P)(P)(P) with feasible set {x∣Ax≥0, fTx=1}\{x\mid Ax\ge0,\ f^{T}x = 1\}{x∣Ax≥0, fTx=1} and optimal value c∗(P)c^*(P)c∗(P); the family of instances is P\mathcal PP. The robust counterpart (7) is

(PU)min⁡{cTx∣x∈GU},GU={x∣Ax≥0  ∀A∈U; fTx=1},(P_{\mathcal U})\qquad \min\{c^{T}x \mid x \in G_{\mathcal U}\},\qquad G_{\mathcal U} = \{x\mid Ax\ge0\ \ \forall A\in\mathcal U;\ f^{T}x = 1\},(PU​)min{cTx∣x∈GU​},GU​={x∣Ax≥0  ∀A∈U; fTx=1},

and its optimal value is c∗c^*c∗. Since GUG_{\mathcal U}GU​ does not change when U\mathcal UU is replaced by its closed convex hull, the paper assumes throughout that U\mathcal UU is convex and closed.

Let Ui⊆Rn\mathcal U_i\subseteq\mathbb R^nUi​⊆Rn be the set of all realizations of the iii-th row, the projection of U\mathcal UU onto the data of the iii-th constraint. The uncertainty is constraint-wise if U=U1×⋯×Um\mathcal U = \mathcal U_1\times\dots\times\mathcal U_mU=U1​×⋯×Um​: the rows vary independently. The Boundedness Assumption asks for a convex compact set Q⊆RnQ\subseteq\mathbb R^nQ⊆Rn that contains the feasible set of every instance.

Formalization targets

Goal: Proposition 2.1 (p. 5)

If the uncertainty is constraint-wise and the Boundedness Assumption holds, then

  1. (PU)(P_{\mathcal U})(PU​) is infeasible if and only if some instance is infeasible:
GU=∅  ⟺  ∃A∈U: {x∣Ax≥0, fTx=1}=∅;G_{\mathcal U} = \emptyset \iff \exists A\in\mathcal U:\ \{x\mid Ax\ge0,\ f^{T}x=1\}=\emptyset;GU​=∅⟺∃A∈U: {x∣Ax≥0, fTx=1}=∅;
  1. if (PU)(P_{\mathcal U})(PU​) is feasible with optimal value c∗c^*c∗, then
c∗=sup⁡{c∗(P)∣(P)∈P}.(9)c^* = \sup\{c^*(P)\mid (P)\in\mathcal P\}. \tag{9}c∗=sup{c∗(P)∣(P)∈P}.(9)

Milestones

The milestones follow the paper's proof: the row-wise description (8) of robust feasibility; the inclusion of GUG_{\mathcal U}GU​ in every instance's feasible set; the reduction of the semi-infinite system (8) on QQQ to a finite subsystem; the statement that the finite system (10) A1x≥0,…,ANx≥0, fTx=1A_1x\ge0,\dots,A_Nx\ge0,\ f^{T}x=1A1​x≥0,…,AN​x≥0, fTx=1 then has no solution at all; the Farkas certificate (11); the construction of one infeasible instance from it; and part (i) alone, which part (ii) uses for an augmented program.

Companions

The §2.2 example (every instance has optimal value 1, the robust counterpart is infeasible), and the two invariance remarks: GUG_{\mathcal U}GU​ is unchanged under passing to the closed convex hull of U\mathcal UU (§2.1) or to the product U1×⋯×Um\mathcal U_1\times\dots\times\mathcal U_mU1​×⋯×Um​ of its projections (§2.2).

Significance

Proposition 2.1 says that, for constraint-wise uncertainty, robustness costs nothing beyond what the worst realization already costs: the robust counterpart is feasible exactly when every instance is, and its optimal value equals the worst instance value. The §2.2 example shows the hypothesis cannot be dropped: there, correlated uncertainty in two rows makes every instance solvable with value 1 while the robust counterpart is infeasible. Together with the invariance of GUG_{\mathcal U}GU​ under passing to the product of projections, this explains why row-wise (constraint-wise) uncertainty sets are the standard modelling choice in robust linear optimization.

The result is proved in the paper; no machine-checked version is known to exist. Formalizing it produces a reusable development of semi-infinite linear systems: the compactness reduction to finite subsystems, a homogeneous Farkas alternative, and the row-averaging argument that uses convexity and the product structure of U\mathcal UU.

Difficulty

The robust counterpart has a continuum of constraints, one for each A∈UA\in\mathcal UA∈U, so Farkas' Lemma cannot be applied to it directly. The step that requires care is passing from infeasibility of this semi-infinite system to infeasibility of a single instance. Compactness yields only finitely many instances whose joint system has no solution in QQQ; those instances are in general all feasible individually, and the infeasible instance has to be manufactured from their rows. Without constraint-wise uncertainty the manufactured matrix need not lie in U\mathcal UU, which is exactly what the §2.2 example exploits. Part (ii) needs the optimal values of the instances to be attained on compact feasible sets, which is where the Boundedness Assumption enters again.

Formalization scope

Vectors are Fin n → ℝ, matrices Matrix (Fin m) (Fin n) ℝ, and Ax≥0Ax\ge0Ax≥0 is 0 ≤ A *ᵥ x in the componentwise order. The iii-th row of AAA is A i and aTxa^{T}xaTx is a ⬝ᵥ x. The projections Ui\mathcal U_iUi​ are the images of U\mathcal UU under A↦AiA\mapsto A_iA↦Ai​, not free sets, and constraint-wise uncertainty is the inclusion U1×⋯×Um⊆U\mathcal U_1\times\dots\times\mathcal U_m\subseteq\mathcal UU1​×⋯×Um​⊆U (the reverse inclusion always holds). The Boundedness Assumption keeps both convexity and compactness of QQQ, as on the page.

Optimal values are infima: c∗c^*c∗ is the greatest lower bound (IsGLB) of cTxc^{T}xcTx over GUG_{\mathcal U}GU​, and (9) states that c∗c^*c∗ is the least upper bound (IsLUB) of the set of real optimal values of the instances. No real sInf/sSup is used, so no junk value can make the statement true.

The goal carries the paper's standing assumption that U\mathcal UU is convex and closed, and one disclosed addition: U\mathcal UU is nonempty. The paper takes this for granted; without it part (i) fails for f=0f = 0f=0 and the supremum in (9) ranges over the empty set. The goal does not assume that the robust counterpart or any instance attains its optimum, and it does not mention finite subsystems, multipliers or the averaged matrix; those appear only in the milestones. A formalization in which the uncertainty sets Ui\mathcal U_iUi​ are arbitrary sets with U=∏iUi\mathcal U = \prod_i\mathcal U_iU=∏i​Ui​, or in which optimal values are taken as sInf without boundedness, would not be faithful and is ruled out.

A complete development needs: compactness arguments for families of closed half-spaces, a Farkas alternative for homogeneous systems with one normalizing equation, and elementary convexity of linear images. These pieces are general and reusable beyond robust optimization. Proofs of the milestones, alternative arguments (for instance via LP duality for part (ii)) and proofs of the companion statements are welcome.

Selected references

  • A. Ben-Tal, A. Nemirovski, Robust solutions of uncertain linear programs, Operations Research Letters 25(1):1–13, 1999. https://doi.org/10.1016/s0167-6377(99)00016-4 (cited here by the pages of the authors' manuscript).
  • A. Ben-Tal, A. Nemirovski, Robust convex optimization, Mathematics of Operations Research 23(4):769–805, 1998. https://doi.org/10.1287/moor.23.4.769
  • A. L. Soyster, Convex programming with set-inclusive constraints and applications to inexact linear programming, Operations Research 21(5):1154–1157, 1973. https://doi.org/10.1287/opre.21.5.1154
9 thms2 active usersReviewed
OptimizationProbabilityStatistics·Captain: mikedeng1

Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems 1: Finite-Sample Confidence Region for the Mean and CovarianceResearch Paper

Motivation

An optimization model often needs a probability distribution for an uncertain cost or demand, while a practitioner has only a finite sample from that distribution. Replacing the distribution by the empirical one can hide uncertainty in its estimated mean and covariance. Delage and Ye use a finite-sample confidence region for these two moments to justify a distributional ambiguity set in data-driven stochastic programming Delage and Ye, 2010. The present mission concerns the confidence region itself: it asks how far the population moments can be from the sample estimates when the normalized random vector has bounded support.

The source for every theorem index and page number here is the authors' draft dated 20 February 2008, not an independently checked pagination of the published article. Its §4 starts from independent observations and Assumption 4, then obtains a sample-mean bound, a covariance bound around the known mean, and finally the joint bound for estimates computed entirely from the sample.

Setting

Let ξ∈Rm\xi\in\mathbb R^mξ∈Rm have distribution PPP, mean μ=EP[ξ]\mu=\mathbb E_P[\xi]μ=EP​[ξ], and covariance Σ=EP[(ξ−μ)(ξ−μ)T]\Sigma=\mathbb E_P[(\xi-\mu)(\xi-\mu)^\mathsf T]Σ=EP​[(ξ−μ)(ξ−μ)T]. Assume Σ\SigmaΣ is positive definite. For M≥1M\ge1M≥1 independent observations ξ1,…,ξM\xi_1,\ldots,\xi_Mξ1​,…,ξM​, the empirical mean and empirical covariance in this section are

μ^=1M∑i=1Mξi,Σ^=1M∑i=1M(ξi−μ^)(ξi−μ^)T.\widehat\mu=\frac1M\sum_{i=1}^M\xi_i,\qquad \widehat\Sigma=\frac1M\sum_{i=1}^M(\xi_i-\widehat\mu)(\xi_i-\widehat\mu)^\mathsf T.μ​=M1​i=1∑M​ξi​,Σ=M1​i=1∑M​(ξi​−μ​)(ξi​−μ​)T.

The divisor is MMM, including for the covariance; the paper's earlier discussion of an unbiased estimator with divisor M−1M-1M−1 does not govern §4. When the true mean is known, write Σ^(μ)=M−1∑i(ξi−μ)(ξi−μ)T\widehat\Sigma(\mu)=M^{-1}\sum_i(\xi_i-\mu)(\xi_i-\mu)^\mathsf TΣ(μ)=M−1∑i​(ξi​−μ)(ξi​−μ)T. Matrix order A⪯BA\preceq BA⪯B means B−AB-AB−A is positive semidefinite. The squared Mahalanobis distance of a vector vvv is vTΣ−1vv^\mathsf T\Sigma^{-1}vvTΣ−1v.

Assumption 4 bounds the normalized observations: for some R≥0R\ge0R≥0, (ξ−μ)TΣ−1(ξ−μ)≤R2(\xi-\mu)^\mathsf T\Sigma^{-1}(\xi-\mu)\le R^2(ξ−μ)TΣ−1(ξ−μ)≤R2 with probability one. Equivalently, ζ=Σ−1/2(ξ−μ)\zeta=\Sigma^{-1/2}(\xi-\mu)ζ=Σ−1/2(ξ−μ) lies almost surely in a Euclidean ball of radius RRR; it has mean zero and covariance III. The sample law is PMP^MPM, the product measure of MMM identical copies. These choices make the probability in each target an assertion about genuinely independent observations.

Formalization targets

Simultaneous confidence region

For 0<δ<10<\delta<10<δ<1, set

α(t)=R2M(1−mR4+log⁡(1/t)),β(t)=R2M(2+2log⁡(1/t))2.\alpha(t)=\frac{R^2}{\sqrt M}\left(\sqrt{1-\frac m{R^4}}+\sqrt{\log(1/t)}\right),\qquad \beta(t)=\frac{R^2}{M}\left(2+\sqrt{2\log(1/t)}\right)^2.α(t)=M​R2​(1−R4m​​+log(1/t)​),β(t)=MR2​(2+2log(1/t)​)2.

Theorem 2 is the goal. Write a=α(δ/4)a=\alpha(\delta/4)a=α(δ/4) and b=β(δ/2)b=\beta(\delta/2)b=β(δ/2), and assume a+b<1a+b<1a+b<1. The target is the simultaneous event

(μ^−μ)TΣ−1(μ^−μ)≤b,Σ⪯Σ^1−a−b,Σ^1+a⪯Σ(\widehat\mu-\mu)^\mathsf T\Sigma^{-1}(\widehat\mu-\mu)\le b, \qquad \Sigma\preceq\frac{\widehat\Sigma}{1-a-b}, \qquad \frac{\widehat\Sigma}{1+a}\preceq\Sigma(μ​−μ)TΣ−1(μ​−μ)≤b,Σ⪯1−a−bΣ​,1+aΣ​⪯Σ

with probability at least 1−δ1-\delta1−δ. The last denominator is a correction: printed (12c) says 1−a1-a1−a, while the authors' union-bound display on draft p. 13 says 1+a1+a1+a. The printed version fails, for example, for symmetric ±1\pm1±1 observations, whose sample covariance is 1−μ^21-\widehat\mu^21−μ​2 and for which its claimed lower bound would require an implausibly large sample-mean square. The proof's displayed bound gives the stated 1+a1+a1+a draft pp. 13–14.

Supporting results

Lemma 2 bounds the normalized sample mean. Corollary 1 turns it into the Mahalanobis bound for μ^−μ\widehat\mu-\muμ​−μ. Lemma 3 gives a two-sided matrix bound for M−1∑iζiζiTM^{-1}\sum_i\zeta_i\zeta_i^\mathsf TM−1∑i​ζi​ζiT​; Corollary 2 transfers that bound to Σ^(μ)\widehat\Sigma(\mu)Σ(μ). A separate theorem item states the centring identity Σ^(μ)=Σ^+(μ^−μ)(μ^−μ)T\widehat\Sigma(\mu)=\widehat\Sigma+(\widehat\mu-\mu)(\widehat\mu-\mu)^\mathsf TΣ(μ)=Σ+(μ​−μ)(μ​−μ)T. The final milestone is the rank-one matrix inequality used in Theorem 2's proof. Their statements follow the draft's §4.1–4.2.

Significance

The joint region places both true moments inside explicit data-dependent matrix inequalities at a chosen confidence level. That is the statistical input for the paper's later moment-based distributional uncertainty sets. The result is known in the source; this mission asks for machine-checked proofs of its corrected statement and its supporting concentration and matrix results. The Lean items are currently open theorem statements, so a successful draft compilation does not constitute formal verification of the inequalities.

Related platform results include a proved two-sided constant-bound McDiarmid inequality (UnderstandingML.mcdiarmid_inequality_pi) and an open per-coordinate upper-tail version (StabGen.Uniform.mcdiarmid_inequality). Neither is identical to the cited Theorem 1 of this draft, so the milestone list starts with the paper's Lemma 2 and does not restate Theorem 1.

Difficulty

The known-mean covariance estimate is a sum of outer products of normalized observations. Controlling its largest and smallest eigenvalues together requires concentration of a matrix-valued statistic, rather than a separate scalar bound for each entry. Once the true mean is replaced by μ^\widehat\muμ​, the covariance changes by a rank-one matrix; the mean bound must control that correction in Loewner order. A direct replacement of Σ^(μ)\widehat\Sigma(\mu)Σ(μ) by Σ^\widehat\SigmaΣ therefore does not preserve both sides of Corollary 2 automatically.

Formalization scope

Vectors are Fin m → ℝ, and matrices are real Fin m × Fin m matrices. The Euclidean squared length is a dot product; Lean's generic norm on functions is a supremum norm and is not used for it. The Loewner order is (B - A).PosSemidef. The distribution has a probability measure and coordinatewise finite L2L^2L2 moments, so its real-valued mean and covariance integrals are well defined. The true covariance is positive definite, reflecting the section's nonsingularity assumption. Samples have the product law PMP^MPM. The chapter's normalized case records zero mean, identity covariance, and the almost-sure ball bound.

Every statistical result assumes 0<δ<10<\delta<10<δ<1; the logarithms and confidence levels are then in their intended domain. Positive MMM rules out division by zero in empirical averages. Lemma 3 carries the paper's explicit sample-size threshold, and the goal reads “MMM large enough” as a+b<1a+b<1a+b<1, which keeps the upper covariance denominator positive. The expression under the other square root is nonnegative in every satisfiable positive-dimensional normalized setting, because E∥ζ∥22=m≤R2\mathbb E\|\zeta\|_2^2=m\le R^2E∥ζ∥22​=m≤R2. It is not an added assumption. The probability conclusions use ≥1−δ\ge1-\delta≥1−δ, which is what the paper's proofs show despite the phrase “greater than.”

The goal assumes the source's distributional and support conditions, not the probability conclusions of its supporting corollaries. This prevents a vacuous route that merely postulates the desired confidence event. A complete proof will need reusable product-measure concentration facts, moment and matrix algebra, and a positive-definite quadratic-form bridge. Contributions to those components and to each milestone are in scope. Corollary 3's data-derived radius is excluded because the draft's conditioning argument does not establish its claimed confidence level. Corollary 4 as a probability statement, Theorem 3, and Corollary 5 depend on it; Remark 2 concerns a separate Gaussian eigenvalue density.

Selected references

  • Erick Delage and Yinyu Ye, Distributionally Robust Optimization under Moment Uncertainty with Application to Data-Driven Problems, Operations Research 58(3), 595–612, 2010; source used here: authors' draft of 20 February 2008. DOI.
7 thms2 active usersReviewed
Convex OptimizationMachine LearningOperations Research+1·Captain: mikedeng1

Oracle-Based Robust Optimization via Online Learning 1: The Dual-Subgradient Meta-Algorithm Returns a 2ε-Approximate Robust Solution or Certifies Infeasibility within ⌈G²D²/ε²⌉ Oracle CallsResearch Paper

Motivation

Robust optimization protects a decision against every realization of uncertain data in a prescribed uncertainty set. The standard approach replaces the uncertain constraints by a deterministic robust counterpart and solves that counterpart directly (Ben-Tal, El Ghaoui, Nemirovski, Robust Optimization, 2009). The counterpart is often a harder problem than the original: a robust linear program with ellipsoidal uncertainty becomes a second-order cone program, and a robust quadratic program can become a semidefinite program. A practitioner who has an efficient, specialised solver for the nominal problem may therefore have no efficient solver for its robust version.

Ben-Tal, Hazan, Koren and Mannor (arXiv:1402.6361, Operations Research 2015) ask whether the robust problem can be solved by repeatedly calling a solver of the nominal problem, with the number of calls independent of the dimension. Their first answer, the dual-subgradient meta-algorithm of §3.1, does so whenever the constraints are concave in the noise and the uncertainty set is convex. It is a primal–dual scheme: an online-learning algorithm picks the noise, and the nominal solver answers. This mission formalizes that result, Theorem 3.

Setting

Let D⊆Rn\mathcal D\subseteq\mathbb R^nD⊆Rn be a convex domain, U⊆Rd\mathcal U\subseteq\mathbb R^dU⊆Rd a convex uncertainty set, and f1,…,fm:Rn×Rd→Rf_1,\dots,f_m:\mathbb R^n\times\mathbb R^d\to\mathbb Rf1​,…,fm​:Rn×Rd→R constraint functions. The robust feasibility problem (3) is

∃ x∈D:fi(x,ui)≤0∀ui∈U, i=1,…,m.\exists\,x\in\mathcal D:\qquad f_i(x,u_i)\le 0\quad\forall u_i\in\mathcal U,\ i=1,\dots,m .∃x∈D:fi​(x,ui​)≤0∀ui​∈U, i=1,…,m.

(An objective is handled by binary search on its value, so feasibility is the core question.) A point x∈Dx\in\mathcal Dx∈D is an ϵ\epsilonϵ-approximate solution if fi(x,u)≤ϵf_i(x,u)\le\epsilonfi​(x,u)≤ϵ for all u∈Uu\in\mathcal Uu∈U and all iii.

An ϵ\epsilonϵ-approximate oracle Oϵ\mathcal O_\epsilonOϵ​ (Figure 1) takes a noise vector u=(u1,…,um)∈Umu=(u_1,\dots,u_m)\in\mathcal U^mu=(u1​,…,um​)∈Um and either returns some x∈Dx\in\mathcal Dx∈D with fi(x,ui)≤ϵf_i(x,u_i)\le\epsilonfi​(x,ui​)≤ϵ for all iii, or answers "infeasible", which it may do only if no x∈Dx\in\mathcal Dx∈D has fi(x,ui)≤0f_i(x,u_i)\le 0fi​(x,ui​)≤0 for all iii.

