On Monte-Carlo methods in convex stochastic optimization
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We develop a novel procedure for estimating the optimizer of general convex stochastic optimization problems of the form min_x∈𝒳𝐄[F(x,ξ)], when the given data is a finite independent sample selected according to ξ. 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.
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