On the solution of stochastic optimization problems in imperfect information regimes

Research output: Chapter in Book/Report/Conference proceedingConference contribution

8 Citations (Scopus)

Abstract

We consider the solution of a stochastic convex optimization problem E[f(x;θ lowast ,ξ)] in x over a closed and convex set X in a regime where θ lowast is unavailable. Instead, θ lowast may be learnt by minimizing a suitable metric E[g(θη)] in θ over a closed and convex set Θ. We present a coupled stochastic approximation scheme for the associated stochastic optimization problem with imperfect information. The schemes are shown to be equipped with almost sure convergence properties in regimes where the function f is both strongly convex as well as merely convex. Rate estimates are provided in both a strongly convex as well as a merely convex regime, where the use of averaging facilitates the development of a bound.

Original languageEnglish (US)
Title of host publicationProceedings of the 2013 Winter Simulation Conference - Simulation
Subtitle of host publicationMaking Decisions in a Complex World, WSC 2013
Pages821-832
Number of pages12
DOIs
StatePublished - Dec 1 2013
Event2013 43rd Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013 - Washington, DC, United States
Duration: Dec 8 2013Dec 11 2013

Publication series

NameProceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013

Other

Other2013 43rd Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013
CountryUnited States
CityWashington, DC
Period12/8/1312/11/13

Fingerprint

Convex optimization
Stochastic Optimization
Imperfect
Optimization Problem
Closed set
Convex Sets
Almost Sure Convergence
Stochastic Approximation
Approximation Scheme
Convex Optimization
Convergence Properties
Averaging
Metric
Estimate

All Science Journal Classification (ASJC) codes

  • Modeling and Simulation

Cite this

Jiang, H., & Shanbhag, V. V. (2013). On the solution of stochastic optimization problems in imperfect information regimes. In Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013 (pp. 821-832). [6721474] (Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013). https://doi.org/10.1109/WSC.2013.6721474
Jiang, Hao ; Shanbhag, Vinayak V. / On the solution of stochastic optimization problems in imperfect information regimes. Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013. 2013. pp. 821-832 (Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013).
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Jiang, H & Shanbhag, VV 2013, On the solution of stochastic optimization problems in imperfect information regimes. in Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013., 6721474, Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013, pp. 821-832, 2013 43rd Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013, Washington, DC, United States, 12/8/13. https://doi.org/10.1109/WSC.2013.6721474

On the solution of stochastic optimization problems in imperfect information regimes. / Jiang, Hao; Shanbhag, Vinayak V.

Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013. 2013. p. 821-832 6721474 (Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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Jiang H, Shanbhag VV. On the solution of stochastic optimization problems in imperfect information regimes. In Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013. 2013. p. 821-832. 6721474. (Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013). https://doi.org/10.1109/WSC.2013.6721474