4 citations · 6 across the 8 of their papers we have counts for
5 papers · 2 filters
Corporative Stochastic Approximation with Random Constraint Sampling for Semi-Infinite Programming
Bo Wei, William B. Haskell, Sixiang Zhao
We developed a corporative stochastic approximation (CSA) type algorithm for semi-infinite programming (SIP), where the cut generation problem is solved inexactly. First, we provid…
Risk aware minimum principle for optimal control of stochastic differential equations
Jukka Isohätälä, William B. Haskell
We present a probabilistic formulation of risk aware optimal control problems for stochastic differential equations. Risk awareness is in our framework captured by objective functi…
Index-Based Policy for Risk-Averse Multi-Armed Bandit
Jianyu Xu, William B. Haskell, Zhisheng Ye
The multi-armed bandit (MAB) is a classical online optimization model for the trade-off between exploration and exploitation. The traditional MAB is concerned with finding the arm…
Stochastic Approximation for Risk-aware Markov Decision Processes
Wenjie Huang, William B. Haskell
We develop a stochastic approximation-type algorithm to solve finite state/action, infinite-horizon, risk-aware Markov decision processes. Our algorithm has two loops. The inner lo…
An Inexact Primal-Dual Algorithm for Semi-Infinite Programming
Bo Wei, William B. Haskell, Sixiang Zhao
This paper considers an inexact primal-dual algorithm for semi-infinite programming (SIP) for which it provides general error bounds. To implement the dual variable update, we crea…