On Monte-Carlo methods in convex stochastic optimization

Understand

We develop a novel procedure for estimating the optimizer of general convex stochastic optimization problems of the form $\min_{x\in\mathcal{X}} \mathbb{E}[F(x,\xi)]$, when the given data is a finite independent sample selected according to $\xi$.

• The procedure is based on a median-of-means tournament, and is the first procedure that exhibits the optimal statistical performance in heavy tailed situations: we recover the asymptotic rates dictated by the central limit theorem in a non-asymptotic manner once the sample size exceeds some explicitly computable threshold.
• Additionally, our results apply in the high-dimensional setup, as the threshold sample size exhibits the optimal dependence on the dimension (up to a logarithmic factor).
• The general setting allows us to recover recent results on multivariate mean estimation and linear regression in heavy-tailed situations and to prove the first sharp, non-asymptotic results for the portfolio optimization problem.