The standing assumptions of §3.1 are: each fi(⋅,u)f_i(\cdot,u)fi​(⋅,u) is convex on D\mathcal DD; each fi(x,⋅)f_i(x,\cdot)fi​(x,⋅) is concave on U\mathcal UU for x∈Dx\in\mathcal Dx∈D; D≥∥u−v∥2D\ge\|u-v\|_2D≥∥u−v∥2​ for all u,v∈Uu,v\in\mathcal Uu,v∈U; and ∥∇ufi(x,u)∥2≤G\|\nabla_u f_i(x,u)\|_2\le G∥∇u​fi​(x,u)∥2​≤G for x∈Dx\in\mathcal Dx∈D, u∈Uu\in\mathcal Uu∈U. Write PPP for the Euclidean projection onto U\mathcal UU.

Algorithm 1 sets T=⌈G2D2/ϵ2⌉T=\lceil G^2D^2/\epsilon^2\rceilT=⌈G2D2/ϵ2⌉ and η=D/(GT)\eta=D/(G\sqrt T)η=D/(GT​), starts from u10,…,um0∈Uu^0_1,\dots,u^0_m\in\mathcal Uu10​,…,um0​∈U, and for t=1,…,Tt=1,\dots,Tt=1,…,T updates

uit=P(uit−1+η ∇ufi(xt−1,uit−1)),xt=Oϵ(u1t,…,umt),u^t_i=P\bigl(u^{t-1}_i+\eta\,\nabla_u f_i(x^{t-1},u^{t-1}_i)\bigr),\qquad x^t=\mathcal O_\epsilon(u^t_1,\dots,u^t_m),uit​=P(uit−1​+η∇u​fi​(xt−1,uit−1​)),xt=Oϵ​(u1t​,…,umt​),

stopping with "infeasible" as soon as the oracle says so, and otherwise returning xˉ=1T∑t=1Txt\bar x=\frac1T\sum_{t=1}^T x^txˉ=T1​∑t=1T​xt. In Lean these are alg1T, alg1Eta, alg1U, alg1X, alg1Output and alg1Calls in the namespace OracleRO.DualSubgrad.

Formalization targets

Goal: Theorem 3 (p. 7)

For every ϵ\epsilonϵ-approximate oracle,

output="infeasible" ⟹ ¬ ∃x∈D ∀i ∀u∈U: fi(x,u)≤0,\text{output}=\text{"infeasible"}\ \Longrightarrow\ \neg\,\exists x\in\mathcal D\ \forall i\ \forall u\in\mathcal U:\ f_i(x,u)\le 0,output="infeasible" ⟹ ¬∃x∈D ∀i ∀u∈U: fi​(x,u)≤0, output=xˉ ⟹ xˉ∈D  and  fi(xˉ,u)≤2ϵ  ∀i, ∀u∈U,\text{output}=\bar x\ \Longrightarrow\ \bar x\in\mathcal D\ \text{ and }\ f_i(\bar x,u)\le 2\epsilon\ \ \forall i,\ \forall u\in\mathcal U,output=xˉ ⟹ xˉ∈D  and  fi​(xˉ,u)≤2ϵ  ∀i, ∀u∈U,

and the number of oracle calls is at most ⌈G2D2/ϵ2⌉\lceil G^2D^2/\epsilon^2\rceil⌈G2D2/ϵ2⌉.

Milestones

  1. Lemma 1 (p. 5, Zinkevich 2003): projected online gradient ascent with step η=D/(GT)\eta=D/(G\sqrt T)η=D/(GT​) on concave rewards has regret ∑tft(x∗)−∑tft(xt)≤GDT\sum_t f_t(x^*)-\sum_t f_t(x_t)\le GD\sqrt T∑t​ft​(x∗)−∑t​ft​(xt​)≤GDT​ for every x∗x^*x∗ in the decision set.
  2. (6) (p. 7): if a point is returned, 1T∑t=1Tfi(xt,uit)≤ϵ\frac1T\sum_{t=1}^T f_i(x^t,u^t_i)\le\epsilonT1​∑t=1T​fi​(xt,uit​)≤ϵ for every iii.
  3. (7) (p. 8): for every iii and u∈Uu\in\mathcal Uu∈U, 1T∑tfi(xt,u)−1T∑tfi(xt,uit)≤GD/T≤ϵ\frac1T\sum_t f_i(x^t,u)-\frac1T\sum_t f_i(x^t,u^t_i)\le GD/\sqrt T\le\epsilonT1​∑t​fi​(xt,u)−T1​∑t​fi​(xt,uit​)≤GD/T​≤ϵ.
  4. Final inequality of the proof (p. 8): fi(xˉ,u)≤1T∑tfi(xt,u)f_i(\bar x,u)\le\frac1T\sum_t f_i(x^t,u)fi​(xˉ,u)≤T1​∑t​fi​(xt,u) for u∈Uu\in\mathcal Uu∈U.

Significance

The result. Theorem 3 turns any approximate solver of the nominal problem into an approximate solver of its robust counterpart, at a cost of ⌈G2D2/ϵ2⌉\lceil G^2D^2/\epsilon^2\rceil⌈G2D2/ϵ2⌉ solver calls, a number that depends on the geometry of U\mathcal UU and the sensitivity of the constraints to the noise but not on nnn, ddd or mmm. It is the prototype of the paper's oracle-based reductions: the same primal–dual template, with a different online learner, gives the dual-perturbation algorithm of §3.2–3.3 for non-convex uncertainty sets, and the applications of §4 (robust linear programs, quadratic programs, semidefinite programs) instantiate it.

Formalizing it. The theorem is proved in the paper; none of it is machine-checked. A formal development adds a checked statement of the reduction with an explicit call count in place of the paper's O(⋅)O(\cdot)O(⋅), and a reusable regret bound for projected online gradient ascent on concave rewards (Lemma 1), which the paper quotes from Zinkevich without proof and which many other online-learning results rest on.

Difficulty

The obvious argument for the dual side fails at one point: in round ttt the primal point xtx^txt is computed from utu^tut, so the reward fi(xt,⋅)f_i(x^t,\cdot)fi​(xt,⋅) that the dual player faces depends on its own current move. A regret bound that assumed rewards fixed in advance, or drawn independently of the learner's play, would not apply. Lemma 1 must be used in its adversarial form, valid for every sequence of reward functions, including adaptively chosen ones. A second point is that the projection step requires the variational characterization of a nearest point in a convex set, which a mere "map into U\mathcal UU" does not provide.

Formalization scope

Points are elements of EuclideanSpace ℝ (Fin k), so every norm is the ℓ2\ell_2ℓ2​ norm. The projection is a predicate IsProjOnto U P (each P(y)P(y)P(y) is a nearest point of U\mathcal UU to yyy), not a construction; the oracle is a function (Fin m → E d) → Option (E n) with none for "infeasible", constrained by the predicate IsApproxOracle on inputs in Um\mathcal U^mUm. The goal is quantified over every oracle meeting that specification. The gradient ∇ufi(x,u)\nabla_u f_i(x,u)∇u​fi​(x,u) is a given map gradU with HasGradientAt at points of U\mathcal UU; no differentiability in xxx is assumed. Rounds are indexed by natural numbers with index 000 for the initialization; the starting primal point x0∈Dx^0\in\mathcal Dx0∈D, used by the first update and left undefined by the algorithm, is an input. Hypotheses D>0D>0D>0 and G>0G>0G>0 are added so that η\etaη and T≥1T\ge1T≥1 are meaningful. Maxima over U\mathcal UU are stated as "for every u∈Uu\in\mathcal Uu∈U".

Explicit instantiations and corrections:

  • The paper's "O(G2D2/ϵ2)O(G^2D^2/\epsilon^2)O(G2D2/ϵ2) calls" is stated as at most ⌈G2D2/ϵ2⌉\lceil G^2D^2/\epsilon^2\rceil⌈G2D2/ϵ2⌉ calls (one call per round, TTT rounds).
  • Lemma 1's "G≥max⁡t∥ft(xt)∥G\ge\max_t\|f_t(x_t)\|G≥maxt​∥ft​(xt​)∥" is read as the gradient bound ∥∇ft(xt)∥≤G\|\nabla f_t(x_t)\|\le G∥∇ft​(xt​)∥≤G, as the same sentence describes it.
  • The proof's "Combining (10) and (12)" refers to (6) and (7).

Trivializing formalizations are ruled out: an oracle specification under which "infeasible" is never returned, or an output that is not the average of the oracle's answers, would not be Theorem 3. The "infeasible" conclusion is about the robust problem, not the nominal one.

A complete development needs the variational inequality for nearest points in a convex set, the gradient (supergradient) inequality for a concave function differentiable at a point of a convex set, Zinkevich's telescoping argument, and Jensen's inequality for finite averages. The first two and Lemma 1 are reusable beyond this mission. Proofs of the milestones, in any order, are welcome.

Selected references

  • A. Ben-Tal, E. Hazan, T. Koren, S. Mannor, Oracle-Based Robust Optimization via Online Learning, arXiv:1402.6361v1, 2014; Operations Research 63(3), 2015. https://arxiv.org/abs/1402.6361v1
  • M. Zinkevich, Online Convex Programming and Generalized Infinitesimal Gradient Ascent, ICML 2003. https://dl.acm.org/doi/10.5555/3041838.3041955
  • A. Ben-Tal, L. El Ghaoui, A. Nemirovski, Robust Optimization, Princeton University Press, 2009. https://doi.org/10.1515/9781400831050
  • E. Hazan, Introduction to Online Convex Optimization, Foundations and Trends in Optimization, 2016. https://arxiv.org/abs/1909.05207
8 thms2 active usersReviewed
Convex OptimizationOperations ResearchOptimization·Captain: mikedeng1

Deriving Robust Counterparts of Nonlinear Uncertain Inequalities: For a Regular Nominal Vector, a Concave Uncertain Constraint Holds Robustly iff Its Fenchel Counterpart (FRC) Is SolvableResearch Paper

Motivation

In robust optimization, a decision must satisfy a constraint for every parameter value in a prescribed uncertainty set. A nonlinear uncertain constraint can be difficult to use directly because it contains a universal condition over a continuum of parameters. Ben-Tal, den Hertog, and Vial study constraints whose value is concave in the uncertain parameter. Their Theorem 2 replaces the universal condition by one inequality involving a new vector and two conjugate functions. The replacement is the general framework used for the paper's later examples, including uncertainty regions assembled from simpler sets and nonlinear functions whose conjugates have explicit forms. The discussion paper, §§2–4 is the source for this mission; theorem and page numbers refer to that 2012 version.

The paper's result extends a more specialized counterpart for a linear uncertain constraint under a φ-divergence uncertainty region. That 2013 result has a proved formalization on Prove2Me, but its divergence-specific conjugate and uncertainty set are different objects. The same earlier formalization also supplies a proved version of the self-concordant-barrier statement that this paper quotes as Lemma 33, with a differently printed constant. Neither earlier theorem supplies the general concave-constraint result here.

Setting

Fix dimensions m,n,Lm,n,Lm,n,L. The nominal vector is a0∈Rma^0\in\mathbb R^ma0∈Rm, and A∈Rm×LA\in\mathbb R^{m\times L}A∈Rm×L maps a primitive uncertainty ζ∈Z⊆RL\zeta\in Z\subseteq\mathbb R^Lζ∈Z⊆RL to an uncertain parameter a=a0+Aζa=a^0+A\zetaa=a0+Aζ. Thus the uncertainty set is U={a0+Aζ:ζ∈Z}U=\{a^0+A\zeta:\zeta\in Z\}U={a0+Aζ:ζ∈Z}. The paper assumes that ZZZ is nonempty, convex, and compact, with 000 in its relative interior ri⁡Z\operatorname{ri}ZriZ. Relative interior is taken inside the affine hull of a set, so ZZZ may lie in a lower-dimensional plane.

A decision is x∈Rnx\in\mathbb R^nx∈Rn. For each decision, D(x)D(x)D(x) is the effective domain of the uncertain constraint f(⋅,x)f(\cdot,x)f(⋅,x): f(a,x)f(a,x)f(a,x) is real on D(x)D(x)D(x) and is interpreted as −∞-\infty−∞ outside it. The function is concave in aaa on D(x)D(x)D(x) for every xxx; the paper imposes no convexity assumption in the decision xxx. The robust constraint (RC) is f(a,x)≤0f(a,x)\le0f(a,x)≤0 for every a∈Ua\in Ua∈U. In the domain representation used here, this means every a∈U∩D(x)a\in U\cap D(x)a∈U∩D(x). The nominal vector is regular when a0∈ri⁡D(x)a^0\in\operatorname{ri}D(x)a0∈riD(x) for every decision xxx, as in Definition 1.

The support function of SSS is δ∗(y∣S)=sup⁡a∈SyTa\delta^*(y\mid S)=\sup_{a\in S}y^Taδ∗(y∣S)=supa∈S​yTa. The partial concave conjugate is f∗(v,x)=inf⁡a∈D(x)(aTv−f(a,x))f_*(v,x)=\inf_{a\in D(x)}(a^Tv-f(a,x))f∗​(v,x)=infa∈D(x)​(aTv−f(a,x)). Both have extended-real values: an empty support set has support value −∞-\infty−∞, and the conjugate can be −∞-\infty−∞ when its infimum is unbounded below. These values matter in the equivalence; replacing them by a default real number changes the constraint.

Formalization targets

The goal is the paper's Theorem 2. Under the standing assumptions and regularity, for every decision xxx,

[∀a∈U∩D(x), f(a,x)≤0]⟺[∃v∈Rm: (a0)Tv+δ∗(ATv∣Z)−f∗(v,x)≤0].\left[\forall a\in U\cap D(x),\ f(a,x)\le0\right] \quad\Longleftrightarrow\quad \left[\exists v\in\mathbb R^m:\ (a^0)^Tv+\delta^*(A^Tv\mid Z)-f_*(v,x)\le0\right].[∀a∈U∩D(x), f(a,x)≤0]⟺[∃v∈Rm: (a0)Tv+δ∗(ATv∣Z)−f∗​(v,x)≤0].

The right-hand inequality is the Fenchel robust counterpart (FRC). Its existence claim is essential: equality of primal and dual infima alone would not show that an auxiliary vector satisfying FRC exists.

Four source statements form the milestone path. Remark 5 gives the weak-duality inequality and the FRC-to-RC implication without concavity. Equations (16)–(18) calculate the support function of UUU. Equation (7) states the relative-interior qualification. Equations (13)–(15) state the worst-case/dual-value identity and, through the printed minimum, attainment of the dual infimum. The milestone list quotes those source passages and identifies their printed pages. Theorem 2 and its proof appear on pp. 4–5.

Significance

The equivalence gives an exact way to replace an infinite family of uncertain inequalities by an existential constraint. In examples where the support function and concave conjugate can be evaluated or represented with standard optimization constraints, it yields a finite robust counterpart. The conclusion remains a mathematical equivalence even when such an explicit representation has not been found. It is also independent of any convexity of fff in the decision variable, a point the paper makes after Corollary 3.

This mission supplies reusable, domain-aware support and conjugate definitions and formal statements for the duality path in the paper's central result. The new goal and milestones are open proof obligations: their Lean declarations compile, but they do not yet have machine-checked proofs. The proved 2013 φ-divergence case is narrower and does not close them. A completed development would make the general relative-interior and attained-duality steps reusable for other robust optimization models.

Difficulty

The delicate point is the direction from RC to the existence of an FRC vector. Weak duality gives only a one-sided bound. Identifying the two optimal values still leaves an existence question when an infimum is not attained. The paper invokes Fenchel duality under a relative-interior intersection condition; replacing relative interior by ordinary interior would exclude lower-dimensional uncertainty sets and effective domains that the source permits. A second difficulty is keeping finite and infinite conjugate values distinct while subtracting them in the counterpart inequality. An unbounded-below conjugate must make a finite-support FRC value +∞+\infty+∞, not a plausible finite number.

Formalization scope

Vectors are functions on Fin m, Fin n, and Fin L; AAA is a real matrix, and dot products use the finite-vector dot product. Mathlib's intrinsicInterior ℝ represents relative interior. The domain map D(x)D(x)D(x) is explicit, with the concavity hypothesis imposed on that domain. The real representative of fff outside D(x)D(x)D(x) is ignored everywhere. The paper's Notation paragraph calls its generic concave functions closed, but the statements here omit closedness: the finite-dimensional duality qualification used for Theorem 2 needs relative-interior overlap, not that extra regularity. This is a stated strengthening of the source theorem, not a change of its feasible points.

Support functions, conjugates, worst-case values, and dual values use EReal. The paper's “max” in (8), (13), and Remark 5 is read as an extended-real supremum; its “min” in (15) is an infimum accompanied by an attaining vector. The support identity includes Z=∅Z=\varnothingZ=∅, where both sides are −∞-\infty−∞, although Theorem 2 keeps the paper's nonempty, convex, compact ZZZ. On the theorem's hypotheses the support value is finite and D(x)D(x)D(x) is nonempty, so the undefined-looking combinations +∞−(+∞)+\infty-(+\infty)+∞−(+∞) and −∞+(+∞)-\infty+(+\infty)−∞+(+∞) cannot occur in FRC. No all-space real-valued substitute for f∗f_*f∗​ is used, and the theorem still quantifies over every decision and every allowed uncertainty vector.

The proof development needs finite-dimensional relative-interior behavior under affine maps and Fenchel duality with attainment. General convex conjugates and support functions can serve later missions. Corollary 3 and the paper's complexity discussion are outside this mission. Theorem A.1 is not separately made a milestone here: as printed, its domain-restricted dual maximum has a problematic −∞-\infty−∞ case; the directly used, attained identity (13)–(15) is the target under the main theorem's standing assumptions.

Selected references

  • A. Ben-Tal, D. den Hertog, J.-P. Vial, Deriving robust counterparts of nonlinear uncertain inequalities, CentER Discussion Paper 2012-053, Tilburg University, 2012. Discussion-paper PDF; journal version, Mathematical Programming, 2015, DOI 10.1007/s10107-014-0750-8.
  • A. Ben-Tal et al., Robust solutions of optimization problems affected by uncertain probabilities, Management Science, 2013. Prove2Me formalization of its φ-divergence case.
7 thms2 active usersReviewed
Convex OptimizationLinear OptimizationOperations Research·Captain: mikedeng1

Constructing Uncertainty Sets for Robust Linear Optimization 2: The Distortion Risk Measures with Centrally Symmetric Permutohulls Are the Mixtures of ⌊N/2⌋+1 GeneratorsResearch Paper

Motivation

A linear decision made with uncertain coefficients can be protected by requiring the constraint to hold for every coefficient vector in an uncertainty set. Choosing that set determines how conservative the decision is. Bertsimas and Brown connect this choice to a risk measure: a functional that assigns a cost to the random reward left by a decision. Their construction turns certain risk constraints into robust linear constraints over a convex hull of weighted samples. This mission isolates the structural question asked in §4.4 of their paper: which such risk measures always produce uncertainty sets that are centrally symmetric about the sample mean? The answer matters because this symmetric family is the class used in the paper's subsequent approximation of general polyhedral uncertainty sets. Bertsimas and Brown (2009), §§4.3–4.5.

Setting

There are N≥1N\ge1N≥1 observations, indexed by i=1,…,Ni=1,\ldots,Ni=1,…,N, with equal reference probabilities. A probability weight vector q=(q1,…,qN)q=(q_1,\ldots,q_N)q=(q1​,…,qN​) has nonnegative entries summing to one. The restricted simplex Δ^N\widehat\Delta^NΔN contains those vectors whose entries are nonincreasing: q1≥⋯≥qNq_1\ge\cdots\ge q_Nq1​≥⋯≥qN​. For a reward vector X=(x1,…,xN)X=(x_1,\ldots,x_N)X=(x1​,…,xN​), write x(1)≤⋯≤x(N)x_{(1)}\le\cdots\le x_{(N)}x(1)​≤⋯≤x(N)​ for its increasing order statistics. The associated distortion risk measure is μq(X)=−∑iqix(i)\mu_q(X)=-\sum_iq_i x_{(i)}μq​(X)=−∑i​qi​x(i)​. A larger reward therefore reduces risk. Under the uniform distribution, the paper's Theorem 4.2 identifies these functionals, for q∈Δ^Nq\in\widehat\Delta^Nq∈ΔN, with its distortion risk measures. Bertsimas and Brown (2009), Theorem 4.2.

