We consider sensitivity of a generic stochastic optimization problem to model uncertainty. We take a non-parametric approach and capture model uncertainty using Wasserstein balls around the postulated model. We provide explicit formulae for the first order correction to both the value function and the optimizer and further extend our results to optimization under linear constraints. We present applications to statistics, machine learning, mathematical finance and uncertainty quantification. In particular, we provide explicit first-order approximation for square-root LASSO regression coefficients and deduce coefficient shrinkage compared to the ordinary least squares regression. We consider robustness of call option pricing and deduce a new Black-Scholes sensitivity, a non-parametric version of the so-called Vega. We also compute sensitivities of optimized certainty equivalents in finance and propose measures to quantify robustness of neural networks to adversarial examples.
翻译:我们考虑了通用随机优化问题的敏感性,以模型不确定性为模型。我们采取了非参数方法,并用瓦塞斯坦球在假设模型周围捕捉模型不确定性。我们提供了对数值函数和优化器进行第一顺序修正的明确公式,并在线性限制下将我们的结果进一步扩展至优化。我们提出了统计数据、机器学习、数学融资和不确定性量化的应用。我们特别为平底LASO回归系数和推论系数缩缩水提供了明确的第一阶近似值,与普通最小方回归相比。我们考虑了调用选项定价的稳健性,并推算出一个新的黑分数敏感度,即所谓的Vega的非参数版本。我们还计算了金融中最优化确定性等值的敏感性,并提出了将神经网络稳健度量化为对抗性实例的措施。