A Semismooth Newton Augmented Lagrangian Method for Sparse Spectral Risk Optimization
TL;DR
This work proposes a relative inexact proximal augmented Lagrangian method with a semismooth Newton subproblem solver for solving SRM-based optimization problems and provides explicit generalized Jacobian characterizations and tailor the pool adjacent violators algorithm for their efficient evaluation.
Abstract
Empirical risk minimization is a standard and effective paradigm for learning predictive models by minimizing average loss. In high-stakes decision-making, however, an average-loss criterion may underrepresent rare but severe losses. Spectral risk measures (SRMs) provide a principled framework by incorporating weighted order statistics of losses, but the induced nonsmoothness and nonseparability from sorting make the resulting optimization problems challenging. We propose a relative inexact proximal augmented Lagrangian method with a semismooth Newton subproblem solver for solving SRM-based optimization problems. Exploiting a dual reformulation and properties of the Moreau envelope, we reduce the subproblems to structured dual-variable formulations, significantly simplifying computation. We provide explicit generalized Jacobian characterizations and tailor the pool adjacent violators algorithm for their efficient evaluation. Numerical results on synthetic and real-data instances show that the proposed method attains lower running times than the tested ADMM baseline while producing comparable stationarity residuals and sparse solutions.