Efficient Online Mirror Descent Stochastic Approximation for Multi-Stage Stochastic Programming

Abstract

We study the unconstrained and the minimax saddle point variants of the convex multi-stage stochastic programming problem, where consecutive decisions are coupled through the objective functions, rather than through the constraints. We approach the problems from the infinite-dimensional policy perspective, but consider an online setting where only the policies corresponding to the actual realization of the underlying stochastic process is needed. This leads to a trackable formulation, where the dimension of the output is linear in the number of stages $T$. We propose hypothetical Mirror Descent Stochastic Approximation (MDSA) for the infinite dimensional policies using stochastic conditional gradients. By taking advantage of the decomposability of the updates across stages and realizations of the underlying stochastic process, we show that the proposed MDSA algorithms admit efficient online implementation, which achieves overall gradient complexity linear in $T$, improving exponentially over all existing algorithms.