7 citations · 10 across the 4 of their papers we have counts for
4 papers
Projection-Free Functional Constrained Optimization for Risk Aversion and Sparsity Control
Yi Cheng, Guanghui Lan, Saeed Masiha +1
We study projection-free methods for functional constrained optimization with convex or smooth nonconvex objectives. Such problems arise in applications such as portfolio optimizat…
Risk-Averse Stochastic Optimal Control: an efficiently computable statistical upper bound
Vincent Guigues, Alexander Shapiro, Yi Cheng
In this paper, we discuss an application of the SDDP type algorithm to nested risk-averse formulations of Stochastic Optimal Control (SOC) problems. We propose a construction of a…
Duality and sensitivity analysis of multistage linear stochastic programs
Vincent Guigues, Alexander Shapiro, Yi Cheng
We investigate the dual of a Multistage Stochastic Linear Program (MSLP) to study two questions for this class of problems. The first of these questions is the study of the optimal…
Optimal Adaptive and Accelerated Stochastic Gradient Descent
Qi Deng, Yi Cheng, Guanghui Lan
Stochastic gradient descent (\textsc{Sgd}) methods are the most powerful optimization tools in training machine learning and deep learning models. Moreover, acceleration (a.k.a. mo…