TY - GEN

T1 - On the solution of stochastic optimization problems in imperfect information regimes

AU - Jiang, Hao

AU - Shanbhag, Uday V.

PY - 2013

Y1 - 2013

N2 - We consider the solution of a stochastic convex optimization problem E[f(x;θlowast,ξ)] in x over a closed and convex set X in a regime where θlowast is unavailable. Instead, θlowast 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.

AB - We consider the solution of a stochastic convex optimization problem E[f(x;θlowast,ξ)] in x over a closed and convex set X in a regime where θlowast is unavailable. Instead, θlowast 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.

UR - http://www.scopus.com/inward/record.url?scp=84894193510&partnerID=8YFLogxK

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U2 - 10.1109/WSC.2013.6721474

DO - 10.1109/WSC.2013.6721474

M3 - Conference contribution

AN - SCOPUS:84894193510

SN - 9781479939503

T3 - Proceedings of the 2013 Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013

SP - 821

EP - 832

BT - Proceedings of the 2013 Winter Simulation Conference - Simulation

T2 - 2013 43rd Winter Simulation Conference - Simulation: Making Decisions in a Complex World, WSC 2013

Y2 - 8 December 2013 through 11 December 2013

ER -