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In this paper, we design, analyze, and implement a variant of the two-loop L-shaped algorithms for solving two-stage stochastic programming problems that arise from important application areas including revenue management and power systems.…
Optimization problems with the objective function in the form of weighted sum and linear equality constraints are considered. Given that the number of local cost functions can be large as well as the number of constraints, a stochastic…
In this paper, we investigate the problem of stochastic multi-level compositional optimization, where the objective function is a composition of multiple smooth but possibly non-convex functions. Existing methods for solving this problem…
This paper considers smooth convex optimization problems with many functional constraints. To solve this general class of problems we propose a new stochastic perturbed augmented Lagrangian method, called SGDPA, where a perturbation is…
We study stochastic optimization problems with objective function given by the expectation of the maximum of two linear functions defined on the component random variables of a multivariate Gaussian distribution. We consider random…
This paper considers the stochastic convex composite optimization problem and presents multi-cut stochastic approximation (SA) methods for solving it, whose models in expectation overestimate its objective function. The multi-cut model…
We consider stochastic optimization problems involving an expected value of a nonlinear function of a base random vector and a conditional expectation of another function depending on the base random vector, a dependent random vector, and…
The problem of solving Markov decision processes under function approximation remains a fundamental challenge, even under linear function approximation settings. A key difficulty arises from a geometric mismatch: while the Bellman…
We consider convex-concave saddle-point problems where the objective functions may be split in many components, and extend recent stochastic variance reduction methods (such as SVRG or SAGA) to provide the first large-scale linearly…
In the stochastic knapsack problem, we are given a knapsack of size B, and a set of jobs whose sizes and rewards are drawn from a known probability distribution. However, we know the actual size and reward only when the job completes. How…
Stochastic saddle point (SSP) problems are, in general, less studied compared to stochastic minimization problems. However, SSP problems emerge from machine learning (adversarial training, e.g., GAN, AUC maximization), statistics (robust…
Stochastic proximal point methods have recently garnered renewed attention within the optimization community, primarily due to their desirable theoretical properties. Notably, these methods exhibit a convergence rate that is independent of…
We consider saddle point problems which objective functions are the average of $n$ strongly convex-concave individual components. Recently, researchers exploit variance reduction methods to solve such problems and achieve linear-convergence…
Stochastic gradient descent with momentum (SGDM) is the dominant algorithm in many optimization scenarios, including convex optimization instances and non-convex neural network training. Yet, in the stochastic setting, momentum interferes…
We consider the Vector Scheduling problem on identical machines: we have m machines, and a set J of n jobs, where each job j has a processing-time vector $p_j\in \mathbb{R}^d_{\geq 0}$. The goal is to find an assignment $\sigma:J\to [m]$ of…
The Stochastic Sequential Threshold Assignment Problem (SSTAP) addresses the optimal assignment of arriving tasks (jobs) to available resources (workers) to maximize a reward function which consists of indicator functions that incorporate…
This paper considers the problem of minimizing a convex expectation function with a set of inequality convex expectation constraints. We present a computable stochastic approximation type algorithm, namely the stochastic linearized proximal…
We study the Stochastic Shortest Path (SSP) problem for autonomous systems with mixed max-sum cost aggregations under Linear Temporal Logic constraints. Classical SSP formulations rely on sum-aggregated costs, which are suitable for…
Stochastic approximation (SA) is a classical approach for stochastic convex optimization. Previous studies have demonstrated that the convergence rate of SA can be improved by introducing either smoothness or strong convexity condition. In…
We consider a non-stationary sequential stochastic optimization problem, in which the underlying cost functions change over time under a variation budget constraint. We propose an $L_{p,q}$-variation functional to quantify the change, which…