4 citations · 6 across the 6 of their papers we have counts for
5 papers · 1 filter
A Unifying Framework for Variance Reduction Algorithms for Finding Zeroes of Monotone Operators
Xun Zhang, William B. Haskell, Zhisheng Ye
It is common to encounter large-scale monotone inclusion problems where the objective has a finite sum structure. We develop a general framework for variance-reduced forward-backwa…
A Flexible Multi-Facility Capacity Expansion Problem with Risk Aversion
Sixiang Zhao, William B. Haskell, Michel-Alexandre Cardin
This paper studies flexible multi-facility capacity expansion with risk aversion. In this setting, the decision maker can periodically expand the capacity of facilities given obser…
A Multi-Level Simulation Optimization Approach for Quantile Functions
Songhao Wang, Szu Hui Ng, William Benjamin Haskell
Quantile is a popular performance measure for a stochastic system to evaluate its variability and risk. To reduce the risk, selecting the actions that minimize the tail quantiles o…
An Accelerated Fitted Value Iteration Algorithm for MDPs with Finite and Vector-Valued Action Space
Sixiang Zhao, William B. Haskell, Michel-Alexandre Cardin
This paper studies an accelerated fitted value iteration (FVI) algorithm to solve high-dimensional Markov decision processes (MDPs). FVI is an approximate dynamic programming algor…
Model and Reinforcement Learning for Markov Games with Risk Preferences
Wenjie Huang, Pham Viet Hai, William B. Haskell
We motivate and propose a new model for non-cooperative Markov game which considers the interactions of risk-aware players. This model characterizes the time-consistent dynamic "ri…