Convergence Rate of a Functional Learning Method for Contextual Stochastic Optimization

We consider a stochastic optimization problem involving two random variables: a context variable $X$ and a dependent variable $Y$.

The objective is to minimize the expected value of a nonlinear loss functional applied to the conditional expectation $\mathbb{E}[f(X, Y,\beta) \mid X]$, where $f$ is a nonlinear function and $\beta$ represents the decision variables.

We focus on the practically important setting in which direct sampling from the conditional distribution of $Y \mid X$ is infeasible, and only a stream of i.i.d. observation pairs $\{(X^k, Y^k)\}_{k=0,1,2,\ldots}$ is available.

In our approach, the conditional expectation is approximated within a prespecified parametric function class.

We analyze a simultaneous learning-and-optimization algorithm that jointly estimates the conditional expectation and optimizes the outer objective.

Using a specially designed measure of non-optimality, combining the squared norm of the objective function's gradient and the mean square error of the auxiliary parametric model, we establish that the method achieves a convergence rate of order $\mathcal{O}\big(1/\sqrt{N}\big)$, where $N$ denotes the number of observed pairs.