相关论文: Forward-PECVaR Algorithm: Exact Evaluation for CVa…

Constrained combinatorial optimization problems (CCOPs) are challenging to solve due to the exponential growth of the solution space. When tackled with Ising machines, constraints are typically enforced by the penalty function method, whose…

We study the sample complexity of learning an $\epsilon$-optimal policy in the Stochastic Shortest Path (SSP) problem. We first derive sample complexity bounds when the learner has access to a generative model. We show that there exists a…

Quantum computing poses a threat to contemporary cryptosystems, with advances to a state in which it will cause problems predicted for the next few decades. Many of the proposed cryptosystems designed to be quantum-secure are based on the…

PAC-Bayesian set up involves a stochastic classifier characterized by a posterior distribution on a classifier set, offers a high probability bound on its averaged true risk and is robust to the training sample used. For a given posterior,…

We develop and analyze a variant of the SARAH algorithm, which does not require computation of the exact gradient. Thus this new method can be applied to general expectation minimization problems rather than only finite sum problems. While…

Value-at-risk (VaR), also known as quantile, is a crucial risk measure in finance and other fields. However, optimizing VaR metrics in Markov decision processes (MDPs) is challenging because VaR is non-additive and the traditional dynamic…

Nonconvex-concave (NC-C) finite-sum minimax problems have wide applications in signal processing and machine learning tasks. Conventional stochastic gradient algorithms, which rely on uniform sampling for gradient estimation, often suffer…

A classical problem in matrix computations is the efficient and reliable approximation of a given matrix by a matrix of lower rank. The truncated singular value decomposition (SVD) is known to provide the best such approximation for any…

In the dynamic Single-Source Shortest Paths (SSSP) problem, we are given a graph $G=(V,E)$ subject to edge insertions and deletions and a source vertex $s\in V$, and the goal is to maintain the distance $d(s,t)$ for all $t\in V$.…

A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic…

This paper proposes a constrained stochastic successive convex approximation (CSSCA) algorithm to find a stationary point for a general non-convex stochastic optimization problem, whose objective and constraint functions are non-convex and…

The paper provides a new approach to the determination of a single state value for stochastic output feedback problems using paradigms from Model Predictive Control, particularly the distinction between open-loop and closed-loop control and…

We consider stochastic strongly-convex-strongly-concave (SCSC) saddle point (SP) problems which frequently arise in applications ranging from distributionally robust learning to game theory and fairness in machine learning. We focus on the…

This paper proposes control approaches for discrete-time linear systems subject to stochastic disturbances. It employs Kalman filter to estimate the mean and covariance of the state propagation, and the worst-case conditional value-at-risk…

We describe a new forward-backward variant of Dijkstra's and Spira's Single-Source Shortest Paths (SSSP) algorithms. While essentially all SSSP algorithm only scan edges forward, the new algorithm scans some edges backward. The new…

This paper focuses on finding approximate solutions to stochastic optimal control problems with control domains being not necessarily convex, where the state trajectory is subject to controlled stochastic differential equations. The…

The $\ell_0$-constrained mean-CVaR model poses a significant challenge due to its NP-hard nature, typically tackled through combinatorial methods characterized by high computational demands. From a markedly different perspective, we propose…

In this paper a class of single machine scheduling problems is considered. It is assumed that job processing times and due dates can be uncertain and they are specified in the form of discrete scenario set. A probability distribution in the…

A classical problem in appointment scheduling, with applications in health care, concerns the determination of the patients' arrival times that minimize a cost function that is a weighted sum of mean waiting times and mean idle times. One…

Optimization problems involving complex variables, when solved, are typically transformed into real variables, often at the expense of convergence rate and interpretability. This paper introduces a novel formalism for a prominent problem in…