Related papers: Two-timescale Derivative Free Optimization for Per…

Performative prediction aims to model scenarios where predictive outcomes subsequently influence the very systems they target. The pursuit of a performative optimum (PO) -- minimizing performative risk -- is generally reliant on modeling of…

We propose and analyze a model-based derivative-free (DFO) algorithm for solving bound-constrained optimization problems where the objective function is the composition of a smooth function and a vector of black-box functions. We assume…

This paper considers stochastic-constrained stochastic optimization where the stochastic constraint is to satisfy that the expectation of a random function is below a certain threshold. In particular, we study the setting where data samples…

We study a new two-time-scale stochastic gradient method for solving optimization problems, where the gradients are computed with the aid of an auxiliary variable under samples generated by time-varying MDPs controlled by the underlying…

Reinforcement learning algorithms typically rely on the assumption that the environment dynamics and value function can be expressed in terms of a Markovian state representation. However, when state information is only partially observable,…

We study stochastic optimization algorithms for constrained nonconvex stochastic optimization problems with Markovian data. In particular, we focus on the case when the transition kernel of the Markov chain is state-dependent. Such…

Recently, there has been a growing interest in distributionally robust optimization (DRO) as a principled approach to data-driven decision making. In this paper, we consider a distributionally robust two-stage stochastic optimization…

This paper provides lower bounds on the convergence rate of Derivative Free Optimization (DFO) with noisy function evaluations, exposing a fundamental and unavoidable gap between the performance of algorithms with access to gradients and…

Performative learning addresses the increasingly pervasive situations in which algorithmic decisions may induce changes in the data distribution as a consequence of their public deployment. We propose a novel view in which these…

Many real-world optimization problems contain parameters that are unknown before deployment time, either due to stochasticity or to lack of information (e.g., demand or travel times in delivery problems). A common strategy in such cases is…

Distributionally robust stochastic optimization (DRSO) is a framework for decision-making problems under certainty, which finds solutions that perform well for a chosen set of probability distributions. Many different approaches for…

This work presents the first projection-free algorithm to solve stochastic bi-level optimization problems, where the objective function depends on the solution of another stochastic optimization problem. The proposed $\textbf{S}$tochastic…

Stochastic optimal control of dynamical systems is a crucial challenge in sequential decision-making. Recently, control-as-inference approaches have had considerable success, providing a viable risk-sensitive framework to address the…

The goal of this paper is to investigate an approach for derivative-free optimization that has not received sufficient attention in the literature and is yet one of the simplest to implement and parallelize. It consists of computing…

This paper proposes and studies a detection technique for adversarial scenarios (dubbed deterministic detection). This technique provides an alternative detection methodology in case the usual stochastic methods are not applicable: this can…

The paper discusses derivative-free optimization (DFO), which involves minimizing a function without access to gradients or directional derivatives, only function evaluations. Classical DFO methods, which mimic gradient-based methods, such…

Derivative-free optimization (DFO) has recently gained a lot of momentum in machine learning, spawning interest in the community to design faster methods for problems where gradients are not accessible. While some attention has been given…

We consider the problem of unconstrained minimization of a smooth objective function in $\R^n$ in a setting where only function evaluations are possible. While importance sampling is one of the most popular techniques used by machine…

Derivative-free optimization (DFO) is a method that does not require the calculation of gradients or higher-order derivatives of the objective function, making it suitable for cases where the objective function is non-differentiable or the…

We study the policy evaluation problem in multi-agent reinforcement learning, modeled by a Markov decision process. In this problem, the agents operate in a common environment under a fixed control policy, working together to discover the…