Related papers: Stochastic Collection and Replenishment (SCAR): Ob…

The stochastic knapsack problem is the stochastic variant of the classical knapsack problem in which the algorithm designer is given a a knapsack with a given capacity and a collection of items where each item is associated with a profit…

We consider the problem of finding an input to a stochastic black box function such that the scalar output of the black box function is as close as possible to a target value in the sense of the expected squared error. While the…

Contrastive learning (CL) has been widely used for enhancing the performance of graph collaborative filtering (GCF) for personalized recommendation. Since data augmentation plays a crucial role in the success of CL, previous works have…

Stochastic alternating algorithms for bi-objective optimization are considered when optimizing two conflicting functions for which optimization steps have to be applied separately for each function. Such algorithms consist of applying a…

This study presents a comprehensive approach to optimizing inventory management under stochastic demand by leveraging Monte Carlo Simulation (MCS) with grid search and Bayesian optimization. By using a business case of historical demand…

In statistical data assimilation one seeks the largest maximum of the conditional probability distribution $P(\mathbf{X},\mathbf{p}|\mathbf{Y})$ of model states, $\mathbf{X}$, and parameters,$\mathbf{p}$, conditioned on observations…

In Reinforcement Learning (RL), an agent acts in an unknown environment to maximize the expected cumulative discounted sum of an external reward signal, i.e., the expected return. In practice, in many tasks of interest, such as policy…

We design and implement a novel algorithm for computing a multilevel Monte Carlo (MLMC) estimator of the cumulative distribution function of a quantity of interest in problems with random input parameters or initial conditions. Our approach…

Stochastic Model Predictive Control addresses uncertainties by incorporating chance constraints that provide probabilistic guarantees of constraint satisfaction. However, simultaneously optimizing over the risk allocation and the feedback…

A basic simulation-based reinforcement learning algorithm is the Monte Carlo Exploring States (MCES) method, also known as optimistic policy iteration, in which the value function is approximated by simulated returns and a greedy policy is…

Reliability analysis typically relies on deterministic simulators, which yield repeatable outputs for identical inputs. However, many real-world systems display intrinsic randomness, requiring stochastic simulators whose outputs are random…

Bayesian optimization is a sample-efficient approach to solving global optimization problems. Along with a surrogate model, this approach relies on theoretically motivated value heuristics (acquisition functions) to guide the search…

When attempting to recover functions from observational data, one naturally seeks to do so in an optimal manner with respect to some modeling assumption. With a focus put on the worst-case setting, this is the standard goal of Optimal…

Optimization objectives in the form of a sum of intractable expectations are rising in importance (e.g., diffusion models, variational autoencoders, and many more), a setting also known as "finite sum with infinite data." For these…

This article focuses on the multi-objective optimization of stochastic simulators with high output variance, where the input space is finite and the objective functions are expensive to evaluate. We rely on Bayesian optimization algorithms,…

This work focuses on optimal harvesting-renewing for a stochastic population. A mixed regular-singular control formulation with a state constraint and regime-switching is introduced. The decision-makers either harvest or renew with finite…

Many problems in Reinforcement Learning (RL) seek an optimal policy with large discrete multidimensional yet unordered action spaces; these include problems in randomized allocation of resources such as placements of multiple security…

Reinforcement learning algorithms rely on exploration to discover new behaviors, which is typically achieved by following a stochastic policy. In continuous control tasks, policies with a Gaussian distribution have been widely adopted.…

We consider optimization of composite objective functions, i.e., of the form $f(x)=g(h(x))$, where $h$ is a black-box derivative-free expensive-to-evaluate function with vector-valued outputs, and $g$ is a cheap-to-evaluate real-valued…

We construct an objective function that consists of a quadratic approximation term and a penalty term. Thanks to the quadratic approximation, we can deal with various kinds of loss functions into a unified way, and by taking advantage of…