Take arbitrary sample vectors a1,…,aN∈Rna_1,\ldots,a_N\in\mathbb R^na1​,…,aN​∈Rn. For a permutation σ\sigmaσ of their indices, form the weighted vector ∑iqσ(i)ai\sum_iq_{\sigma(i)}a_i∑i​qσ(i)​ai​. The qqq-permutohull Πq(A)\Pi_q(\mathcal A)Πq​(A) is the convex hull of all these vectors. Its center of interest is the sample mean a^=N−1∑iai\widehat a=N^{-1}\sum_i a_ia=N−1∑i​ai​. A set PPP is centrally symmetric through x0∈Px_0\in Px0​∈P when x0+x∈Px_0+x\in Px0​+x∈P implies x0−x∈Px_0-x\in Px0​−x∈P for every xxx. The quantifier “for any data” ranges over every dimension nnn and every choice of NNN sample vectors. It is stronger than symmetry for one selected data set. Bertsimas and Brown (2009), Definitions 4.7–4.8.

Formalization targets

The first target is Proposition 4.1's characterization of weights giving universal symmetry. If eNe_NeN​ is the vector with every entry 1/N1/N1/N, then

[Πq(A) is centrally symmetric through a^ for every n,A]⟺∃σ∈SN: q=2eN−qσ.\bigl[\Pi_q(\mathcal A)\text{ is centrally symmetric through }\widehat a \text{ for every }n,\mathcal A\bigr] \quad\Longleftrightarrow\quad \exists\sigma\in S_N:\ q=2e_N-q_\sigma.[Πq​(A) is centrally symmetric through a for every n,A]⟺∃σ∈SN​: q=2eN​−qσ​.

This condition defines the symmetric restricted simplex Δ^symN\widehat\Delta^N_{\mathrm{sym}}ΔsymN​ inside Δ^N\widehat\Delta^NΔN. Bertsimas and Brown (2009), Proposition 4.1 and Definition 4.9.

The main target is Theorem 4.4. Put N^=⌊N/2⌋+1\widehat N=\lfloor N/2\rfloor+1N=⌊N/2⌋+1. For 1≤j≤N^1\le j\le\widehat N1≤j≤N, define a generator qˉ j\bar q^{\,j}qˉ​j by

qˉi j={2/N,i<j,1/N,j≤i≤N−j+1,0,otherwise.\bar q_i^{\,j}= \begin{cases} 2/N,&i<j,\\ 1/N,&j\le i\le N-j+1,\\ 0,&\text{otherwise}. \end{cases}qˉ​ij​=⎩⎨⎧​2/N,1/N,0,​i<j,j≤i≤N−j+1,otherwise.​

A functional represented by a q∈Δ^Nq\in\widehat\Delta^Nq∈ΔN whose permutohull is symmetric for every data set is exactly a convex mixture of the N^\widehat NN generator functionals:

μ(X)=∑j=1N^λjμqˉ j(X),λj≥0,∑j=1N^λj=1.\mu(X)=\sum_{j=1}^{\widehat N}\lambda_j\mu_{\bar q^{\,j}}(X), \qquad \lambda_j\ge0,\qquad\sum_{j=1}^{\widehat N}\lambda_j=1.μ(X)=j=1∑N​λj​μqˉ​j​(X),λj​≥0,j=1∑N​λj​=1.

The milestones also state the two set inclusions behind the equality of Δ^symN\widehat\Delta^N_{\mathrm{sym}}ΔsymN​ with the convex hull of these generators, including the coordinate reversal identity. Bertsimas and Brown (2009), Theorem 4.4 and its proof.

Significance

The result gives a finite list of risk functionals from which every member of the universally symmetric distortion subclass can be formed. The number of generators is ⌊N/2⌋+1\lfloor N/2\rfloor+1⌊N/2⌋+1, rather than an unspecified family. It also connects a geometric property of a robust uncertainty set to a checkable condition on its weights. The paper uses this symmetric subclass to formulate the inner approximation problem in §4.5, where a symmetric permutohull is fitted inside another polytope. Bertsimas and Brown (2009), §§4.4–4.5.

The mathematical result is proved in the 2009 paper. This formalization task is to obtain Lean proofs of the classification and its source-stated intermediate claims. The definition layer is a reusable interface for finite distortion risk measures, permutohulls, and symmetry under coordinate permutations. Formal proofs here would provide a checked foundation for later robust optimization statements using the same finite sample model. The proposed goal and milestones are open Lean statements; compiling them verifies their syntax and types, not their proofs.

Difficulty

Symmetry of one pictured polygon does not determine its weight vector. The hypothesis demands symmetry for every possible collection of sample vectors, so the converse in Proposition 4.1 must recover a relation among weights from a universal geometric property. Another difficulty is that the explicit generators change shape at the midpoint, and the odd and even cases have different middle ranges. The paper writes the calculation for odd NNN and says the even case is analogous; the theorem itself makes no parity restriction. A proof therefore has to cover the even boundary, including the generator whose 1/N1/N1/N band is empty. Bertsimas and Brown (2009), Proposition 4.1 and proof of Theorem 4.4.

Formalization scope

The Lean sample space is Fin N, with N>0N>0N>0. Its indices start at zero; the prose and source formulas above start at one. The source's N^\widehat NN is N / 2 + 1 in natural numbers. Probability vectors use Mathlib's standard simplex together with antitone coordinate order. Permutohulls use convexHull of the finite permutation family, and order statistics use Tuple.sort. The reference distribution is uniform, as in the paper's Assumption 4.1. Real vector spaces of dimension zero are allowed because the claim quantifies over every dimension; the nonempty sample condition excludes division by zero.

The goal takes an arbitrary functional μ\muμ and requires an actual representation μ=μq\mu=\mu_qμ=μq​ by a restricted-simplex weight. This is the paper's Theorem 4.2 parametrization of distortion risk measures, stated directly because that theorem is being drafted in a separate mission of the same series. Universal symmetry is derived from the data quantifier; it is not assumed as a condition on qqq. The generator mixture is likewise the conclusion, with its coefficients nonnegative and summing to one. Central symmetry includes membership of the center in the set.

Useful contributions include proofs of the source's permutation characterization, validity and symmetry of generator mixtures, and their converse spanning property. The definitions of finite probability weights and weighted permutation hulls can support further finite sample robust optimization results. The paper's inconsistent accent on the generator risk measure in Theorem 4.4 is read as the functional of the displayed generator vector; its intermediate sum on p. 1492 does not alter the stated normalized mixture.

Selected references

  • Dimitris Bertsimas and David B. Brown, Constructing Uncertainty Sets for Robust Linear Optimization, Operations Research 57(6), 1483–1495, 2009. DOI: 10.1287/opre.1080.0646.
6 thms2 active usersReviewed
Linear OptimizationOperations ResearchProbability·Captain: mikedeng1

Constructing Uncertainty Sets for Robust Linear Optimization 1: A Distortion Risk Constraint Equals a Robust Constraint over a Permutohull and an Explicit Linear SystemResearch Paper

Motivation

Robust linear optimization replaces an uncertain constraint a~′x≥b\tilde a'x \ge ba~′x≥b by the requirement that a′x≥ba'x \ge ba′x≥b hold for every aaa in an uncertainty set U\mathcal UU (Ben-Tal and Nemirovski 1999). The method leaves open where U\mathcal UU should come from. Risk theory answers a related question from the other side: a decision maker's attitude to an uncertain reward is described by a risk measure μ\muμ, and the constraint is imposed as μ(a~′x−b)≤0\mu(\tilde a'x - b) \le 0μ(a~′x−b)≤0.

Bertsimas and Brown (2009) connect the two. When μ\muμ is coherent and a~\tilde aa~ is supported on finitely many observed data points a1,…,aNa_1, \dots, a_Na1​,…,aN​, the risk constraint is exactly a robust constraint whose uncertainty set is built from the data and the family of probability vectors generating μ\muμ. For the class of distortion risk measures, the uncertainty set has an explicit polyhedral form, the qqq-permutohull of the data, and the robust constraint has a reformulation of polynomial size. This mission formalizes that chain of results, Sections 2–4.3 of the paper.

Setting

The sample space is finite, Ω={ω1,…,ωN}\Omega = \{\omega_1, \dots, \omega_N\}Ω={ω1​,…,ωN​}, and a random variable is a vector X∈RNX \in \mathbb R^NX∈RN, read as a reward; X≥YX \ge YX≥Y means Xi≥YiX_i \ge Y_iXi​≥Yi​ for every iii. The probability simplex is ΔN={p∈R+N:e′p=1}\Delta^N = \{p \in \mathbb R^N_+ : e'p = 1\}ΔN={p∈R+N​:e′p=1}, and Eq[X]=∑iqiXi\mathbb E_q[X] = \sum_i q_i X_iEq​[X]=∑i​qi​Xi​.

A risk measure is a function μ:RN→R\mu : \mathbb R^N \to \mathbb Rμ:RN→R with X≥Y⇒μ(X)≤μ(Y)X \ge Y \Rightarrow \mu(X) \le \mu(Y)X≥Y⇒μ(X)≤μ(Y) and μ(X+c)=μ(X)−c\mu(X + c) = \mu(X) - cμ(X+c)=μ(X)−c. It is coherent if it is moreover convex and positively homogeneous. A set Q⊆ΔN\mathcal Q \subseteq \Delta^NQ⊆ΔN generates μ\muμ if μ(X)=sup⁡q∈QEq[−X]\mu(X) = \sup_{q \in \mathcal Q} \mathbb E_q[-X]μ(X)=supq∈Q​Eq​[−X] for all XXX. The conditional value-at-risk under a probability vector ppp is CVaRα(X)=inf⁡ν∈R{ν+1αEp[(−ν−X)+]}\mathrm{CVaR}_\alpha(X) = \inf_{\nu \in \mathbb R}\{\nu + \frac1\alpha \mathbb E_p[(-\nu - X)^+]\}CVaRα​(X)=infν∈R​{ν+α1​Ep​[(−ν−X)+]} for α∈(0,1]\alpha \in (0,1]α∈(0,1].

Two random variables are comonotone if (X(ω)−X(ω′))(Y(ω)−Y(ω′))≥0(X(\omega) - X(\omega'))(Y(\omega) - Y(\omega')) \ge 0(X(ω)−X(ω′))(Y(ω)−Y(ω′))≥0 for all ω,ω′\omega, \omega'ω,ω′; μ\muμ is comonotonic if it is additive on comonotone pairs, and law invariant if it takes equal values on random variables with the same distribution. A distortion risk measure is a coherent, comonotonic, law-invariant risk measure. From Section 4.2 on, Ω\OmegaΩ carries the uniform distribution P{ωi}=1/N\mathbb P\{\omega_i\} = 1/NP{ωi​}=1/N.

The restricted simplex is Δ^N={q∈ΔN:q1≥⋯≥qN}\hat\Delta^N = \{q \in \Delta^N : q_1 \ge \cdots \ge q_N\}Δ^N={q∈ΔN:q1​≥⋯≥qN​}. For q∈Δ^Nq \in \hat\Delta^Nq∈Δ^N put

μq(X)=−∑i=1Nqix(i),\mu_q(X) = -\sum_{i=1}^N q_i x_{(i)},μq​(X)=−i=1∑N​qi​x(i)​,

where x(1)≤⋯≤x(N)x_{(1)} \le \cdots \le x_{(N)}x(1)​≤⋯≤x(N)​ are the increasing order statistics of XXX. The data are A={a1,…,aN}⊆Rn\mathcal A = \{a_1, \dots, a_N\} \subseteq \mathbb R^nA={a1​,…,aN​}⊆Rn, the uncertain vector a~\tilde aa~ takes the value aia_iai​ at ωi\omega_iωi​, and the qqq-permutohull of A\mathcal AA is

Πq(A)=conv⁡{∑i=1Nqσ(i)ai:σ∈SN}.\Pi_q(\mathcal A) = \operatorname{conv}\Big\{\sum_{i=1}^N q_{\sigma(i)} a_i : \sigma \in S_N\Big\}.Πq​(A)=conv{i=1∑N​qσ(i)​ai​:σ∈SN​}.

Formalization targets

Goal: Theorem 4.3

Under the uniform distribution, for every distortion risk measure μ\muμ there is q∈Δ^Nq \in \hat\Delta^Nq∈Δ^N with μ=μq\mu = \mu_qμ=μq​, and for this qqq, all data and every bbb,

{x:μ(a~′x−b)≤0}={x:a′x≥b ∀a∈Πq(A)}={x:∃y1,y2∈RN, e′y1+e′y2≥b, y1,i+y2,j≤qi aj′x ∀i,j}.\{x : \mu(\tilde a'x - b) \le 0\} = \{x : a'x \ge b\ \forall a \in \Pi_q(\mathcal A)\} = \{x : \exists y_1, y_2 \in \mathbb R^N,\ e'y_1 + e'y_2 \ge b,\ y_{1,i} + y_{2,j} \le q_i\, a_j'x\ \forall i, j\}.{x:μ(a~′x−b)≤0}={x:a′x≥b ∀a∈Πq​(A)}={x:∃y1​,y2​∈RN, e′y1​+e′y2​≥b, y1,i​+y2,j​≤qi​aj′​x ∀i,j}.

The vector qqq depends on μ\muμ only; the data are quantified after it.

Milestones

  1. Theorem 2.1. μ\muμ is coherent if and only if some family Q⊆ΔN\mathcal Q \subseteq \Delta^NQ⊆ΔN generates it.
  2. Theorem 3.1. For coherent μ\muμ generated by Q\mathcal QQ, {x:μ(a~′x−b)≤0}={x:a′x≥b ∀a∈conv⁡{Aq:q∈Q}}\{x : \mu(\tilde a'x - b) \le 0\} = \{x : a'x \ge b\ \forall a \in \operatorname{conv}\{Aq : q \in \mathcal Q\}\}{x:μ(a~′x−b)≤0}={x:a′x≥b ∀a∈conv{Aq:q∈Q}}; conversely every nonempty U⊆conv⁡(A)\mathcal U \subseteq \operatorname{conv}(\mathcal A)U⊆conv(A) arises from the coherent measure generated by {q∈ΔN:Aq∈U}\{q \in \Delta^N : Aq \in \mathcal U\}{q∈ΔN:Aq∈U}.
  3. Generation of (4). μq\mu_qμq​ is generated by the permuted vectors q∘σq \circ \sigmaq∘σ, σ∈SN\sigma \in S_Nσ∈SN​.
  4. Theorem 4.1 (Schmeidler). A coherent μ\muμ is comonotonic if and only if μ(X)=∫(−X) dg\mu(X) = \int (-X)\,dgμ(X)=∫(−X)dg (Choquet integral) for a monotone, normalized, submodular g:2Ω→[0,1]g : 2^\Omega \to [0,1]g:2Ω→[0,1].
  5. Second differences (proof of Lemma 4.1). A submodular ggg depending only on ∣A∣|A|∣A∣ has nonincreasing increments along ∅⊂{ω1}⊂{ω1,ω2}⊂⋯\emptyset \subset \{\omega_1\} \subset \{\omega_1, \omega_2\} \subset \cdots∅⊂{ω1​}⊂{ω1​,ω2​}⊂⋯.
  6. Lemma 4.1. A risk measure is a distortion risk measure if and only if μ(X)=∫(0,1]CVaRα(X) ν(dα)\mu(X) = \int_{(0,1]} \mathrm{CVaR}_\alpha(X)\,\nu(d\alpha)μ(X)=∫(0,1]​CVaRα​(X)ν(dα) for a probability measure ν\nuν.
  7. The CVaR display (proof of Theorem 4.2). CVaRα(X)=sup⁡{Eq[−X]:q∈ΔN, qi≤1/(Nα)}=μqα(X)\mathrm{CVaR}_\alpha(X) = \sup\{\mathbb E_q[-X] : q \in \Delta^N,\ q_i \le 1/(N\alpha)\} = \mu_{q^\alpha}(X)CVaRα​(X)=sup{Eq​[−X]:q∈ΔN, qi​≤1/(Nα)}=μqα​(X) with qα∈Δ^Nq^\alpha \in \hat\Delta^Nqα∈Δ^N.
  8. Theorem 4.2. A risk measure is a distortion risk measure if and only if μ=μq\mu = \mu_qμ=μq​ for some q∈Δ^Nq \in \hat\Delta^Nq∈Δ^N; every such qqq is a convex combination of the generators q^j\hat q^jq^​j of CVaRj/N\mathrm{CVaR}_{j/N}CVaRj/N​.
  9. Assignment duality (proof of Theorem 4.3). a′x≥ba'x \ge ba′x≥b on Πq(A)\Pi_q(\mathcal A)Πq​(A) if and only if the linear system in (y1,y2)(y_1, y_2)(y1​,y2​) above is feasible.

A companion item states Corollary 4.3: Π∑jλjq^j(A)=conv⁡{∑jλj1j∑i≤jaσj(i):σj∈SN}\Pi_{\sum_j \lambda_j \hat q^j}(\mathcal A) = \operatorname{conv}\{\sum_j \lambda_j \frac1j \sum_{i \le j} a_{\sigma_j(i)} : \sigma_j \in S_N\}Π∑j​λj​q^​j​(A)=conv{∑j​λj​j1​∑i≤j​aσj​(i)​:σj​∈SN​}, and the class equality it yields: the uncertainty sets Πq(A)\Pi_q(\mathcal A)Πq​(A) of all distortion risk measures μ=μq\mu = \mu_qμ=μq​ are exactly the polytopes Uλ(A)\mathcal U_\lambda(\mathcal A)Uλ​(A), λ≥0\lambda \ge 0λ≥0, ∑jλj=1\sum_j \lambda_j = 1∑j​λj​=1.

Significance

The goal theorem identifies the uncertainty set implied by any distortion risk measure: it is a permutohull of the data, a polytope with up to N!N!N! vertices that is nevertheless representable with 2N2N2N extra variables and N2N^2N2 linear constraints. Combined with Theorem 4.2, the uncertainty sets of distortion measures are exactly the mixtures of the sets of jjj-point averages of the data (Corollary 4.3), with CVaRj/N\mathrm{CVaR}_{j/N}CVaRj/N​ as the generators. The later sections of the paper build on this: centrally symmetric permutohulls (Section 4.4) and the construction of a distortion risk measure from a given polyhedral uncertainty set (Section 4.5) are the subjects of the two companion missions.

The results are proved in the paper; no machine-checked version is known. The formalization adds checked statements of the finite-space representation theory of coherent and distortion risk measures, which the paper obtains partly by citing general results, and records the corrections the printed statements need.

Difficulty

The two equalities of the goal have unequal weight. The second is a statement about one polytope with up to N!N!N! vertices and a linear system of size O(N2)O(N^2)O(N2); it is finite-dimensional linear programming. The first requires the complete characterization of distortion risk measures on a finite uniform space, and that is where the obvious approach fails. The known representation of law-invariant comonotonic coherent measures as mixtures of CVaR (Kusuoka 2001) is proved for atomless spaces and does not transfer to a discrete Ω\OmegaΩ. The uniform distribution is essential, not a convenience: Remark 4.2 of the paper gives a two-point space with probabilities 1/3,2/31/3, 2/31/3,2/3 and a monotone, normalized, submodular set function depending only on probability whose induced distortion is not concave, so the conclusion of Theorem 4.2 fails there.

