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This paper considers simulation-based optimization of the performance of a regime-switching stochastic system over a finite set of feasible configurations. Inspired by the stochastic fictitious play learning rules in game theory, we propose…
Markov Chain Monte Carlo (MCMC) methods sample from unnormalized probability distributions and offer guarantees of exact sampling. However, in the continuous case, unfavorable geometry of the target distribution can greatly limit the…
The paper studies a distributed constrained optimization problem, where multiple agents connected in a network collectively minimize the sum of individual objective functions subject to a global constraint being an intersection of the local…
In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only resort to numerical approximation of the expectation, but…
To solve real-world expensive constrained multi-objective optimization problems (ECMOPs), surrogate/approximation models are commonly incorporated in evolutionary algorithms to pre-select promising candidate solutions for evaluation.…
In this paper, a stochastic approximation (SA) based distributed algorithm is proposed to solve the resource allocation (RA) with uncertainties. In this problem, a group of agents cooperatively optimize a separable optimization problem with…
In this paper, we are interested in optimal decisions in a partially observable Markov universe. Our viewpoint departs from the dynamic programming viewpoint: we are directly approximating an optimal strategic tree depending on the…
We formulate an optimal stopping problem for a geometric Brownian motion where the probability scale is distorted by a general nonlinear function. The problem is inherently time inconsistent due to the Choquet integration involved. We…
There is much interest in using partially observable Markov decision processes (POMDPs) as a formal model for planning in stochastic domains. This paper is concerned with finding optimal policies for POMDPs. We propose several improvements…
The vertical handover decision is considered an NP-Hard problem. For that reason, a large variety of vertical handoff algorithms (VHA) have been proposed to help the user to select dynamically the best access network in terms of quality of…
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of…
Random projection algorithm is an iterative gradient method with random projections. Such an algorithm is of interest for constrained optimization when the constraint set is not known in advance or the projection operation on the whole…
In real-world Bayesian inference applications, prior assumptions regarding the parameters of interest may be unrepresentative of their actual values for a given dataset. In particular, if the likelihood is concentrated far out in the wings…
This paper deals with the Stochastic Capacitated Arc Routing Problem (SCARP), obtained by randomizing quantities on the arcs in the CARP. Optimization problems for the SCARP are characterized by decisions that are made without knowing their…
We are concerned with a novel Bayesian statistical framework for the characterization of natural subsurface formations, a very challenging task. Because of the large dimension of the stochastic space of the prior distribution in the…
Particle swarm optimization (PSO) is a search algorithm based on stochastic and population-based adaptive optimization. In this paper, a pathfinding strategy is proposed to improve the efficiency of path planning for a broad range of…
Optimization under uncertainty deals with the problem of optimizing stochastic cost functions given some partial information on their inputs. These problems are extremely difficult to solve and yet pervade all areas of technological and…
The main feature of the Dynamic Multi-objective Optimization Problems (DMOPs) is that optimization objective functions will change with times or environments. One of the promising approaches for solving the DMOPs is reusing the obtained…
The problem we consider is a multi-objective optimization problem, in which the goal is to find an optimal value of a vector function representing various criteria. The aim of this work is to develop an algorithm which utilizes the trust…
We consider the problem of online planning in a Markov Decision Process when given only access to a generative model, restricted to open-loop policies - i.e. sequences of actions - and under budget constraint. In this setting, the Open-Loop…