Related papers: A Block Coordinate Ascent Algorithm for Mean-Varia…

One often encounters the curse of dimensionality in the application of dynamic programming to determine optimal policies for controlled Markov chains. In this paper, we provide a method to construct sub-optimal policies along with a bound…

In this paper, we propose and analyze a trust-region model-based algorithm for solving unconstrained stochastic optimization problems. Our framework utilizes random models of an objective function $f(x)$, obtained from stochastic…

This paper investigates methods for estimating the optimal stochastic control policy for a Markov Decision Process with unknown transition dynamics and an unknown reward function. This form of model-free reinforcement learning comprises…

Block coordinate descent (BCD) methods are prevalent in large scale optimization problems due to the low memory and computational costs per iteration, the predisposition to parallelization, and the ability to exploit the structure of the…

In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in rewards in addition to maximizing a standard criterion. Variance related risk measures are among the most common…

In this paper we propose a randomized primal-dual proximal block coordinate updating framework for a general multi-block convex optimization model with coupled objective function and linear constraints. Assuming mere convexity, we establish…

There is a recent surge of interest in nonconvex reformulations via low-rank factorization for stochastic convex semidefinite optimization problem in the purpose of efficiency and scalability. Compared with the original convex formulations,…

We consider distributed optimization over networks where each agent is associated with a smooth and strongly convex local objective function. We assume that the agents only have access to unbiased estimators of the gradient of their…

This paper studies a robust stochastic control problem with a monotone mean-variance cost functional and random coefficients. The main technique is to find the saddle point through two backward stochastic differential equations (BSDEs) with…

This paper proposes a statistically optimal approach for learning a function value using a confidence interval in a wide range of models, including general non-parametric estimation of an expected loss described as a stochastic programming…

This paper investigates projection-free algorithms for stochastic constrained multi-level optimization. In this context, the objective function is a nested composition of several smooth functions, and the decision set is closed and convex.…

We consider finite horizon Markov decision processes under performance measures that involve both the mean and the variance of the cumulative reward. We show that either randomized or history-based policies can improve performance. We prove…

We consider active learning (AL) in an uncertain environment in which trade-off between multiple risk measures need to be considered. As an AL problem in such an uncertain environment, we study Mean-Variance Analysis in Bayesian…

This paper studies the portfolio optimization problem when the investor's utility is general and the return and volatility of the risky asset are fast mean-reverting, which are important to capture the fast-time scale in the modeling of…

We propose a gradient-free deep reinforcement learning algorithm to solve high-dimensional, finite-horizon stochastic control problems. Although the recently developed deep reinforcement learning framework has achieved great success in…

Optimization of conditional convex risk measure is a central theme in dynamic portfolio selection theory, which has not yet systematically studied in the previous literature perhaps since conditional convex risk measures are neither random…

Reference [11] investigated the almost sure weak convergence of block-coordinate fixed point algorithms and discussed their applications to nonlinear analysis and optimization. This algorithmic framework features random sweeping rules to…

We develop a framework for convexifying a fairly general class of optimization problems. Under additional assumptions, we analyze the suboptimality of the solution to the convexified problem relative to the original nonconvex problem and…

This paper studies dynamic mean-variance (MV) asset allocation problems in general incomplete markets. Besides of the conventional MV objective on portfolio's terminal wealth, our framework can accommodate running MV objectives with general…

We present a novel randomized block coordinate descent method for the minimization of a convex composite objective function. The method uses (approximate) partial second-order (curvature) information, so that the algorithm performance is…