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math.OC2021★ 26 cited
A Near-Optimal Algorithm for Stochastic Bilevel Optimization via Double-Momentum
Prashant Khanduri, Siliang Zeng, Mingyi Hong +3
This paper proposes a new algorithm -- the \underline{S}ingle-timescale Do\underline{u}ble-momentum \underline{St}ochastic \underline{A}pprox\underline{i}matio\underline{n} (SUSTAI…
math.OC2021★ 15 cited
A Primal-Dual Approach to Constrained Markov Decision Processes
Yi Chen, Jing Dong, Zhaoran Wang
In many operations management problems, we need to make decisions sequentially to minimize the cost while satisfying certain constraints. One modeling approach to study such proble…