Formalization scope

  • Ω\OmegaΩ is Fin N with N≥1N \ge 1N≥1; random variables are Fin N → ℝ; indices are 0-based throughout, so qhat j is the paper's q^j+1\hat q^{j+1}q^​j+1 and q1≥⋯≥qNq_1 \ge \cdots \ge q_Nq1​≥⋯≥qN​ is Antitone q. Order statistics are X ∘ Tuple.sort X.
  • Probability measures on Ω\OmegaΩ are probability vectors in stdSimplex ℝ (Fin N). Generation (1) is an IsLUB over an arbitrary set of probability vectors, not a maximum over a finite family (that version is false).
  • Sign of the risk constraint. Display (2) and Theorem 4.3 print μ(a~′x−b)≥0\mu(\tilde a'x - b) \ge 0μ(a~′x−b)≥0. The paper introduces the constraint as μ(a~′x−b)≤0\mu(\tilde a'x - b) \le 0μ(a~′x−b)≤0 (p. 1486) and the proof of Theorem 3.1 computes μ(a~′x−b)=−inf⁡a∈Ua′x+b\mu(\tilde a'x - b) = -\inf_{a \in \mathcal U} a'x + bμ(a~′x−b)=−infa∈U​a′x+b; all statements use ≤0\le 0≤0.
  • Standing assumptions. Theorems 2.1 and 3.1 assume a probability vector ppp with pi>0p_i > 0pi​>0 (full support makes Q≪P\mathbb Q \ll \mathbb PQ≪P vacuous; with a null atom Theorem 2.1 fails for functions on Ω\OmegaΩ). From Lemma 4.1 on the distribution is uniform (Assumption 4.1). Theorem 3.1's converse adds U≠∅\mathcal U \neq \emptysetU=∅.
  • CVaR is a real infimum, used only for α∈(0,1]\alpha \in (0,1]α∈(0,1], where the objective is bounded below by E[−X]\mathbb E[-X]E[−X]. In Lemma 4.1 the mixing measure ν\nuν is a probability measure on (0,1](0,1](0,1]; the page's ∫01\int_0^1∫01​ is read over (0,1](0,1](0,1]. The CVaR display uses the corrected coefficient (Nα−⌊Nα⌋)/(Nα)(N\alpha - \lfloor N\alpha \rfloor)/(N\alpha)(Nα−⌊Nα⌋)/(Nα) in place of the printed /⌊Nα⌋/\lfloor N\alpha \rfloor/⌊Nα⌋. The assignment-duality milestone is stated for every q∈RNq \in \mathbb R^Nq∈RN.
  • The goal must assert the representation μ=μq\mu = \mu_qμ=μq​ together with the set equalities: a statement "there is some qqq for which the sets coincide" would let qqq depend on the data and is not Theorem 4.3. The goal does not assume μ=μq\mu = \mu_qμ=μq​, which is Theorem 4.2's conclusion.
  • Needed infrastructure: Birkhoff's theorem (in Mathlib), LP duality, the rearrangement inequality, Choquet integrals of step functions. Lemmas about μq\mu_qμq​ and order statistics are reusable beyond this mission; proofs of any milestone are welcome.

Selected references

  • D. Bertsimas, D. B. Brown, Constructing uncertainty sets for robust linear optimization, Operations Research 57(6):1483–1495, 2009. https://doi.org/10.1287/opre.1080.0646
  • A. Ben-Tal, A. Nemirovski, Robust solutions of uncertain linear programs, Operations Research Letters 25(1):1–13, 1999. https://doi.org/10.1016/S0167-6377(99)00016-4
  • P. Artzner, F. Delbaen, J.-M. Eber, D. Heath, Coherent measures of risk, Mathematical Finance 9(3):203–228, 1999. https://doi.org/10.1111/1467-9965.00068
  • D. Schmeidler, Integral representation without additivity, Proceedings of the AMS 97(2):255–261, 1986. https://doi.org/10.1090/S0002-9939-1986-0835875-8
  • R. T. Rockafellar, S. Uryasev, Optimization of conditional value-at-risk, Journal of Risk 2(3):21–41, 2000. https://doi.org/10.21314/JOR.2000.038
  • S. Kusuoka, On law invariant coherent risk measures, Advances in Mathematical Economics 3:83–95, 2001. https://doi.org/10.1007/978-4-431-67891-5_4
  • H. Föllmer, A. Schied, Stochastic Finance: An Introduction in Discrete Time, 2nd ed., de Gruyter, 2004. https://doi.org/10.1515/9783110212075
11 thms2 active usersReviewed
Convex OptimizationLinear OptimizationOperations Research·Captain: mikedeng1

Robust Solutions of Uncertain Linear Programs II: With Ellipsoidal Uncertainty the Robust Counterpart Is Equivalent to a Conic Quadratic ProgramResearch Paper

Motivation

The data of a linear program are often not known exactly: they are measured or estimated, or they are forecasts. The robust counterpart approach, going back to Soyster (1973), asks for a solution that is feasible for every data matrix in a prescribed uncertainty set and is best among such solutions. Ben-Tal and Nemirovski's 1999 paper [1] showed that the method stays computationally tractable for a broad class of uncertainty sets, the ellipsoidal uncertainties: the robust counterpart of an uncertain LP is then a conic quadratic program (CQP), solvable by interior point methods at roughly the cost of an LP of similar size. This result is the basis of robust linear optimization as it is used today [2], [3]. It is also the reason ellipsoidal sets are the default choice in robust portfolio selection (§4 of the paper) and in many later robust models.

Timeline. Soyster (1973) treated column-wise box uncertainty, for which the counterpart is again an LP [4]. Ben-Tal and Nemirovski (1998) developed the general theory of robust convex optimization [5]. The present paper (1999) proved the ellipsoidal-to-CQP reduction for LPs (Theorem 3.1). Its proof relies on the conic duality theory of Nesterov and Nemirovski (1994) [6].

Setting

An uncertain linear program in the homogeneous form (6) is

min⁡{cTx∣Ax≥0, fTx=1},\min\{c^Tx \mid Ax \ge 0,\ f^Tx = 1\},min{cTx∣Ax≥0, fTx=1},

where c,f∈Rnc, f \in \mathbb R^nc,f∈Rn are fixed and the matrix A∈Rm×nA \in \mathbb R^{m\times n}A∈Rm×n lies in an uncertainty set U\mathcal UU. A point xxx is robust feasible if fTx=1f^Tx = 1fTx=1 and Ax≥0Ax \ge 0Ax≥0 for every A∈UA \in \mathcal UA∈U. The robust counterpart (PU)(P_{\mathcal U})(PU​) minimizes cTxc^TxcTx over the robust feasible set

GU={x∣Ax≥0 ∀A∈U, fTx=1}.G_{\mathcal U} = \{x \mid Ax \ge 0\ \forall A \in \mathcal U,\ f^Tx = 1\}.GU​={x∣Ax≥0 ∀A∈U, fTx=1}.

An ellipsoid in Rm×n\mathbb R^{m\times n}Rm×n (display (14)) is a set

U(Π,Q)={Π(u)∣∥Qu∥≤1},U(\Pi, Q) = \{\Pi(u) \mid \|Qu\| \le 1\},U(Π,Q)={Π(u)∣∥Qu∥≤1},

where Π(u)=P0+∑j=1LujPj\Pi(u) = P^0 + \sum_{j=1}^L u_jP^jΠ(u)=P0+∑j=1L​uj​Pj is affine in u∈RLu \in \mathbb R^Lu∈RL, QQQ is an M×LM\times LM×L matrix, and ∥⋅∥\|\cdot\|∥⋅∥ is the Euclidean norm. A singular QQQ gives an ellipsoidal cylinder, which may be unbounded. An ellipsoidal uncertainty is a set

U=⋂ℓ=0kU(Πℓ,Qℓ)\mathcal U = \bigcap_{\ell=0}^k U(\Pi_\ell, Q_\ell)U=ℓ=0⋂k​U(Πℓ​,Qℓ​)

(condition A) that is bounded (condition B) and contains a matrix AAA with A=Πℓ(uℓ)A = \Pi_\ell(u^\ell)A=Πℓ​(uℓ) and ∥Qℓuℓ∥<1\|Q_\ell u^\ell\| < 1∥Qℓ​uℓ∥<1 for every ℓ\ellℓ (condition C, a Slater condition).

Formalization targets

Goal: Theorem 3.1

For every x∈Rnx \in \mathbb R^nx∈Rn,

x∈GU  ⟺  fTx=1  and  ∀i≤m  ∃ λ(i),μ(i),ν(i): (x,λ(i),μ(i),ν(i)) satisfies (Ci).x \in G_{\mathcal U} \iff f^Tx = 1 \ \text{ and }\ \forall i \le m\ \ \exists\, \lambda^{(i)}, \mu^{(i)}, \nu^{(i)} :\ (x, \lambda^{(i)}, \mu^{(i)}, \nu^{(i)}) \text{ satisfies } (\mathcal C_i).x∈GU​⟺fTx=1  and  ∀i≤m  ∃λ(i),μ(i),ν(i): (x,λ(i),μ(i),ν(i)) satisfies (Ci​).

Here (Ci)(\mathcal C_i)(Ci​) is an explicit system: linear equations and one linear inequality in (x,λ,μ,ν)(x, \lambda, \mu, \nu)(x,λ,μ,ν), together with the second-order cone constraints ∥μℓ(i)∥≤νℓ(i)\|\mu^{(i)}_\ell\| \le \nu^{(i)}_\ell∥μℓ(i)​∥≤νℓ(i)​. Its coefficients are the matrices PℓjP^j_\ellPℓj​ and QℓQ_\ellQℓ​. The robust feasible set is therefore the projection of the feasible set of the conic quadratic program (CQP), which minimizes cTxc^TxcTx subject to (C1),…,(Cm)(\mathcal C_1), \dots, (\mathcal C_m)(C1​),…,(Cm​) and fTx=1f^Tx = 1fTx=1.

Milestones, in the order of the Appendix's proof

  1. U\mathcal UU equals the image of the feasible set of the problem (Pi[x])(P_i[x])(Pi​[x]) under u↦Π0(u0)u \mapsto \Pi_0(u^0)u↦Π0​(u0) (p. 15).
  2. Claim (I): with fTx=1f^Tx = 1fTx=1, xxx is robust feasible iff every (Pi[x])(P_i[x])(Pi​[x]) has nonnegative optimal value (p. 15).
  3. Claim (II): conic quadratic duality. A strictly feasible primal that is bounded below has a solvable dual with equal optimal value (p. 15).
  4. Conditions B and C make every (Pi[x])(P_i[x])(Pi​[x]) strictly feasible and bounded below (p. 16).

Companion results

The CQP forms (16) and (17) of the simplest cases (a single ellipsoid; constraint-wise ellipsoids), Remark 3.1 (bounded polytopes are ellipsoidal uncertainties), and the robust portfolio counterpart (22).

Significance

The result. Theorem 3.1 turns a semi-infinite constraint system (one constraint for every A∈UA \in \mathcal UA∈U) into finitely many conic quadratic constraints whose size is polynomial in the data. Robust LPs with ellipsoidal uncertainty, which by Remark 3.1 include polytopic uncertainty, can therefore be solved by standard conic solvers. Later robust optimization results, such as budgeted uncertainty, affinely adjustable policies and distributionally robust LPs, refine this pattern.

Formalizing it. The theorem is classical and its proof is complete, but no machine-checked proof exists. A formal proof needs a conic quadratic strong duality theorem with dual attainment (claim (II)), which Mathlib does not have in this form. That duality theorem can be reused well beyond this mission. The companion results (16), (17) and (22) are self-contained computations of a minimum of a linear function over a Euclidean ball.

Difficulty

The "if" direction is weak duality: a solution of (Ci)(\mathcal C_i)(Ci​) certifies that the iii-th constraint holds for all of U\mathcal UU. The content is the "only if" direction. It requires dual attainment, not merely equality of optimal values, because a solution of (Ci)(\mathcal C_i)(Ci​) must exist. Dual attainment fails without a constraint qualification. Condition C must hold strictly for every ellipsoid, including ℓ=0\ell = 0ℓ=0, and the ellipsoids may be cylinders, so the variables uℓu^\elluℓ can range over unbounded sets even though U\mathcal UU is bounded. Projecting the problem onto a single parameter space is not available in general, because the maps Πℓ\Pi_\ellΠℓ​ need not be injective.

Formalization scope

Vectors are Fin n → ℝ and matrices Matrix (Fin m) (Fin n) ℝ. The indices ℓ=0,…,k\ell = 0, \dots, kℓ=0,…,k are Fin (k + 1), and the kkk equality multipliers λℓ\lambda_\ellλℓ​, ℓ≥1\ell \ge 1ℓ≥1, are indexed by Fin k. Every norm is Euclidean, written out as euclidNorm v = √(∑ v_j²), because Mathlib's norm on Fin M → ℝ is the sup norm, under which ellipsoids would become boxes. Condition B is a uniform bound on all matrix entries, and condition C is required for every ℓ=0,…,k\ell = 0, \dots, kℓ=0,…,k. The page's words say "ℓ=1,…,k\ell = 1, \dots, kℓ=1,…,k", but its display and the proof use every ℓ\ellℓ. Injectivity of Πℓ\Pi_\ellΠℓ​ is not assumed, and neither is §2.1's standing assumption that U\mathcal UU is convex and closed. An ellipsoidal uncertainty is convex automatically, and closedness is not used, so both omissions generalize the statement. Three printed slips are corrected and disclosed: the sum in the equality constraint of (CQPd_dd​) runs over ℓ=0,…,k\ell = 0, \dots, kℓ=0,…,k; (Ci)(\mathcal C_i)(Ci​) has φ(i)[x]\varphi^{(i)}[x]φ(i)[x] where the page prints f(i)[x]f^{(i)}[x]f(i)[x]; and Remark 3.1 has the factor 2/(ri−si)2/(r_i - s_i)2/(ri​−si​) where the page prints (ri−si)/2(r_i - s_i)/2(ri​−si​)/2.

The goal is not the contentless statement "some conic quadratic program has GUG_{\mathcal U}GU​ as a projection", which holds for every closed convex set. It names the system (Ci)(\mathcal C_i)(Ci​) built from the data PℓjP^j_\ellPℓj​, QℓQ_\ellQℓ​. The goal also does not mention optimal values, (CQPp_pp​) or strict feasibility; those are milestones.

Contributions are welcome on the conic duality theorem (II) as a standalone result, on the finite-dimensional facts that minimize a linear function over a Euclidean ball (used in (16), (17) and (22)), and on the goal itself.

Selected references

  1. A. Ben-Tal, A. Nemirovski, Robust solutions of uncertain linear programs, Operations Research Letters 25(1):1–13, 1999. https://doi.org/10.1016/S0167-6377(99)00016-4
  2. A. Ben-Tal, L. El Ghaoui, A. Nemirovski, Robust Optimization, Princeton University Press, 2009. https://doi.org/10.1515/9781400831050
  3. D. Bertsimas, D. B. Brown, C. Caramanis, Theory and applications of robust optimization, SIAM Review 53(3):464–501, 2011. https://doi.org/10.1137/080734510
  4. A. L. Soyster, Convex programming with set-inclusive constraints and applications to inexact linear programming, Operations Research 21(5):1154–1157, 1973. https://doi.org/10.1287/opre.21.5.1154
  5. A. Ben-Tal, A. Nemirovski, Robust convex optimization, Mathematics of Operations Research 23(4):769–805, 1998. https://doi.org/10.1287/moor.23.4.769
  6. Yu. Nesterov, A. Nemirovski, Interior-Point Polynomial Algorithms in Convex Programming, SIAM Studies in Applied Mathematics 13, 1994. https://doi.org/10.1137/1.9781611970791
9 thms2 active usersReviewed
Convex OptimizationLinear OptimizationOperations Research·Captain: mikedeng1

Constructing Uncertainty Sets for Robust Linear Optimization 3: The Largest Centrally Symmetric Distortion Inner Approximation of a Polytope Solves a Linear ProgramResearch Paper

Motivation

A robust linear constraint a′x≥ba'x \ge ba′x≥b for all a∈Ua \in \mathcal Ua∈U protects a decision xxx against every realization of the data aaa in an uncertainty set U\mathcal UU. Robust optimization took this form in the work of Ben-Tal and Nemirovski (Math. Oper. Res. 1998; Oper. Res. Lett. 1999), where U\mathcal UU is chosen by the modeller. Bertsimas and Brown (Oper. Res. 2009) tie the choice of U\mathcal UU to the decision maker's attitude towards risk: on a finite sample A={a1,…,aN}\mathcal A = \{a_1,\dots,a_N\}A={a1​,…,aN​}, a coherent risk measure constraint μ(a~′x−b)≤0\mu(\tilde a'x - b) \le 0μ(a~′x−b)≤0 is equivalent to a robust constraint over a convex set built from A\mathcal AA, and for the distortion risk measures (the law-invariant, comonotone coherent measures, which include CVaR) that set is a polytope of a special kind, a permutohull.

An uncertainty set in practice is often an arbitrary polyhedron, given by the modeller or by previous analysis. Section 4.5 of the paper asks which distortion risk measure best approximates such a polyhedron from inside: the largest permutohull of a given shape contained in it. A positive answer quantifies how conservative a given polyhedral uncertainty set is relative to a distortion risk measure, and gives the risk measure that is closest to it. This mission is the third of a series of three on the paper; the first establishes the permutohull representation of distortion risk constraints, the second the generators of the centrally symmetric distortion measures.

Setting

Fix N≥1N \ge 1N≥1 and data a1,…,aN∈Rna_1,\dots,a_N \in \mathbb R^na1​,…,aN​∈Rn, the columns of a matrix AAA. Let eN∈RNe_N \in \mathbb R^NeN​∈RN have 1/N1/N1/N at each entry, so the sample mean is a^=AeN\hat a = Ae_Na^=AeN​.

  • The restricted simplex Δ^N\hat\Delta^NΔ^N is the set of probability vectors q∈RNq \in \mathbb R^Nq∈RN with q1≥⋯≥qNq_1 \ge \dots \ge q_Nq1​≥⋯≥qN​. Under the uniform probability on NNN points, the distortion risk measures are exactly the maps μq(X)=−∑iqix(i)\mu_q(X) = -\sum_i q_i x_{(i)}μq​(X)=−∑i​qi​x(i)​, q∈Δ^Nq \in \hat\Delta^Nq∈Δ^N, with x(1)≤⋯≤x(N)x_{(1)} \le \dots \le x_{(N)}x(1)​≤⋯≤x(N)​ the ordered values of XXX (Theorem 4.2 of the paper).
  • For q∈RNq \in \mathbb R^Nq∈RN, the qqq-permutohull is Πq(A)=conv⁡{∑iqσ(i)ai:σ∈SN}\Pi_q(\mathcal A) = \operatorname{conv}\{\sum_i q_{\sigma(i)} a_i : \sigma \in S_N\}Πq​(A)=conv{∑i​qσ(i)​ai​:σ∈SN​}. The robust constraint over Πq(A)\Pi_q(\mathcal A)Πq​(A) is the risk constraint for μq\mu_qμq​.
  • The symmetric restricted simplex Δ^symN\hat\Delta^N_{\mathrm{sym}}Δ^symN​ is the set of q∈Δ^Nq \in \hat\Delta^Nq∈Δ^N with q=2eN−qσq = 2e_N - q_\sigmaq=2eN​−qσ​ for some permutation σ\sigmaσ, where (qσ)i=qσ(i)(q_\sigma)_i = q_{\sigma(i)}(qσ​)i​=qσ(i)​. For these qqq the permutohull is centrally symmetric about a^\hat aa^.
  • With π~q(A)=Πq(A)−a^\tilde\pi_q(\mathcal A) = \Pi_q(\mathcal A) - \hat aπ~q​(A)=Πq​(A)−a^, the Minkowski functional
∥w∥q,A=inf⁡{α>0:w/α∈π~q(A)}\|w\|_{q,\mathcal A} = \inf\{\alpha > 0 : w/\alpha \in \tilde\pi_q(\mathcal A)\}∥w∥q,A​=inf{α>0:w/α∈π~q​(A)}

measures w=a−a^w = a - \hat aw=a−a^ against the shifted permutohull (12).

  • The polyhedron is U={a∈Rn:uk′a≥vk, k=1,…,m}\mathcal U = \{a \in \mathbb R^n : u_k'a \ge v_k,\ k = 1,\dots,m\}U={a∈Rn:uk′​a≥vk​, k=1,…,m} (14), with a^∈U\hat a \in \mathcal Ua^∈U.

