Abstract: We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of ...
Dec 30, 2023 · In this work, we consider constrained stochastic optimization problems under hidden convexity, ie, those that admit a convex reformulation via non-linear (but ...
The main idea of the proposed solution approach is centered around the interpretation of the CMVC problem as a stochastic optimal control problem with ...
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Apr 17, 2024 · At each iteration, the proposed algorithm entails constructing convex surrogates of the objective and the constraint functions, and solving the ...
This paper considers online convex optimization (OCO) with stochastic constraints, which generalizes Zinkevich's OCO over a known simple fixed set by ...
This paper considers online convex optimization (OCO) with stochastic constraints, which generalizes Zinkevich's OCO over a known simple fixed set.
If the stochastic convex optimization problem includes both types of functions, no constraint will work for all distributions over functions. This sharply ...
A stochastic convex optimization problem is specified by a convex domain W, which in this paper we always take to be a compact subset of a Hilbert space H, and ...
We obtain a general solution to a problem of minimizing an integral of a nondecreasing right continuous stochastic process from zero to some nonnegative random ...
We analyze a convex stochastic optimization problem where the state is assumed to belong to the Bochner space of essentially bounded random variables with ...