Stochastic approximation of CVaR-based variational inequalities

Abstract: In this paper we study variational inequalities (VI) defined by the conditional value-at-risk (CVaR) of uncertain functions. We introduce stochastic approximation schemes that employ an empirical estimate of the CVaR at each iteration to solve these VIs. We investigate convergence of these algorithms under various assumptions on the monotonicity of the VI and accuracy of the CVaR estimate. Our first algorithm is shown to converge to the exact solution of the VI when the estimation error of the CVaR becomes progressively smaller along any execution of the algorithm. When the estimation error is nonvanishing, we provide two algorithms that provably converge to a neighborhood of the solution of the VI. For these schemes, under strong monotonicity, we provide an explicit relationship between sample size, estimation error, and the size of the neighborhood to which convergence is achieved. A simulation example illustrates our theoretical findings.