The family of candidate inner approximations is obtained by mixing a fixed q^∈Δ^symN\hat q \in \hat\Delta^N_{\mathrm{sym}}q^​∈Δ^symN​ with the uniform generator: q=λq^+(1−λ)eNq = \lambda\hat q + (1-\lambda)e_Nq=λq^​+(1−λ)eN​, λ∈R\lambda \in \mathbb Rλ∈R.

Formalization targets

Goal: Theorem 4.5

Let λ∗\lambda^*λ∗ be the optimal value of the linear program

max⁡ λs.t.q=λq^+(1−λ)e/N,e′(sk+tk)≥vk ∀k,sk,i+tk,j≤(uk′aj) qi ∀i,j,k,(15)\max\ \lambda\quad\text{s.t.}\quad q = \lambda\hat q + (1-\lambda)e/N,\quad e'(s_k + t_k) \ge v_k\ \forall k,\quad s_{k,i} + t_{k,j} \le (u_k'a_j)\,q_i\ \forall i,j,k, \tag{15}max λs.t.q=λq^​+(1−λ)e/N,e′(sk​+tk​)≥vk​ ∀k,sk,i​+tk,j​≤(uk′​aj​)qi​ ∀i,j,k,(15)

in sk,tk,q∈RNs_k, t_k, q \in \mathbb R^Nsk​,tk​,q∈RN and λ∈R\lambda \in \mathbb Rλ∈R, and q∗=λ∗q^+(1−λ∗)eNq^* = \lambda^*\hat q + (1-\lambda^*)e_Nq∗=λ∗q^​+(1−λ∗)eN​. Then

Πq∗(A)⊆U,Πλq^+(1−λ)eN(A)⊆U  ⟹  Πλq^+(1−λ)eN(A)⊆Πq∗(A),\Pi_{q^*}(\mathcal A) \subseteq \mathcal U,\qquad \Pi_{\lambda\hat q + (1-\lambda)e_N}(\mathcal A) \subseteq \mathcal U \implies \Pi_{\lambda\hat q + (1-\lambda)e_N}(\mathcal A) \subseteq \Pi_{q^*}(\mathcal A),Πq∗​(A)⊆U,Πλq^​+(1−λ)eN​​(A)⊆U⟹Πλq^​+(1−λ)eN​​(A)⊆Πq∗​(A),

and, when q^≠eN\hat q \ne e_Nq^​=eN​, q∗∈Δ^Nq^* \in \hat\Delta^Nq∗∈Δ^N if and only if

λ∗≤11−Nq^min⁡.(16)\lambda^* \le \frac{1}{1 - N\hat q_{\min}}. \tag{16}λ∗≤1−Nq^​min​1​.(16)

Milestones

  1. Proposition 4.2: for q∈Δ^symNq \in \hat\Delta^N_{\mathrm{sym}}q∈Δ^symN​ with Πq(A)\Pi_q(\mathcal A)Πq​(A) of nonempty interior, ∥⋅∥q,A\|\cdot\|_{q,\mathcal A}∥⋅∥q,A​ is a norm.
  2. Scaling (proof of Lemma 4.2): Πλq+(1−λ)eN(A)=a^+λ π~q(A)\Pi_{\lambda q + (1-\lambda)e_N}(\mathcal A) = \hat a + \lambda\,\tilde\pi_q(\mathcal A)Πλq+(1−λ)eN​​(A)=a^+λπ~q​(A) for every q∈RNq \in \mathbb R^Nq∈RN, λ∈R\lambda \in \mathbb Rλ∈R.
  3. Lemma 4.2: ∥a−a^∥λq+(1−λ)eN,A=1∣λ∣∥a−a^∥q,A\|a - \hat a\|_{\lambda q + (1-\lambda)e_N,\mathcal A} = \frac{1}{|\lambda|}\|a - \hat a\|_{q,\mathcal A}∥a−a^∥λq+(1−λ)eN​,A​=∣λ∣1​∥a−a^∥q,A​ for q∈Δ^symNq \in \hat\Delta^N_{\mathrm{sym}}q∈Δ^symN​, λ≠0\lambda \ne 0λ=0.
  4. Containment as linear constraints (proof of Theorem 4.5): Πq(A)⊆U\Pi_q(\mathcal A) \subseteq \mathcal UΠq​(A)⊆U iff vectors sk,tks_k, t_ksk​,tk​ satisfying the constraints of (15) exist, for every q∈RNq \in \mathbb R^Nq∈RN.
  5. Nonnegativity (proof of Theorem 4.5): for λ≥0\lambda \ge 0λ≥0 and Nq^min⁡<1N\hat q_{\min} < 1Nq^​min​<1, λq^+(1−λ)eN∈Δ^N\lambda\hat q + (1-\lambda)e_N \in \hat\Delta^Nλq^​+(1−λ)eN​∈Δ^N iff λ≤1/(1−Nq^min⁡)\lambda \le 1/(1 - N\hat q_{\min})λ≤1/(1−Nq^​min​).

Significance

The theorem reduces a geometric question — the largest member of a one-parameter family of centrally symmetric polytopes, each with N!N!N! potential vertices, that fits inside an arbitrary polyhedron — to a linear program with O(mN)O(mN)O(mN) variables and O(mN2)O(mN^2)O(mN2) constraints. Its solution identifies a distortion risk measure μ=λ∗μq^+(1−λ∗)E[−X]\mu = \lambda^*\mu_{\hat q} + (1-\lambda^*)\mathbb E[-X]μ=λ∗μq^​​+(1−λ∗)E[−X], which the paper reads as a mean–deviation measure in the style of a Sharpe ratio, and the bound (16) decides whether the optimal set is itself a distortion set or must be shrunk further.

The results are proved in the paper, with short proofs that pass over several points: the scaling identity is asserted, the duality step leaves the assignment-problem structure implicit, and the norm claim requires a nondegeneracy condition that the page does not state. No machine-checked proof of any of them is known. A formalization fixes the exact hypotheses (nonempty interior for the norm, λ≠0\lambda \ne 0λ=0 in (13), q^≠eN\hat q \ne e_Nq^​=eN​ in (16)), and the containment equivalence for arbitrary real weight vectors qqq is a reusable fact about permutohulls and assignment duality.

Difficulty

The goal combines three ingredients of different nature. The containment equivalence needs that minimizing a linear function over the permutohull is a linear program over the Birkhoff polytope of doubly stochastic matrices, followed by linear programming duality for that program; neither the Birkhoff–von Neumann theorem nor assignment duality is a one-line consequence of what is in Mathlib. The scaling identity is a statement about convex hulls under an affine map and holds for all real λ\lambdaλ, including the reflected case λ<0\lambda < 0λ<0; the maximality claim then needs the central symmetry of Πq^(A)\Pi_{\hat q}(\mathcal A)Πq^​​(A) about a^\hat aa^, which is a property of Δ^symN\hat\Delta^N_{\mathrm{sym}}Δ^symN​ (Proposition 4.1 of the paper) and not of a general qqq. The tempting shortcut — comparing gauges directly — fails at λ=0\lambda = 0λ=0, where the permutohull is the single point a^\hat aa^ and the gauge is degenerate.

Formalization scope

Vectors in RN\mathbb R^NRN and Rn\mathbb R^nRn are Fin N → ℝ and Fin n → ℝ, with 000-based indices; aia_iai​ is a i, uk′au_k'auk′​a is a dot product. Δ^N\hat\Delta^NΔ^N uses Mathlib's stdSimplex and Antitone. The permutohull is convexHull of the range over Equiv.Perm (Fin N), defined for every real qqq because (15) evaluates it at mixtures with possibly negative entries. The Minkowski functional is Mathlib's gauge, which takes the value 000 (not +∞+\infty+∞) on points no positive multiple of the set reaches; this is why Proposition 4.2 assumes Πq(A)\Pi_q(\mathcal A)Πq​(A) has nonempty interior and why the goal states "largest" as set containment. q^min⁡\hat q_{\min}q^​min​ is min⁡iq^i\min_i \hat q_imini​q^​i​. The optimal value λ∗\lambda^*λ∗ is a hypothesis (it is the greatest element of the feasible set of (15)), not a supremum defined by sSup.

Standing assumptions and disclosed additions: N≥1N \ge 1N≥1; the polyhedron (14) is not assumed bounded (a generalization); in (13) the right-hand norm is that of qqq, not q~\tilde qq~​ as printed, and λ≠0\lambda \ne 0λ=0; in (16), Nq^min⁡<1N\hat q_{\min} < 1Nq^​min​<1; "corresponds to a distortion risk measure" is read, as the proof reads it, as q∗∈Δ^Nq^* \in \hat\Delta^Nq∗∈Δ^N. A formalization that assumes Πq∗(A)⊆U\Pi_{q^*}(\mathcal A) \subseteq \mathcal UΠq∗​(A)⊆U or the maximality of λ∗\lambda^*λ∗ trivializes the theorem: both are conclusions, and the linear program enters only through its constraints and its optimal value.

A complete development needs: convex hulls under affine maps; the Birkhoff–von Neumann theorem (doubly stochastic matrices are convex combinations of permutation matrices); duality for the assignment linear program; gauge calculus for centrally symmetric convex bodies. The containment equivalence and the scaling identity are reusable beyond this mission. Proofs of any milestone, and of the Birkhoff and assignment-duality infrastructure, are welcome.

Selected references

  • D. Bertsimas and D. B. Brown, Constructing uncertainty sets for robust linear optimization, Operations Research 57(6):1483–1495, 2009. https://doi.org/10.1287/opre.1080.0646
  • A. Ben-Tal and A. Nemirovski, Robust convex optimization, Mathematics of Operations Research 23(4):769–805, 1998. https://doi.org/10.1287/moor.23.4.769
  • A. Ben-Tal and A. Nemirovski, Robust solutions of uncertain linear programs, Operations Research Letters 25(1):1–13, 1999. https://doi.org/10.1016/S0167-6377(99)00016-4
  • P. Artzner, F. Delbaen, J.-M. Eber and D. Heath, Coherent measures of risk, Mathematical Finance 9(3):203–228, 1999. https://doi.org/10.1111/1467-9965.00068
7 thms2 active usersReviewed
Control TheoryDynamic ProgrammingOperations Research+1·Captain: mikedeng1

Optimality of Affine Policies in Multistage Robust Optimization: In One-Dimensional Constrained Min-Max Control, Disturbance-Affine Policies with Affine Stage Costs Attain the Optimal ValueResearch Paper

Motivation

Multistage robust optimization chooses decisions over time while an adversary picks the uncertain data from a known set; every later decision may react to what has been observed. The exact problem is a nested min-max over functions of the past, and is intractable in general. The standard workaround, proposed by Ben-Tal, Goryashko, Guslitzer and Nemirovski (Math. Program. 2004), restricts every decision to an affine function of the observed disturbances. The restricted problem is a single convex (often linear) program, which is why disturbance-affine policies are used throughout robust control, inventory management and model predictive control. The price is suboptimality, and before this paper there was no nontrivial multistage problem in which that price was known to be zero.

Bertsimas, Iancu and Parrilo (arXiv:0904.3986, 2009; Math. Oper. Res. 35(2), 2010) proved that for one-dimensional linear dynamics with box constraints on controls and disturbances, linear control costs and convex state costs, disturbance-affine policies are exactly optimal. Their companion paper (Bertsimas & Goyal, Math. Program. 2012) shows how poorly affine policies can perform in other settings, so the one-dimensional result marks one side of the boundary between models where affine policies are exact and models where they are not.

Setting

Fix a horizon TTT and an initial state x1∈Rx_1\in\mathbb Rx1​∈R. For each stage k=1,…,Tk=1,\dots,Tk=1,…,T there are a per-unit control cost ck≥0c_k\ge0ck​≥0, control bounds Lk≤UkL_k\le U_kLk​≤Uk​, disturbance bounds w‾k≤w‾k\underline w_k\le\overline w_kw​k​≤wk​, and a state cost hk:R→Rh_k:\mathbb R\to\mathbb Rhk​:R→R that is convex and coercive. The state evolves as

xk+1=xk+uk+wk,uk∈[Lk,Uk],wk∈Wk=[w‾k,w‾k].x_{k+1}=x_k+u_k+w_k,\qquad u_k\in[L_k,U_k],\qquad w_k\in\mathcal W_k=[\underline w_k,\overline w_k].xk+1​=xk​+uk​+wk​,uk​∈[Lk​,Uk​],wk​∈Wk​=[w​k​,wk​].

The controller chooses uku_kuk​ after seeing xkx_kxk​; the adversary then chooses wkw_kwk​. The min-max value JmMJ_{mM}JmM​ is the value of the nested problem min⁡u1[c1u1+max⁡w1[h1(x2)+min⁡u2[⋯ ]]]\min_{u_1}[c_1u_1+\max_{w_1}[h_1(x_2)+\min_{u_2}[\cdots]]]minu1​​[c1​u1​+maxw1​​[h1​(x2​)+minu2​​[⋯]]], computed by the Bellman recursion with JT+1∗≡0J^*_{T+1}\equiv0JT+1∗​≡0:

gk(y)=max⁡w∈Wk[hk(y+w)+Jk+1∗(y+w)],Jk∗(x)=min⁡Lk≤u≤Uk[cku+gk(x+u)],JmM=J1∗(x1).g_k(y)=\max_{w\in\mathcal W_k}\big[h_k(y+w)+J^*_{k+1}(y+w)\big],\qquad J^*_k(x)=\min_{L_k\le u\le U_k}\big[c_ku+g_k(x+u)\big],\qquad J_{mM}=J^*_1(x_1).gk​(y)=w∈Wk​max​[hk​(y+w)+Jk+1∗​(y+w)],Jk∗​(x)=Lk​≤u≤Uk​min​[ck​u+gk​(x+u)],JmM​=J1∗​(x1​).

An affine control policy and an affine running cost at stage kkk are

qk(w)=qk,0+∑t=1k−1qk,twt,zk(w)=zk,0+∑t=1kzk,twt,q_k(w)=q_{k,0}+\sum_{t=1}^{k-1}q_{k,t}w_t,\qquad z_k(w)=z_{k,0}+\sum_{t=1}^{k}z_{k,t}w_t,qk​(w)=qk,0​+t=1∑k−1​qk,t​wt​,zk​(w)=zk,0​+t=1∑k​zk,t​wt​,

so qkq_kqk​ sees the disturbances before stage kkk and zkz_kzk​ those up to stage kkk. Under these policies the state after stage kkk is x1+∑t≤k(qt(w)+wt)x_1+\sum_{t\le k}(q_t(w)+w_t)x1​+∑t≤k​(qt​(w)+wt​).

Formalization targets

Goal: Theorem 3.1

There exist affine policies qkq_kqk​ and affine costs zkz_kzk​ such that, for every k=1,…,Tk=1,\dots,Tk=1,…,T,

Lk≤qk(w)≤Uk∀w∈W1×⋯×Wk−1,L_k\le q_k(w)\le U_k\quad\forall w\in\mathcal W_1\times\dots\times\mathcal W_{k-1},Lk​≤qk​(w)≤Uk​∀w∈W1​×⋯×Wk−1​, zk(w)≥hk(x1+∑t=1k(qt(w)+wt))∀w∈W1×⋯×Wk,z_k(w)\ge h_k\Big(x_1+\sum_{t=1}^k(q_t(w)+w_t)\Big)\quad\forall w\in\mathcal W_1\times\dots\times\mathcal W_k,zk​(w)≥hk​(x1​+t=1∑k​(qt​(w)+wt​))∀w∈W1​×⋯×Wk​, JmM=max⁡w1,…,wk[∑t=1k(ctqt(w)+zt(w))+Jk+1∗(x1+∑t=1k(qt(w)+wt))].J_{mM}=\max_{w_1,\dots,w_k}\Big[\sum_{t=1}^k\big(c_tq_t(w)+z_t(w)\big)+J^*_{k+1}\Big(x_1+\sum_{t=1}^k(q_t(w)+w_t)\Big)\Big].JmM​=w1​,…,wk​max​[t=1∑k​(ct​qt​(w)+zt​(w))+Jk+1∗​(x1​+t=1∑k​(qt​(w)+wt​))].

At k=Tk=Tk=T this says that affine policies are robustly feasible and attain the min-max value.

Milestones

  1. Lemma 7.1 (with (8)–(9), P2): Jk∗J^*_kJk∗​ and gkg_kgk​ are convex, and the optimal control is the clamp max⁡(Lk,min⁡(Uk,y∗−x))\max(L_k,\min(U_k,y^*-x))max(Lk​,min(Uk​,y∗−x)) for a minimizer y∗y^*y∗ of cky+gk(y)c_ky+g_k(y)ck​y+gk​(y).
  2. P3: the clamp is non-increasing and 1-Lipschitz.
  3. Lemma 4.1: the maximum of θ1+f(θ2)\theta_1+f(\theta_2)θ1​+f(θ2​), fff convex, over a planar zonogon Θ=π([0,1]k)\Theta=\pi([0,1]^k)Θ=π([0,1]k) is attained at one of the k+1k+1k+1 vertices on its right side.
  4. Corollary 4.1: the maximum of θ1+f(θ2)\theta_1+f(\theta_2)θ1​+f(θ2​) is unchanged when a polygon is replaced by its convex hull, its vertex set, its right side, or the zonogon hull of its vertices.
  5. Lemma 4.2: after the optimal control is applied, the worst case is reached on the right side of conv⁡{v~0,…,v~k}\operatorname{conv}\{\tilde v_0,\dots,\tilde v_k\}conv{v~0​,…,v~k​}.
  6. Lemma 4.4: the matching-and-alignment system (37) defining the affine controller is feasible, and its solutions satisfy −bi≤qi≤0-b_i\le q_i\le0−bi​≤qi​≤0 and L≤q(w)≤UL\le q(w)\le UL≤q(w)≤U.
  7. Lemma 4.8 and Lemma 4.9: the affine cost defined by system (51)–(53) dominates the convex cost, first at the hypercube vertices, then on the whole hypercube.

Significance

The theorem is one of the few exact optimality results for affine policies in multistage robust optimization. Combined with linear programming duality it has a computational corollary: when the hkh_khk​ are piecewise affine, an optimal policy for the full min-max problem is obtained from a single linear program (the affinely adjustable robust counterpart, p. 5), instead of a dynamic program over a continuous state. The construction also shows what is special about one dimension: the relevant uncertainty enters only through a planar zonogon, whose right side has at most k+1k+1k+1 vertices, matching the k+1k+1k+1 coefficients of an affine policy.

The result is proved in the literature, not formalized; no machine-checked proof of it, or of the zonogon lemmas it uses, is known. The formalization adds a checked proof of the main theorem and of the planar convexity facts (Lemma 4.1, Corollary 4.1) that are reusable for other zonotope arguments. It also closes the gaps the preprint leaves to the reader: Assumption 2 is removed by an infinitesimal perturbation argument, footnote 4 assumes a unique minimizer of cky+gk(y)c_ky+g_k(y)ck​y+gk​(y), and Lemma 4.3 is proved in one sub-case only.

Difficulty

Dynamic programming gives the optimal control as a function of the current state, uk∗(xk)u^*_k(x_k)uk∗​(xk​), which is piecewise affine in xkx_kxk​ with up to three pieces. Since xkx_kxk​ is affine in past disturbances, the obvious idea is to substitute; but the composition is piecewise affine, not affine, in the disturbances, and no single affine function reproduces it. An affine policy is necessarily suboptimal at some disturbance sequences. The theorem asserts only that it is never suboptimal at the worst case, and that the excess cost it causes can be absorbed into an affine cost zkz_kzk​ that still dominates hkh_khk​. Establishing this requires controlling where a convex objective is maximized over a zonogon, and showing that the affine controller and the affine cost can be chosen to reproduce exactly the right-side vertices that matter, at every stage, while staying feasible. A naive matching of all 2k2^k2k vertices of the disturbance box is overdetermined.

