2 papers
math.OC2019
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…
stat.ML2018
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…