相关论文: Stochastic Programming with Probability

We consider convex stochastic optimization problems under different assumptions on the properties of available stochastic subgradient. It is known that, if the value of the objective function is available, one can obtain, in parallel,…

This paper considers stochastic weakly convex optimization without the standard Lipschitz continuity assumption. Based on new adaptive regularization (stepsize) strategies, we show that a wide class of stochastic algorithms, including the…

This paper considers the problem of minimizing an expectation function over a closed convex set, coupled with a {\color{black} functional or expectation} constraint on either decision variables or problem parameters. We first present a new…

Stochastic differentiable approximation schemes are widely used for solving high dimensional problems. Most of existing methods satisfy some desirable properties, including conditional descent inequalities, and almost sure (a.s.)…

When training neural networks with low-precision computation, rounding errors often cause stagnation or are detrimental to the convergence of the optimizers; in this paper we study the influence of rounding errors on the convergence of the…

Stochastic AUC maximization has garnered an increasing interest due to better fit to imbalanced data classification. However, existing works are limited to stochastic AUC maximization with a linear predictive model, which restricts its…

Chance-constrained problems involve stochastic components in the constraints which can be violated with a small probability. We investigate the impact of different types of chance constraints on the performance of iterative search…

A widely used heuristic for solving stochastic optimization problems is to use a deterministic rolling horizon procedure, which has been modified to handle uncertainty (e.g. buffer stocks, schedule slack). This approach has been criticized…

We consider a stochastic version of the proximal point algorithm for optimization problems posed on a Hilbert space. A typical application of this is supervised learning. While the method is not new, it has not been extensively analyzed in…

The problem of minimizing convex functionals of probability distributions is solved under the assumption that the density of every distribution is bounded from above and below. A system of sufficient and necessary first-order optimality…

We analyze a simple randomized subgradient method for approximating solutions to stochastic systems of convex functional constraints, the only input to the algorithm being the size of minibatches. By introducing a new notion of what is…

This paper investigates the problem of tracking solutions of stochastic optimization problems with time-varying costs that depend on random variables with decision-dependent distributions. In this context, we propose the use of an online…

In this study, we consider two classes of multicriteria two-stage stochastic programs in finite probability spaces with multivariate risk constraints. The first-stage problem features a multivariate stochastic benchmarking constraint based…

This work studies constrained stochastic optimization problems where the objective and constraint functions are convex and expressed as compositions of stochastic functions. The problem arises in the context of fair classification, fair…

We consider the problem of analyzing and designing gradient-based discrete-time optimization algorithms for a class of unconstrained optimization problems having strongly convex objective functions with Lipschitz continuous gradient. By…

An algorithm is proposed, analyzed, and tested experimentally for solving stochastic optimization problems in which the decision variables are constrained to satisfy equations defined by deterministic, smooth, and nonlinear functions. It is…

We consider pessimistic bilevel stochastic programs in which the follower maximizes over a fixed compact convex set a strictly convex quadratic function, whose Hessian depends on the leader's decision. The resulting random variable is…

Optimization in machine learning typically deals with the minimization of empirical objectives defined by training data. However, the ultimate goal of learning is to minimize the error on future data (test error), for which the training…

Increasing effort is put into the development of methods for learning mechanistic models from data. This task entails not only the accurate estimation of parameters but also a suitable model structure. Recent work on the discovery of…

We propose primal-dual stochastic mirror descent for the convex optimization problems with functional constraints. We obtain the rate of convergence in terms of probability of large deviations.