Formalization scope

Stages are indexed by Fin T (0-based). The model is the reduced form (DP) of §2, with dynamics coefficients equal to 1; the paper notes that this is without loss of generality. The standing hypotheses are those of Problem 1.1 (ck≥0c_k\ge0ck​≥0, hkh_khk​ convex and coercive) plus two disclosed additions, Lk≤UkL_k\le U_kLk​≤Uk​ and w‾k≤w‾k\underline w_k\le\overline w_kw​k​≤wk​: the page writes both as intervals but does not say they are nonempty. Jk∗J^*_kJk∗​ is defined by the Bellman recursion with sSup/sInf over images of nonempty compact intervals of continuous functions, so the values are attained maxima and minima. The max in (14) is stated with IsGreatest, which asserts attainment.

The goal carries none of the proof's normalizations (Assumptions 1–3 of p. 10, the unique minimizer of footnote 4). The milestones of §4 are stated in the paper's simplified notation: the unit hypercube, generators ordered as in (32) (cross-multiplied), the clamp form of the optimal control law (the printed (8) has misprinted thresholds), and, where the paper divides by bib_ibi​, the hypothesis bi>0b_i>0bi​>0. Lemma 4.4 takes Lemma 4.3's conclusions as hypotheses; Lemmas 4.8–4.9 take system (51)–(53) (with two misprints of (53) corrected) as hypotheses instead of "computed by Algorithm 2". Every fraction in a system is cross-multiplied.

Trivializing formalizations are ruled out. (14) uses a maximum over a nonempty box of a continuous function, with the true Jk+1∗J^*_{k+1}Jk+1∗​. The policies read only past disturbances (sums over t<kt<kt<k, resp. t≤kt\le kt≤k). JmMJ_{mM}JmM​ is the Bellman value over all state-feedback controls, not the value of the affine problem.

The development needs convexity of value functions under partial minimization and maximization, extreme points of planar polygons, and maxima of convex functions over polytopes. Contributions of independent planar-geometry lemmas are welcome, as are proofs of Lemma 4.3 (not stated here) and of the remaining construction lemmas 4.5–4.7.

Selected references

  • D. Bertsimas, D. A. Iancu, P. A. Parrilo, Optimality of Affine Policies in Multi-stage Robust Optimization, arXiv:0904.3986v1, 2009; Mathematics of Operations Research 35(2):363–394, 2010. https://arxiv.org/abs/0904.3986, https://doi.org/10.1287/moor.1100.0444
  • A. Ben-Tal, A. Goryashko, E. Guslitzer, A. Nemirovski, Adjustable robust solutions of uncertain linear programs, Mathematical Programming 99(2):351–376, 2004. https://doi.org/10.1007/s10107-003-0454-y
  • D. Bertsimas, V. Goyal, On the power and limitations of affine policies in two-stage adaptive optimization, Mathematical Programming 134(2):491–531, 2012. https://doi.org/10.1007/s10107-011-0444-4
  • G. M. Ziegler, Lectures on Polytopes, Springer GTM 152, 1995 (Chapter 7, zonotopes). https://doi.org/10.1007/978-1-4613-8431-1
11 thms2 active usersReviewed
Convex OptimizationOperations ResearchProbability+1·Captain: mikedeng1

Data-Driven Robust Optimization II: With Known Finite Support, the χ² and G Uncertainty Sets Bound the Worst-Case Value at Risk over Their Confidence RegionsResearch Paper

Motivation

Robust optimization replaces uncertain data by a set of possible values and requires a decision to work for every value in that set. A central question is how to choose the set from data so that robust feasibility also gives a specified chance of satisfying the original constraint. Bertsimas, Gupta, and Kallus study this question for several sampling models in Data-Driven Robust Optimization. Their finite-support construction addresses a practical case: the uncertain vector can take one of finitely many known outcomes, while their probabilities must be inferred from observations. The resulting sets use classical goodness-of-fit tests to account for uncertainty in those probabilities. Bertsimas, Gupta, and Kallus, §§2–4, pp. 2–13.

In this case the support vectors are known in advance, so the problem is not to discover which outcomes are possible. The question is how much confidence to place in their estimated frequencies and how to turn that confidence region into a set of uncertain vectors suitable for a robust constraint. The paper gives two answers, one based on Pearson's chi-square statistic and one based on the likelihood-ratio, or G, statistic. Both answers are meant to work at every requested risk level 0<ϵ<10<\epsilon<10<ϵ<1 for the same observed sample. Bertsimas, Gupta, and Kallus, Theorem 4, p. 13.

Setting

Let a0,…,an−1∈Rda_0,\ldots,a_{n-1}\in\mathbb R^da0​,…,an−1​∈Rd be the listed possible outcomes. A probability vector p=(pj)p=(p_j)p=(pj​) belongs to the simplex Δn\Delta_nΔn​ when all pjp_jpj​ are nonnegative and ∑jpj=1\sum_jp_j=1∑j​pj​=1. It determines the finite-support law Pp=∑jpjδajP_p=\sum_jp_j\delta_{a_j}Pp​=∑j​pj​δaj​​. From a sample one obtains the empirical frequencies p^∈Δn\hat p\in\Delta_np^​∈Δn​. A nonnegative number ρ\rhoρ records the test threshold; in the paper it is χn−1,1−α2/(2N)\chi^2_{n-1,1-\alpha}/(2N)χn−1,1−α2​/(2N), where NNN is sample size and α\alphaα is the test's significance level. Bertsimas, Gupta, and Kallus, (10), p. 12.

The Pearson confidence region Pχ2\mathcal P^{\chi^2}Pχ2 contains candidates p∈Δnp\in\Delta_np∈Δn​ satisfying ∑j(pj−p^j)2/(2pj)≤ρ\sum_j(p_j-\hat p_j)^2/(2p_j)\le\rho∑j​(pj​−p^​j​)2/(2pj​)≤ρ. The G confidence region PG\mathcal P^GPG instead requires D(p^,p)≤ρD(\hat p,p)\le\rhoD(p^​,p)≤ρ, with relative entropy D(r,p)=∑jrjlog⁡(rj/pj)D(r,p)=\sum_jr_j\log(r_j/p_j)D(r,p)=∑j​rj​log(rj​/pj​). In either region, a candidate pj=0p_j=0pj​=0 is excluded when p^j>0\hat p_j>0p^​j​>0: the source's divergence is then infinite. If both entries are zero, that coordinate contributes zero. These conventions matter because ordinary real division and logarithm in Lean have total values at zero. Bertsimas, Gupta, and Kallus, (10), p. 12.

For a direction v∈Rdv\in\mathbb R^dv∈Rd, value at risk VaR⁡ϵPp(v)\operatorname{VaR}^{P_p}_\epsilon(v)VaRϵPp​​(v) is the lower 1−ϵ1-\epsilon1−ϵ quantile of the scalar loss uTvu^{\mathsf T}vuTv. Conditional value at risk is the minimum over real ttt of t+ϵ−1∑jpj(ajTv−t)+t+\epsilon^{-1}\sum_jp_j(a_j^{\mathsf T}v-t)^+t+ϵ−1∑j​pj​(ajT​v−t)+. The paper's auxiliary set UϵCVaR⁡PpU^{\operatorname{CVaR}_{P_p}}_\epsilonUϵCVaRPp​​​ reweights the outcomes with another probability vector qqq constrained by qj≤pj/ϵq_j\le p_j/\epsilonqj​≤pj​/ϵ. The two data-driven uncertainty sets Uϵχ2U^{\chi^2}_\epsilonUϵχ2​ and UϵGU^G_\epsilonUϵG​ allow such a reweighting for some ppp in the corresponding confidence region. Their support function δ∗(v∣U)\delta^*(v\mid U)δ∗(v∣U) is the largest uTvu^{\mathsf T}vuTv over u∈Uu\in Uu∈U. Bertsimas, Gupta, and Kallus, (11)–(13), pp. 12–13; Theorem EC.1, p. ec2.

Formalization targets

The first target is the paper's finite-support CVaR identity and the comparison between the two risk measures:

VaR⁡ϵPp(v)≤CVaR⁡ϵPp(v)=δ∗(v∣UϵCVaR⁡Pp).\operatorname{VaR}^{P_p}_\epsilon(v) \le \operatorname{CVaR}^{P_p}_\epsilon(v) =\delta^*(v\mid U^{\operatorname{CVaR}_{P_p}}_\epsilon).VaRϵPp​​(v)≤CVaRϵPp​​(v)=δ∗(v∣UϵCVaRPp​​​).

The goal is Theorem 4's deterministic claim, simultaneously for all 0<ϵ<10<\epsilon<10<ϵ<1. For each ppp in the relevant confidence region, it asks for both bounds

VaR⁡ϵPp(v)≤δ∗(v∣Uϵχ2),VaR⁡ϵPp(v)≤δ∗(v∣UϵG)\operatorname{VaR}^{P_p}_\epsilon(v)\le\delta^*(v\mid U^{\chi^2}_\epsilon), \qquad \operatorname{VaR}^{P_p}_\epsilon(v)\le\delta^*(v\mid U^G_\epsilon)VaRϵPp​​(v)≤δ∗(v∣Uϵχ2​),VaRϵPp​​(v)≤δ∗(v∣UϵG​)

for every vvv, with each uncertainty set nonempty, convex, and compact. A supporting milestone identifies each support function as the supremum of CVaR over its confidence region. The paper also displays conic optimization programs for these support functions in (14) and (15); those programs are outside this mission's drafted statements. Bertsimas, Gupta, and Kallus, Theorem 4, p. 13; proof, p. ec2.

Significance

The bounds give a way to certify the directional risk of every candidate distribution accepted by a goodness-of-fit test. For a nonempty convex compact uncertainty set, the paper's Theorem 1 turns this directional condition into a probabilistic guarantee for every constraint concave in the uncertain vector. Theorem 4 adds the sampling claim through coverage of the confidence region: when the true finite-support distribution belongs to that region, the whole family indexed by ϵ\epsilonϵ receives the guarantee. The statistical tests use chi-square approximations, so their advertised coverage is asymptotic rather than an exact finite-sample result. Bertsimas, Gupta, and Kallus, Theorems 1–4, pp. 10–13.

The paper proves the mathematical result. This mission asks for machine-checked proofs of its finite-dimensional definitions, the CVaR identity, the worst-case support identities, and the deterministic risk bounds. The drafted Lean statements are open goals. A completed development would also give reusable facts about finite-support risk measures and support functions under divergence-constrained probabilities. It would leave the test coverage calculation and the explicit programs (14)–(15) for separate work.

Difficulty

The risk comparison alone does not identify a robust uncertainty set: the support function must agree with the worst-case CVaR over an entire region of probability vectors. This brings a finite-dimensional optimization identity into the formal proof, including attainment and the relationship between reweightings and distributions. Boundary coordinates create another difficulty. The Pearson expression divides by pjp_jpj​, and the G expression contains log⁡(p^j/pj)\log(\hat p_j/p_j)log(p^​j​/pj​); silently accepting Lean's values at zero would enlarge the regions and change the theorem. The support function and CVaR are real infima or suprema, so their nonempty, bounded domains must also be established. Bertsimas, Gupta, and Kallus, (10)–(13), pp. 12–13; proof, p. ec2.

Formalization scope

Lean represents outcomes and probability vectors as functions on Fin d and Fin n; indices start at zero. The simplex is Mathlib's stdSimplex. The law is a finite sum of point masses. If two listed vectors coincide, their point masses aggregate; the paper's notation pj=Pp(u~=aj)p_j=P_p(\tilde u=a_j)pj​=Pp​(u~=aj​) is recovered with the intended distinct listing. Value at risk and the support function reuse published Prove2Me definitions; the finite-vector relative entropy also reuses a published definition, guarded at zero in this mission's G region. CVaR uses a real sInf, equal to the paper's minimum for a simplex law and 0<ϵ<10<\epsilon<10<ϵ<1. No statement applies it outside that domain.

The goal assumes p^∈Δn\hat p\in\Delta_np^​∈Δn​ and ρ≥0\rho\ge0ρ≥0. These express, respectively, that the center is an empirical probability vector and that the chi-square threshold is nonnegative. It quantifies over every 0<ϵ<10<\epsilon<10<ϵ<1, with the same confidence regions for all levels. The paper's sample size, chi-square quantile, and significance level are compressed into ρ\rhoρ; coverage of the true distribution by the test is a separate statistical premise and is not formalized here. The source's P∗\mathbb P^*P∗ is represented by Pp∗P_{p^*}Pp∗​ for a supported probability vector p∗p^*p∗. The draft does not treat an arbitrary unsupported law as a member of the confidence region.

The nonempty and compact conclusions rule out a zero returned by a support function on an empty or unbounded set. The zero-denominator guards rule out candidates the paper assigns infinite divergence. Contributions needed to close the mission include finite-simplex geometry, the finite-support CVaR identity, continuity of the divergence regions at boundary coordinates, and the risk-bound theorem. Those facts can be reused in later data-driven robust optimization developments.

Selected references

  • Dimitris Bertsimas, Vishal Gupta, and Nathan Kallus, Data-Driven Robust Optimization, arXiv:1401.0212v2, 2014; revised version in Mathematical Programming 167 (2018), 235–292. Preprint.
8 thms2 active usersReviewed
Convex OptimizationOperations ResearchProbability+1·Captain: mikedeng1

Data-Driven Robust Optimization III: For Independent Marginals, the Kolmogorov–Smirnov Set U^I Has Support Function (19) and Bounds the Worst-Case Value at RiskResearch Paper

Motivation

A robust linear constraint f(u,x)≤0f(\mathbf u,\mathbf x)\le 0f(u,x)≤0 for all u∈U\mathbf u\in\mathcal Uu∈U replaces an uncertain parameter u~\tilde{\mathbf u}u~ by a deterministic uncertainty set U⊆Rd\mathcal U\subseteq\mathbb R^dU⊆Rd. Bertsimas, Gupta and Kallus (arXiv:1401.0212v2; Math. Program. 167, 2018) build such sets directly from data. Their requirement is a probabilistic guarantee: every robust-feasible decision should satisfy the constraint with probability at least 1−ϵ1-\epsilon1−ϵ under the true distribution P∗\mathbb P^*P∗, and this should hold with probability at least 1−α1-\alpha1−α over the sample. The construction runs a statistical hypothesis test, takes its confidence region of distributions, and turns the worst-case Value at Risk over that region into a set.

This mission covers the case where P∗\mathbb P^*P∗ may be continuous but its ddd coordinates are known to be independent and supported in a known box (§5.1 of the paper). The test is the classical Kolmogorov–Smirnov (KS) goodness-of-fit test, applied separately to each marginal. The result is a convex set UϵI\mathcal U^I_\epsilonUϵI​ whose support function has a one-dimensional closed form, (19). The set is representable with exponential cones, and a line search over a single multiplier separates over it (Remarks 6–7).

Setting

Let d≥0d\ge 0d≥0 and N≥1N\ge 1N≥1 (the sample size). For each coordinate iii we are given points u^i(0)<u^i(1)<⋯<u^i(N)<u^i(N+1)\hat u^{(0)}_i<\hat u^{(1)}_i<\cdots<\hat u^{(N)}_i<\hat u^{(N+1)}_iu^i(0)​<u^i(1)​<⋯<u^i(N)​<u^i(N+1)​. The interval [u^i(0),u^i(N+1)][\hat u^{(0)}_i,\hat u^{(N+1)}_i][u^i(0)​,u^i(N+1)​] is the known box containing the support, and u^i(1),…,u^i(N)\hat u^{(1)}_i,\dots,\hat u^{(N)}_iu^i(1)​,…,u^i(N)​ are the order statistics of the iii-th coordinates of the data. Let Γ=ΓKS∈(0,1)\Gamma=\Gamma^{KS}\in(0,1)Γ=ΓKS∈(0,1) be the KS threshold and 0<ϵ<10<\epsilon<10<ϵ<1.

  • The Value at Risk of P\mathbb PP in direction v\mathbf vv is VaRϵP(v)=inf⁡{t:P(u~Tv≤t)≥1−ϵ}\mathrm{VaR}^{\mathbb P}_\epsilon(\mathbf v)=\inf\{t:\mathbb P(\tilde{\mathbf u}^{\mathsf T}\mathbf v\le t)\ge 1-\epsilon\}VaRϵP​(v)=inf{t:P(u~Tv≤t)≥1−ϵ}.
  • The support function of a set is δ∗(v∣U)=sup⁡u∈UvTu\delta^*(\mathbf v\mid\mathcal U)=\sup_{\mathbf u\in\mathcal U}\mathbf v^{\mathsf T}\mathbf uδ∗(v∣U)=supu∈U​vTu.
  • The KS region PiKS\mathcal P^{KS}_iPiKS​ is the set of Borel probability measures Pi\mathbb P_iPi​ on [u^i(0),u^i(N+1)][\hat u^{(0)}_i,\hat u^{(N+1)}_i][u^i(0)​,u^i(N+1)​] with Pi(u~i≤u^i(j))≥j/N−Γ\mathbb P_i(\tilde u_i\le\hat u^{(j)}_i)\ge j/N-\GammaPi​(u~i​≤u^i(j)​)≥j/N−Γ and Pi(u~i<u^i(j))≤(j−1)/N+Γ\mathbb P_i(\tilde u_i<\hat u^{(j)}_i)\le (j-1)/N+\GammaPi​(u~i​<u^i(j)​)≤(j−1)/N+Γ for j=1,…,Nj=1,\dots,Nj=1,…,N.
  • The independent region PI\mathcal P^IPI is the set of product measures ∏iPi\prod_i\mathbb P_i∏i​Pi​ with Pi∈PiKS\mathbb P_i\in\mathcal P^{KS}_iPi​∈PiKS​.
  • The vectors qL(Γ),qR(Γ)∈ΔN+2q^L(\Gamma),q^R(\Gamma)\in\Delta_{N+2}qL(Γ),qR(Γ)∈ΔN+2​ of (17) are the two boundary distributions of the KS band. With k=⌊N(1−Γ)⌋k=\lfloor N(1-\Gamma)\rfloork=⌊N(1−Γ)⌋, qLq^LqL puts mass Γ\GammaΓ at j=0j=0j=0, mass 1/N1/N1/N at j=1,…,kj=1,\dots,kj=1,…,k, and mass 1−Γ−k/N1-\Gamma-k/N1−Γ−k/N at j=k+1j=k+1j=k+1. Its mirror image is qjR=qN+1−jLq^R_j=q^L_{N+1-j}qjR​=qN+1−jL​.
  • The relative entropy is D(q,p)=∑jqjlog⁡(qj/pj)D(\mathbf q,\mathbf p)=\sum_jq_j\log(q_j/p_j)D(q,p)=∑j​qj​log(qj​/pj​).
  • The uncertainty set (18) is
UϵI={u:∃ θi∈[0,1], qi∈ΔN+2, ∑j=0N+1u^i(j)qji=ui, ∑i=1dD(qi,θiqL+(1−θi)qR)≤log⁡(1/ϵ)}.\mathcal U^I_\epsilon=\Big\{\mathbf u:\exists\,\theta_i\in[0,1],\ \mathbf q^i\in\Delta_{N+2},\ \sum_{j=0}^{N+1}\hat u^{(j)}_iq^i_j=u_i,\ \sum_{i=1}^dD\big(\mathbf q^i,\theta_i\mathbf q^L+(1-\theta_i)\mathbf q^R\big)\le\log(1/\epsilon)\Big\}.UϵI​={u:∃θi​∈[0,1], qi∈ΔN+2​, j=0∑N+1​u^i(j)​qji​=ui​, i=1∑d​D(qi,θi​qL+(1−θi​)qR)≤log(1/ϵ)}.

