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math.OC2021
Multistart Algorithm for Identifying All Optima of Nonconvex Stochastic Functions
Prateek Jaiswal, Jeffrey Larson
We propose a multistart algorithm to identify all local minima of a constrained, nonconvex stochastic optimization problem. The algorithm uniformly samples points in the domain and…
math.OC2019★ 1 cited
On the Statistical Consistency of Risk-Sensitive Bayesian Decision-Making
Prateek Jaiswal, Harsha Honnappa, Vinayak A. Rao
We study data-driven decision-making problems in the Bayesian framework, where the expectation in the Bayes risk is replaced by a risk-sensitive entropic risk measure. We focus on…