Stochastic Optimization for Spectral Risk Measures

Ronak Mehta, Vincent Roulet, Krishna Pillutla, Lang Liu, Zaïd Harchaoui

Abstract: Spectral risk objectives – also called L-risks – allow for learning systems to interpolate between optimizing average-case performance (as in empirical risk minimization) and worst-case performance on a task. We develop LSVRG, a stochastic algorithm to optimize these quantities by characterizing their subdifferential and addressing challenges such as biasedness of subgradient estimates and non-smoothness of the objective. We show theoretically and experimentally that out-of-the-box approaches such as stochastic subgradient and dual averaging can be hindered by bias, whereas our approach exhibits linear convergence.