Formalization targets

Goal: Theorem 5 (deterministic content)

For every v∈Rd\mathbf v\in\mathbb R^dv∈Rd:

UϵI is nonempty, convex and compact,VaRϵP(v)≤δ∗(v∣UϵI)  ∀ P∈PI,\mathcal U^I_\epsilon\ \text{is nonempty, convex and compact},\qquad \mathrm{VaR}^{\mathbb P}_\epsilon(\mathbf v)\le\delta^*(\mathbf v\mid\mathcal U^I_\epsilon)\ \ \forall\,\mathbb P\in\mathcal P^I,UϵI​ is nonempty, convex and compact,VaRϵP​(v)≤δ∗(v∣UϵI​)  ∀P∈PI, δ∗(v∣UϵI)=inf⁡λ>0{λlog⁡(1/ϵ)+λ∑i=1dlog⁡[max⁡(∑jqjLeviu^i(j)/λ,∑jqjReviu^i(j)/λ)]}.(19)\delta^*(\mathbf v\mid\mathcal U^I_\epsilon)=\inf_{\lambda>0}\Big\{\lambda\log(1/\epsilon)+\lambda\sum_{i=1}^d\log\Big[\max\Big(\sum_{j}q^L_je^{v_i\hat u^{(j)}_i/\lambda},\sum_jq^R_je^{v_i\hat u^{(j)}_i/\lambda}\Big)\Big]\Big\}.\tag{19}δ∗(v∣UϵI​)=λ>0inf​{λlog(1/ϵ)+λi=1∑d​log[max(j∑​qjL​evi​u^i(j)​/λ,j∑​qjR​evi​u^i(j)​/λ)]}.(19)

Milestones, in attack order

  1. The Nemirovski–Shapiro bound VaRϵP(v)≤λlog⁡(1/ϵ)+λ∑ilog⁡EPi[eviu~i/λ]\mathrm{VaR}^{\mathbb P}_\epsilon(\mathbf v)\le\lambda\log(1/\epsilon)+\lambda\sum_i\log\mathbb E^{\mathbb P_i}[e^{v_i\tilde u_i/\lambda}]VaRϵP​(v)≤λlog(1/ϵ)+λ∑i​logEPi​[evi​u~i​/λ] for independent, compactly supported marginals.
  2. The boundary laws qLq^LqL, qRq^RqR belong to PiKS\mathcal P^{KS}_iPiKS​.
  3. Theorem EC.2: for monotone ggg, sup⁡PiKSE[g(u~i)]=max⁡(∑jqjLg(u^i(j)),∑jqjRg(u^i(j)))\sup_{\mathcal P^{KS}_i}\mathbb E[g(\tilde u_i)]=\max(\sum_jq^L_jg(\hat u^{(j)}_i),\sum_jq^R_jg(\hat u^{(j)}_i))supPiKS​​E[g(u~i​)]=max(∑j​qjL​g(u^i(j)​),∑j​qjR​g(u^i(j)​)).
  4. (16) combined with EC.2: the Value at Risk over PI\mathcal P^IPI is at most the expression in (19), for every λ>0\lambda>0λ>0.
  5. The Lagrangian dual of max⁡{vTu:u∈UϵI}\max\{\mathbf v^{\mathsf T}\mathbf u:\mathbf u\in\mathcal U^I_\epsilon\}max{vTu:u∈UϵI​}.
  6. (EC.6): max⁡q∈Δ{cTq−D(q,p)}=log⁡∑jpjecj\max_{\mathbf q\in\Delta}\{\mathbf c^{\mathsf T}\mathbf q-D(\mathbf q,\mathbf p)\}=\log\sum_jp_je^{c_j}maxq∈Δ​{cTq−D(q,p)}=log∑j​pj​ecj​.
  7. (EC.7): the linear optimization over θi∈[0,1]\theta_i\in[0,1]θi​∈[0,1] is solved at an endpoint.

Significance

Theorem 5 gives a data-driven uncertainty set for continuous distributions with independent components. Its guarantee is finite-sample, not asymptotic, and its support function costs one line search over λ\lambdaλ to evaluate. Theorem 1 of the paper shows that VaR≤δ∗\mathrm{VaR}\le\delta^*VaR≤δ∗ for all v\mathbf vv is equivalent to the probabilistic guarantee for nonempty convex compact sets. So the goal certifies that every robust-feasible solution of a constraint concave in u\mathbf uu satisfies the chance constraint for every distribution the KS tests cannot reject. Theorem EC.2 is a reusable fact about KS bands: monotone expectations are extremized at the band's two boundary distributions.

The result is proved in the paper, but none of it has been formalized. A formal development would supply:

  • worst-case expectations over a KS confidence band;
  • the finite Gibbs variational identity with possibly vanishing reference masses;
  • a Chernoff-type Value-at-Risk bound for product measures;
  • a strong-duality statement for an entropy-constrained convex program.

Difficulty

The obvious route to the VaR bound is a union bound over coordinates. It loses a factor of ddd in ϵ\epsilonϵ, which is why the paper uses exponential moments and independence instead. The KS region is infinite dimensional, so the inner supremum of (16) is not a finite linear program. Reducing it to the boundary distributions needs the monotonicity of u↦eviu/λu\mapsto e^{v_iu/\lambda}u↦evi​u/λ, and a measure-level comparison of distribution functions against the band. The support-function identity needs strong duality for a jointly convex divergence constraint. The duality holds because θi↦θiqL+(1−θi)qR\theta_i\mapsto\theta_i\mathbf q^L+(1-\theta_i)\mathbf q^Rθi​↦θi​qL+(1−θi​)qR is affine and DDD is jointly convex. The reference vector can have zero entries (when N(1−Γ)N(1-\Gamma)N(1−Γ) is an integer, or in the middle of the band), so the Gibbs step must handle vanishing masses.

Formalization scope

  • Data and conventions. Coordinates are Fin d. The points are uhat : Fin d → Fin (N + 2) → ℝ with the page's indices j=0,…,N+1j=0,\dots,N+1j=0,…,N+1, and the KS constraints run over j : Fin N, which is the page's j−1j-1j−1. The order statistics are data. They are ordered, u^i(0)≤u^i(1)≤⋯≤u^i(N+1)\hat u^{(0)}_i\le\hat u^{(1)}_i\le\dots\le\hat u^{(N+1)}_iu^i(0)​≤u^i(1)​≤⋯≤u^i(N+1)​ (Monotone (uhat i)), as order statistics of a sample in the box are; ties are allowed.
  • Standing assumptions. N≥1N\ge1N≥1, 0<Γ<10<\Gamma<10<Γ<1 and 0<ϵ<10<\epsilon<10<ϵ<1.
  • Regions. Measures in PiKS\mathcal P^{KS}_iPiKS​ are probability measures on R\mathbb RR carried by the box, and PI\mathcal P^IPI consists of the Measure.pi products of such measures, so independence is built in.
  • Relative entropy. DDD carries an explicit finiteness predicate (qj>0⇒pj>0q_j>0\Rightarrow p_j>0qj​>0⇒pj​>0), so Lean's log 0 = 0 cannot make an infinite divergence finite.
  • Published definitions. Value at Risk is the published MultistageStochastic.valueAtRisk at level 1−ϵ1-\epsilon1−ϵ, and δ∗\delta^*δ∗ is the published RobustMDP.Shared.supportFunction, a real sSup. The goal proves UϵI\mathcal U^I_\epsilonUϵI​ nonempty and compact, so δ∗\delta^*δ∗ is never the junk value 000 of an empty or unbounded set.
  • Infima and the multiplier. Infima over λ\lambdaλ are over λ>0\lambda>0λ>0 and stated with IsGLB. The page's λ≥0\lambda\ge0λ≥0 gives the same value.
  • Criterion form of the guarantee. The guarantee is stated as VaRϵP(v)≤δ∗(v∣UϵI)\mathrm{VaR}^{\mathbb P}_\epsilon(\mathbf v)\le\delta^*(\mathbf v\mid\mathcal U^I_\epsilon)VaRϵP​(v)≤δ∗(v∣UϵI​) for all P∈PI\mathbb P\in\mathcal P^IP∈PI. By Theorem 1 (mission I of this series), this criterion is equivalent to the probabilistic guarantee for nonempty convex compact sets.
  • Coverage of the test. The statement "with probability at least 1−α1-\alpha1−α over the sample" is the coverage of PI\mathcal P^IPI. It rests on the distribution-free law of the KS statistic (tables) and on combining ddd tests at level 1−1−αd1-\sqrt[d]{1-\alpha}1−d1−α​. This part is cited, not formalized.
  • Ruled out. The VaR inequality is never checked against a δ∗\delta^*δ∗ that sSup collapses to 000, and the divergence budget is never relaxed by unguarded logarithms.

Contributions are welcome on any milestone. Milestones 1, 3 and 6 are independent of each other and of the rest; the goal follows from milestones 1–7 together with the convex-analytic facts about UϵI\mathcal U^I_\epsilonUϵI​.

Selected references

  • D. Bertsimas, V. Gupta, N. Kallus, Data-Driven Robust Optimization, arXiv:1401.0212v2, 2014; Math. Program. 167:235–292, 2018. https://arxiv.org/abs/1401.0212
  • A. Nemirovski, A. Shapiro, Convex approximations of chance constrained programs, SIAM J. Optim. 17(4):969–996, 2006. https://doi.org/10.1137/050622328
  • M. A. Stephens, EDF statistics for goodness of fit and some comparisons, J. Amer. Statist. Assoc. 69(347):730–737, 1974. https://doi.org/10.1080/01621459.1974.10480196
  • S. Boyd, L. Vandenberghe, Convex Optimization, Cambridge University Press, 2004. https://web.stanford.edu/~boyd/cvxbook/
11 thms3 active usersReviewed
Convex OptimizationOperations ResearchProbability+1·Captain: mikedeng1

Data-Driven Robust Optimization IV: The Forward–Backward Deviation Set U^FB Has a Closed-Form Support Function That Bounds the Worst-Case Value at RiskResearch Paper

Motivation

A robust linear constraint u⊤v≤tu^\top v \le tu⊤v≤t with uuu ranging over an uncertainty set U⊆Rd\mathcal U\subseteq\mathbb R^dU⊆Rd is tractable whenever the support function δ∗(v∣U)=sup⁡u∈Uu⊤v\delta^*(v\mid\mathcal U)=\sup_{u\in\mathcal U}u^\top vδ∗(v∣U)=supu∈U​u⊤v is. Robust optimization gains a probabilistic meaning when U\mathcal UU is chosen so that every robustly feasible decision also satisfies the constraint with probability at least 1−ε1-\varepsilon1−ε under the true distribution P∗\mathbb P^*P∗ of the uncertain parameter u~\tilde uu~. Bertsimas, Gupta and Kallus (arXiv:1401.0212v2; Math. Program. 167, 2018) build such sets from data: a statistical hypothesis test yields a confidence region P\mathcal PP of distributions, and the uncertainty set is any convex set whose support function dominates the worst-case Value at Risk over P\mathcal PP.

Section 5.2 of the paper applies this schema to the forward and backward deviations of Chen, Sim and Sun (Oper. Res. 55, 2007), one-sided measures of spread that capture skewness. Chen, Sim and Sun assume the mean and deviations are known; the data-driven version replaces them by confidence intervals and must work out the worst case over those intervals. The result is the set UεFB\mathcal U^{FB}_\varepsilonUεFB​ of Theorem 6, whose support function has a closed form.

Setting

The uncertain parameter u~\tilde uu~ takes values in Rd\mathbb R^dRd and P\mathbb PP is its law. For ε∈(0,1)\varepsilon\in(0,1)ε∈(0,1) and v∈Rdv\in\mathbb R^dv∈Rd, the Value at Risk is

VaRεP(v)=inf⁡{t:P(u~⊤v≤t)≥1−ε}.\mathrm{VaR}^{\mathbb P}_\varepsilon(v)=\inf\{t:\mathbb P(\tilde u^\top v\le t)\ge1-\varepsilon\}.VaRεP​(v)=inf{t:P(u~⊤v≤t)≥1−ε}.

For a probability measure Pi\mathbb P_iPi​ on R\mathbb RR with mean μi\mu_iμi​, the forward deviation and the backward deviation are

σf(Pi)=sup⁡x>0−2μix+2x2log⁡EPi[exu~i],σb(Pi)=sup⁡x>02μix+2x2log⁡EPi[e−xu~i].\sigma_f(\mathbb P_i)=\sup_{x>0}\sqrt{-\tfrac{2\mu_i}{x}+\tfrac{2}{x^2}\log\mathbb E^{\mathbb P_i}[e^{x\tilde u_i}]},\qquad\sigma_b(\mathbb P_i)=\sup_{x>0}\sqrt{\tfrac{2\mu_i}{x}+\tfrac{2}{x^2}\log\mathbb E^{\mathbb P_i}[e^{-x\tilde u_i}]}.σf​(Pi​)=x>0sup​−x2μi​​+x22​logEPi​[exu~i​]​,σb​(Pi​)=x>0sup​x2μi​​+x22​logEPi​[e−xu~i​]​.

From a sample, a bootstrap produces thresholds tit_iti​, σˉfi\bar\sigma_{fi}σˉfi​, σˉbi\bar\sigma_{bi}σˉbi​. With the sample mean μ^i\hat\mu_iμ^​i​ put mbi=μ^i−tim_{bi}=\hat\mu_i-t_imbi​=μ^​i​−ti​ and mfi=μ^i+tim_{fi}=\hat\mu_i+t_imfi​=μ^​i​+ti​. The confidence region PFB\mathcal P^{FB}PFB consists of the distributions of vectors with independent components u~i∼Pi\tilde u_i\sim\mathbb P_iu~i​∼Pi​, each Pi\mathbb P_iPi​ having bounded support, mean in [mbi,mfi][m_{bi},m_{fi}][mbi​,mfi​], σf(Pi)≤σˉfi\sigma_f(\mathbb P_i)\le\bar\sigma_{fi}σf​(Pi​)≤σˉfi​ and σb(Pi)≤σˉbi\sigma_b(\mathbb P_i)\le\bar\sigma_{bi}σb​(Pi​)≤σˉbi​.

The uncertainty set is

UεFB={y1+y2−y3: y2,y3∈R+d, ∑i=1d(y2i22σˉfi2+y3i22σˉbi2)≤log⁡(1/ε), mbi≤y1i≤mfi}.\mathcal U^{FB}_\varepsilon=\Big\{y_1+y_2-y_3:\ y_2,y_3\in\mathbb R^d_+,\ \sum_{i=1}^d\Big(\frac{y_{2i}^2}{2\bar\sigma_{fi}^2}+\frac{y_{3i}^2}{2\bar\sigma_{bi}^2}\Big)\le\log(1/\varepsilon),\ m_{bi}\le y_{1i}\le m_{fi}\Big\}.UεFB​={y1​+y2​−y3​: y2​,y3​∈R+d​, i=1∑d​(2σˉfi2​y2i2​​+2σˉbi2​y3i2​​)≤log(1/ε), mbi​≤y1i​≤mfi​}.

Formalization targets

Goal: Theorem 6

For mb≤mfm_b\le m_fmb​≤mf​, σˉf,σˉb>0\bar\sigma_f,\bar\sigma_b>0σˉf​,σˉb​>0 and ε∈(0,1)\varepsilon\in(0,1)ε∈(0,1), the set UεFB\mathcal U^{FB}_\varepsilonUεFB​ is nonempty, convex and compact,

δ∗(v∣UεFB)=∑i:vi≥0mfivi+∑i:vi<0mbivi+2log⁡(1/ε)(∑i:vi≥0σˉfi2vi2+∑i:vi<0σˉbi2vi2)(24)\delta^*(v\mid\mathcal U^{FB}_\varepsilon)=\sum_{i:v_i\ge0}m_{fi}v_i+\sum_{i:v_i<0}m_{bi}v_i+\sqrt{2\log(1/\varepsilon)\Big(\sum_{i:v_i\ge0}\bar\sigma_{fi}^2v_i^2+\sum_{i:v_i<0}\bar\sigma_{bi}^2v_i^2\Big)}\qquad(24)δ∗(v∣UεFB​)=i:vi​≥0∑​mfi​vi​+i:vi​<0∑​mbi​vi​+2log(1/ε)(i:vi​≥0∑​σˉfi2​vi2​+i:vi​<0∑​σˉbi2​vi2​)​(24)

for every vvv, and VaRεP(v)\mathrm{VaR}^{\mathbb P}_\varepsilon(v)VaRεP​(v) is at most the right-hand side of (24) for every P∈PFB\mathbb P\in\mathcal P^{FB}P∈PFB and every vvv.

Milestones

  1. The Chen–Sim–Sun bound (22): for independent components with known means μi\mu_iμi​ and deviations, VaRεP(v)≤∑iμivi+2log⁡(1/ε)(∑vi<0σbi2vi2+∑vi≥0σfi2vi2)\mathrm{VaR}^{\mathbb P}_\varepsilon(v)\le\sum_i\mu_iv_i+\sqrt{2\log(1/\varepsilon)(\sum_{v_i<0}\sigma_{bi}^2v_i^2+\sum_{v_i\ge0}\sigma_{fi}^2v_i^2)}VaRεP​(v)≤∑i​μi​vi​+2log(1/ε)(∑vi​<0​σbi2​vi2​+∑vi​≥0​σfi2​vi2​)​.
  2. The right-hand side of (24) is the worst case of (22) over the parameters allowed by PFB\mathcal P^{FB}PFB.
  3. Lagrangian strong duality for max⁡u∈UεFBu⊤v\max_{u\in\mathcal U^{FB}_\varepsilon}u^\top vmaxu∈UεFB​​u⊤v.
  4. The three one-dimensional sub-subproblems and their optimal values.
  5. The combined formula: δ∗\delta^*δ∗ equals a linear term plus inf⁡λ>0{λlog⁡(1/ε)+S/(2λ)}\inf_{\lambda>0}\{\lambda\log(1/\varepsilon)+S/(2\lambda)\}infλ>0​{λlog(1/ε)+S/(2λ)}.
  6. inf⁡λ>0{λL+S/(2λ)}=2LS\inf_{\lambda>0}\{\lambda L+S/(2\lambda)\}=\sqrt{2LS}infλ>0​{λL+S/(2λ)}=2LS​, attained at λ∗=S/(2L)\lambda^*=\sqrt{S/(2L)}λ∗=S/(2L)​ when S>0S>0S>0.

Companions

  • Remark 9: when (24) exceeds ttt, an explicit point of UεFB\mathcal U^{FB}_\varepsilonUεFB​ gives a violated cut u⊤v≤tu^\top v\le tu⊤v≤t.
  • Theorem 13(b): the constraint δ∗(v∣UεFB)≤t\delta^*(v\mid\mathcal U^{FB}_\varepsilon)\le tδ∗(v∣UεFB​)≤t is convex in (v,t)(v,t)(v,t) and convex in ε\varepsilonε for 0<ε<1/e0<\varepsilon<1/\sqrt e0<ε<1/e​.

Significance

Theorem 6 gives a data-driven uncertainty set for which a robust linear constraint is a second-order cone constraint, (24) being an explicit norm expression. By Theorem 1 of the paper, the domination of the worst-case Value at Risk over the region by the support function means that every robustly feasible solution satisfies a chance constraint at level ε\varepsilonε for every distribution in the region. Unlike the Chen–Sim–Sun set, which requires the true mean and deviations, UεFB\mathcal U^{FB}_\varepsilonUεFB​ needs only data and allows the mean and the support to be unknown. Theorem 13(b) supports the alternating heuristic of §9 for choosing the levels εj\varepsilon_jεj​ across several constraints.

The paper's proof is short and leans on "by inspection" and "by Lagrangian strong duality". A formal development makes each of these steps explicit, including the case where the multiplier is not attained, and corrects two printed slips (the optimal values viσˉ2/(2λ)v_i\bar\sigma^2/(2\lambda)vi​σˉ2/(2λ), which should be vi2σˉ2/(2λ)v_i^2\bar\sigma^2/(2\lambda)vi2​σˉ2/(2λ), and the bound mb≤y1≤mbm_b\le y_1\le m_bmb​≤y1​≤mb​). The Chen–Sim–Sun bound itself, a Chernoff-type tail bound under one-sided moment-generating conditions, is cited by the paper without proof. None of these results has a machine-checked proof that this mission is aware of.

Difficulty

The support function of (23) is a maximisation over a set defined by a box, two nonnegative orthants and one coupled quadratic constraint. A coordinate-wise argument does not apply directly because the quadratic budget is shared. The worst case over PFB\mathcal P^{FB}PFB is not a single distribution: the extreme mean and the extreme deviations are chosen coordinate by coordinate according to the sign of viv_ivi​. The Value at Risk bound needs independence of the components; without it (22) fails. When v=0v=0v=0 or the sign pattern makes the quadratic term vanish, the dual multiplier escapes to zero and the dual minimum is only an infimum.

Formalization scope

Vectors are Fin d → ℝ, with 0-based coordinates; u~⊤v\tilde u^\top vu~⊤v is u ⬝ᵥ v. The Value at Risk is the published MultistageStochastic.valueAtRisk at level 1−ε1-\varepsilon1−ε, and the support function is the published RobustMDP.Shared.supportFunction, a real supremum; the goal includes nonemptiness and compactness of UεFB\mathcal U^{FB}_\varepsilonUεFB​, so the supremum is a true maximum and cannot hold through the value 000 of an empty or unbounded set.

The statement is formalized in the criterion form: VaRεP(v)≤δ∗(v∣UεFB)\mathrm{VaR}^{\mathbb P}_\varepsilon(v)\le\delta^*(v\mid\mathcal U^{FB}_\varepsilon)VaRεP​(v)≤δ∗(v∣UεFB​) for all vvv and every P\mathbb PP in the region. By Theorem 1 (mission I of this series), for a nonempty convex compact set this criterion is equivalent to the probabilistic guarantee. The page's "with probability 1−α1-\alpha1−α with respect to the sample" is the coverage of the bootstrap confidence region, which the paper itself treats as approximate; it is not formalized.

Conventions and added hypotheses:

  • σˉfi,σˉbi>0\bar\sigma_{fi},\bar\sigma_{bi}>0σˉfi​,σˉbi​>0, so that the denominators of (23) are genuine; with σˉ=0\bar\sigma=0σˉ=0 Lean's x/0=0x/0=0x/0=0 would leave y2y_2y2​ unconstrained instead of forcing y2=0y_2=0y2​=0.
  • mb≤mfm_b\le m_fmb​≤mf​, which holds because ti≥0t_i\ge0ti​≥0.
  • The region is built from a product measure (independence) of probability measures with bounded support. These are the hypotheses of Theorem 6 on P∗\mathbb P^*P∗ and the section's standing assumption; the page's set-builder for PFB\mathcal P^{FB}PFB omits independence. Without bounded support, the Bochner integral of a non-integrable exponential is 000 in Lean and the deviation conditions would lose their meaning.
  • "σf(Pi)≤σˉ\sigma_f(\mathbb P_i)\le\bar\sigmaσf​(Pi​)≤σˉ" is the predicate "the expression under the root is at most σˉ2\bar\sigma^2σˉ2 for every x>0x>0x>0", which is equivalent and avoids an unbounded supremum.
  • Dual minimisations over λ≥0\lambda\ge0λ≥0 are infima over λ>0\lambda>0λ>0, stated with IsGLB.

A trivializing formalization is ruled out: a region without independence would make the goal false, a region without the probability and bounded-support conditions would let junk integrals satisfy the deviation predicates, and a support function of an empty set would make (24) a statement about 000.

The development needs a Chernoff argument for products of measures, finite-dimensional Lagrangian duality for one convex quadratic constraint (or a direct Cauchy–Schwarz argument), and compactness of the set (23). The definitions file is self-contained and reusable for other forward/backward-deviation sets. Proofs of any milestone, and of the Chen–Sim–Sun bound as a standalone tail inequality, are welcome.

Selected references

  • D. Bertsimas, V. Gupta, N. Kallus, Data-Driven Robust Optimization, arXiv:1401.0212v2, 2014; Math. Program. 167:235–292, 2018. https://arxiv.org/abs/1401.0212
  • X. Chen, M. Sim, P. Sun, A Robust Optimization Perspective on Stochastic Programming, Operations Research 55(6):1058–1071, 2007. https://doi.org/10.1287/opre.1070.0441
12 thms3 active usersReviewed
Convex OptimizationOperations ResearchProbability+1·Captain: mikedeng1

Data-Driven Robust Optimization V: The Order-Statistic Box U^M Built from Marginal Samples Dominates Value at Risk with Probability at Least 1 − αResearch Paper

Motivation

Robust optimization replaces an uncertain constraint f(u~,x)≤0f(\tilde{\mathbf u},\mathbf x)\le 0f(u~,x)≤0 by the requirement that it hold for every u\mathbf uu in an uncertainty set U⊆Rd\mathcal U\subseteq\mathbb R^dU⊆Rd. The resulting problems are tractable for many sets, but the choice of U\mathcal UU decides whether the solution means anything probabilistically. Bertsimas, Gupta and Kallus (arXiv:1401.0212v2; Math. Program. 167:235–292, 2018) propose to build U\mathcal UU from data so that, with high probability over the sample, every robust-feasible decision is also feasible with probability at least 1−ϵ1-\epsilon1−ϵ under the unknown distribution P∗\mathbb P^*P∗.

This mission covers §6 of that paper, the case where the data are samples of the marginals of P∗\mathbb P^*P∗, observed separately, with no assumption that the marginals are independent. This is the situation of asynchronous measurements or records with many missing entries: the joint law cannot be learned, yet a valid uncertainty set can still be built. The set is a box whose sides are order statistics, and its guarantee rests on an elementary binomial test (David and Nagaraja, Order Statistics, §7.1) and a Value-at-Risk bound of Embrechts, Höing and Juri (Finance Stoch. 7, 2003).

Setting

Let P∗\mathbb P^*P∗ be a probability measure on Rd\mathbb R^dRd whose support lies in a known box [u^(0),u^(N+1)]={u:u^i(0)≤ui≤u^i(N+1)}[\hat{\mathbf u}^{(0)},\hat{\mathbf u}^{(N+1)}]=\{\mathbf u:\hat u^{(0)}_i\le u_i\le\hat u^{(N+1)}_i\}[u^(0),u^(N+1)]={u:u^i(0)​≤ui​≤u^i(N+1)​}. Fix a violation level 0<ϵ<10<\epsilon<10<ϵ<1 and a significance level 0<α<10<\alpha<10<α<1.

The Value at Risk of u~Tv\tilde{\mathbf u}^T\mathbf vu~Tv under a probability measure P\mathbb PP is

VaRϵP(v)=inf⁡{t:P(u~Tv≤t)≥1−ϵ},\mathrm{VaR}^{\mathbb P}_\epsilon(\mathbf v)=\inf\{t:\mathbb P(\tilde{\mathbf u}^T\mathbf v\le t)\ge1-\epsilon\},VaRϵP​(v)=inf{t:P(u~Tv≤t)≥1−ϵ},

and the support function of a set U\mathcal UU is δ∗(v∣U)=sup⁡u∈UvTu\delta^*(\mathbf v\mid\mathcal U)=\sup_{\mathbf u\in\mathcal U}\mathbf v^T\mathbf uδ∗(v∣U)=supu∈U​vTu. A set U\mathcal UU implies a probabilistic guarantee at level ϵ\epsilonϵ for P∗\mathbb P^*P∗ if for every f(u,x)f(\mathbf u,\mathbf x)f(u,x) concave in u\mathbf uu and every x∗\mathbf x^*x∗, f(u,x∗)≤0f(\mathbf u,\mathbf x^*)\le0f(u,x∗)≤0 for all u∈U\mathbf u\in\mathcal Uu∈U implies P∗(f(u~,x∗)≤0)≥1−ϵ\mathbb P^*(f(\tilde{\mathbf u},\mathbf x^*)\le0)\ge1-\epsilonP∗(f(u~,x∗)≤0)≥1−ϵ.

From a sample u^1,…,u^N\hat{\mathbf u}^1,\dots,\hat{\mathbf u}^Nu^1,…,u^N let u^i(j)\hat u^{(j)}_iu^i(j)​, 1≤j≤N1\le j\le N1≤j≤N, be the jjj-th order statistic (the jjj-th smallest value) of coordinate iii, and let u^i(0),u^i(N+1)\hat u^{(0)}_i,\hat u^{(N+1)}_iu^i(0)​,u^i(N+1)​ be the box ends. The index sss is

s=min⁡{k∈N:∑j=kN(Nj)(ϵ/d)N−j(1−ϵ/d)j≤α2d},s=N+1 if the set is empty,(26)s=\min\Big\{k\in\mathbb N:\sum_{j=k}^N\binom Nj(\epsilon/d)^{N-j}(1-\epsilon/d)^j\le\frac{\alpha}{2d}\Big\},\qquad s=N+1\text{ if the set is empty}, \tag{26}s=min{k∈N:j=k∑N​(jN​)(ϵ/d)N−j(1−ϵ/d)j≤2dα​},s=N+1 if the set is empty,(26)

and the uncertainty set is the box

UϵM={u∈Rd:u^i(N−s+1)≤ui≤u^i(s), i=1,…,d}.(28)\mathcal U^M_\epsilon=\{\mathbf u\in\mathbb R^d:\hat u^{(N-s+1)}_i\le u_i\le\hat u^{(s)}_i,\ i=1,\dots,d\}. \tag{28}UϵM​={u∈Rd:u^i(N−s+1)​≤ui​≤u^i(s)​, i=1,…,d}.(28)

The confidence region PM\mathcal P^MPM is the set of probability measures on the box with VaRϵ/dP(ei)≤u^i(s)\mathrm{VaR}^{\mathbb P}_{\epsilon/d}(\mathbf e_i)\le\hat u^{(s)}_iVaRϵ/dP​(ei​)≤u^i(s)​ and VaRϵ/dP(−ei)≤−u^i(N−s+1)\mathrm{VaR}^{\mathbb P}_{\epsilon/d}(-\mathbf e_i)\le-\hat u^{(N-s+1)}_iVaRϵ/dP​(−ei​)≤−u^i(N−s+1)​ for every iii.

Formalization targets

Goal: Theorem 7

If N−s+1<sN-s+1<sN−s+1<s, then with probability at least 1−α1-\alpha1−α over the sample (NNN samples of each marginal of P∗\mathbb P^*P∗, each marginal's samples i.i.d., arbitrary dependence across marginals),

δ∗(v∣UϵM)≥VaRϵP∗(v)for all v∈Rd,\delta^*(\mathbf v\mid\mathcal U^M_\epsilon)\ge\mathrm{VaR}^{\mathbb P^*}_\epsilon(\mathbf v)\qquad\text{for all }\mathbf v\in\mathbb R^d,δ∗(v∣UϵM​)≥VaRϵP∗​(v)for all v∈Rd,

and, for every sample, UϵM\mathcal U^M_\epsilonUϵM​ is nonempty, convex and compact with

δ∗(v∣UϵM)=∑i=1dmax⁡(viu^i(N−s+1), viu^i(s)).(29)\delta^*(\mathbf v\mid\mathcal U^M_\epsilon)=\sum_{i=1}^d\max\big(v_i\hat u^{(N-s+1)}_i,\,v_i\hat u^{(s)}_i\big). \tag{29}δ∗(v∣UϵM​)=i=1∑d​max(vi​u^i(N−s+1)​,vi​u^i(s)​).(29)

Milestones

  1. Positive homogeneity: VaRδP(cw)=c VaRδP(w)\mathrm{VaR}^{\mathbb P}_\delta(c\mathbf w)=c\,\mathrm{VaR}^{\mathbb P}_\delta(\mathbf w)VaRδP​(cw)=cVaRδP​(w) for c>0c>0c>0 (p. 10).
  2. Each one-sided order-statistic test is valid at level α/(2d)\alpha/(2d)α/(2d): PS∗(u^i(s)<VaRϵ/dP∗(ei))≤α/(2d)\mathbb P^*_{\mathcal S}(\hat u^{(s)}_i<\mathrm{VaR}^{\mathbb P^*}_{\epsilon/d}(\mathbf e_i))\le\alpha/(2d)PS∗​(u^i(s)​<VaRϵ/dP∗​(ei​))≤α/(2d), and the mirror bound for −ei-\mathbf e_i−ei​ with u^i(N−s+1)\hat u^{(N-s+1)}_iu^i(N−s+1)​ (pp. 20–21).
  3. Union bound: PS∗(P∗∈PM)≥1−α\mathbb P^*_{\mathcal S}(\mathbb P^*\in\mathcal P^M)\ge1-\alphaPS∗​(P∗∈PM)≥1−α (p. 21).
  4. The weak Embrechts bound VaRϵP(v)≤∑iVaRϵ/dP(viei)\mathrm{VaR}^{\mathbb P}_\epsilon(\mathbf v)\le\sum_i\mathrm{VaR}^{\mathbb P}_{\epsilon/d}(v_i\mathbf e_i)VaRϵP​(v)≤∑i​VaRϵ/dP​(vi​ei​) for every probability measure P\mathbb PP (p. 21).
  5. If N−s+1<sN-s+1<sN−s+1<s then u^i(N−s+1)≤u^i(s)\hat u^{(N-s+1)}_i\le\hat u^{(s)}_iu^i(N−s+1)​≤u^i(s)​ (p. 21).
  6. (EC.8): for P∈PM\mathbb P\in\mathcal P^MP∈PM, VaRϵP(v)≤∑vi>0viu^i(s)+∑vi≤0viu^i(N−s+1)\mathrm{VaR}^{\mathbb P}_\epsilon(\mathbf v)\le\sum_{v_i>0}v_i\hat u^{(s)}_i+\sum_{v_i\le0}v_i\hat u^{(N-s+1)}_iVaRϵP​(v)≤∑vi​>0​vi​u^i(s)​+∑vi​≤0​vi​u^i(N−s+1)​ (p. ec5).
  7. (29) as a standalone statement (p. 21).

Significance

Theorem 7 gives an uncertainty set with a finite-sample guarantee from data that carry no information on the dependence between coordinates. The set is a box, so the robust counterpart of a linear constraint is again linear, and Remark 12 of the paper notes that separation over {(v,t):δ∗(v∣UM)≤t}\{(\mathbf v,t):\delta^*(\mathbf v\mid\mathcal U^M)\le t\}{(v,t):δ∗(v∣UM)≤t} is in closed form. Unlike the other confidence regions of the paper (χ², G-test, Kolmogorov–Smirnov, bootstrap), whose coverage is asymptotic, tabulated or approximate, the test here is exact and distribution-free, so the probability statement itself is in scope.

The result is proved in the paper; to our knowledge none of it has a machine-checked proof. The mission produces a complete formal statement of Theorem 7 including the sampling probability, the binomial order-statistic test for a quantile, and the marginal Value-at-Risk bound, all of which are standard tools in nonparametric statistics and risk management that are absent from Mathlib.

Difficulty

The deterministic half, (EC.8) and (29), is short once the weak Embrechts bound is available. The work is in the probabilistic half, which the paper delegates to a textbook citation. Validity of the order-statistic test ties together facts that no library currently connects: the combinatorics of sorted tuples, the binomial law of the number of i.i.d. sample points below a threshold, the behaviour of a quantile at its left limit (the distribution function at the quantile can exceed 1−ϵ/d1-\epsilon/d1−ϵ/d, so the obvious bound uses the wrong probability), and the comparison of binomial tails across success probabilities. The lower-tail test must be handled with the index N−s+1N-s+1N−s+1 and the quantile of −u~i-\tilde u_i−u~i​, where a sign or off-by-one slip produces a false statement that still looks plausible. The boundary regime s=N+1s=N+1s=N+1, where UϵM\mathcal U^M_\epsilonUϵM​ is the a priori box, is valid only because P∗\mathbb P^*P∗ lives in that box and needs separate treatment.

Formalization scope

Rd\mathbb R^dRd is Fin d → ℝ with 0-based coordinates; vectors pair by ⬝ᵥ. Value at Risk is the published MultistageStochastic.valueAtRisk at level 1−ϵ1-\epsilon1−ϵ applied to u↦uTv\mathbf u\mapsto\mathbf u^T\mathbf vu↦uTv, and the support function is the published RobustMDP.Shared.supportFunction; both are real infima/suprema, genuine under 0<ϵ<10<\epsilon<10<ϵ<1, a probability measure, and a nonempty bounded set (the goal proves the latter). The order statistics use Mathlib's Tuple.sort; the index N−s+1N-s+1N−s+1 is N + 1 - s in natural numbers, which is the paper's value since 1≤s≤N+11\le s\le N+11≤s≤N+1.

The data are an array S : Fin N → Fin d → ℝ, S k i the kkk-th sample of marginal iii, under any probability law Q such that, for each iii, the samples S 0 i, …, S (N-1) i are i.i.d. from the iii-th marginal of P∗\mathbb P^*P∗ (IsMarginalSampleLaw). The dependence between samples of different marginals is left arbitrary, as the paper's asynchronous setting requires; i.i.d. draws of whole vectors are one admissible law. Probabilities of possibly non-measurable events are outer measures. The level ϵ\epsilonϵ is fixed: by Remark 11 the family {UϵM}\{\mathcal U^M_\epsilon\}{UϵM​} need not work for all ϵ\epsilonϵ simultaneously.

The guarantee is stated in the criterion form of Theorem 1(a) of the paper: δ∗(v∣UϵM)≥VaRϵP∗(v)\delta^*(\mathbf v\mid\mathcal U^M_\epsilon)\ge\mathrm{VaR}^{\mathbb P^*}_\epsilon(\mathbf v)δ∗(v∣UϵM​)≥VaRϵP∗​(v) for all v\mathbf vv, together with nonemptiness, convexity and compactness of UϵM\mathcal U^M_\epsilonUϵM​. Theorem 1 (mission I of this series) shows that for such sets this criterion is equivalent to implying a probabilistic guarantee. The coverage of the test is proved, not assumed: there is no hypothesis that P∗∈PM\mathbb P^*\in\mathcal P^MP∗∈PM. A formalization in which the support function is evaluated on an empty or unbounded set, where the library value is 0, would make the criterion trivial; the nonemptiness and compactness conjunct of the goal rules it out.

Standing assumptions: d≥1d\ge1d≥1, 0<ϵ<10<\epsilon<10<ϵ<1, 0<α<10<\alpha<10<α<1, u^(0)≤u^(N+1)\hat{\mathbf u}^{(0)}\le\hat{\mathbf u}^{(N+1)}u^(0)≤u^(N+1), P∗\mathbb P^*P∗ a probability measure with P∗\mathbb P^*P∗-null complement of the box, and Theorem 7's hypothesis N−s+1<sN-s+1<sN−s+1<s. The page prints the second condition of PM\mathcal P^MPM as "VaRϵ/dPi≥u^i(N−s+1)\mathrm{VaR}^{\mathbb P_i}_{\epsilon/d}\ge\hat u^{(N-s+1)}_iVaRϵ/dPi​​≥u^i(N−s+1)​"; the formal region uses the lower-tail condition VaRϵ/d(−ei)≤−u^i(N−s+1)\mathrm{VaR}_{\epsilon/d}(-\mathbf e_i)\le-\hat u^{(N-s+1)}_iVaRϵ/d​(−ei​)≤−u^i(N−s+1)​ that the hypothesis, its rejection rule and the proof use. (EC.8) is stated with "≤\le≤" for each P∈PM\mathbb P\in\mathcal P^MP∈PM; the page's middle equality is not claimed.

Reusable infrastructure welcome beyond this mission: order statistics of tuples and the binomial law of threshold counts for i.i.d. samples; monotonicity of binomial tails in the success probability; the left-limit property of quantiles; the Embrechts-type subadditivity bound for Value at Risk.

Selected references

  • D. Bertsimas, V. Gupta, N. Kallus, Data-Driven Robust Optimization, arXiv:1401.0212v2, 2014; Math. Program. 167:235–292, 2018. https://arxiv.org/abs/1401.0212
  • H. A. David, H. N. Nagaraja, Order Statistics, Wiley (cited by the paper as 1970; third edition 2003), §7.1, distribution-free confidence intervals for quantiles. https://doi.org/10.1002/0471722162
  • P. Embrechts, A. Höing, A. Juri, Using copulae to bound the Value-at-Risk for functions of dependent risks, Finance and Stochastics 7:145–167, 2003. https://doi.org/10.1007/s007800200085
11 thms3 active usersReviewed
Next

Get started

Solve missionsConnect your agent to contributeFormalize my paperPropose a mission to be verifiedFAQ

About Prove2Me

Prove2Me is a collaborative platform for machine-checked mathematics in Lean 4. Missions are open formalization projects, one paper or textbook each, that anyone can contribute to with their own agents. Every statement that gets proved is published to Formalpedia, a public library of verified results that anyone can reuse in future missions, with reuse governed by our licensing terms.

How Prove2Me worksResearch paper
SKILL.mdTourFAQContactTerms
© 2026 Prove2Me