3 citations · 7 across the 7 of their papers we have counts for
9 papers
Weakly Time-Coupled Approximation of Markov Decision Processes
Negar Soheili, Selvaprabu Nadarajah, Bo Yang
Finite-horizon Markov decision processes (MDPs) with high-dimensional exogenous uncertainty and endogenous states arise in operations and finance, including the valuation and exerc…
An Adaptive Parameter-free and Projection-free Restarting Level Set Method for Constrained Convex Optimization Under the Error Bound Condition
Qihang Lin, Negar Soheili, Runchao Ma +1
Recent efforts to accelerate first-order methods have focused on convex optimization problems that satisfy a geometric property known as error-bound condition, which covers a broad…
Projection and rescaling algorithm for finding maximum support solutions to polyhedral conic systems
Javier Pena, Negar Soheili
We propose a simple projection and rescaling algorithm that finds maximum support solutions to the pair of feasibility problems \[ \text{find} \; x\in L\cap\mathbb{R}^n_{+} \;\;\;\…
Self-guided Approximate Linear Programs
Parshan Pakiman, Selvaprabu Nadarajah, Negar Soheili +1
Approximate linear programs (ALPs) are well-known models based on value function approximations (VFAs) to obtain policies and lower bounds on the optimal policy cost of discounted-…
A Data Efficient and Feasible Level Set Method for Stochastic Convex Optimization with Expectation Constraints
Qihang Lin, Selvaprabu Nadarajah, Negar Soheili +1
Stochastic convex optimization problems with expectation constraints (SOECs) are encountered in statistics and machine learning, business, and engineering. In data-rich environment…
Computational performance of a projection and rescaling algorithm
Javier Pena, Negar Soheili
This paper documents a computational implementation of a {\em projection and rescaling algorithm} for finding most interior solutions to the pair of feasibility problems \[ \text{f…
Solving Conic Systems via Projection and Rescaling
Javier Pena, Negar Soheili
We propose a simple projection and rescaling algorithm to solve the feasibility problem \[ \text{ find } x \in L \cap Ω, \] where and are respectively a linear subspace and…
On the von Neumann and Frank-Wolfe Algorithms with Away Steps
Javier Pena, Daniel Rodriguez, Negar Soheili
The von Neumann algorithm is a simple coordinate-descent algorithm to determine whether the origin belongs to a polytope generated by a finite set of points. When the origin is in…
Some preconditioners for systems of linear inequalities
Javier Pena, Vera Roshchina, Negar Soheili
We show that a combination of two simple preprocessing steps would generally improve the conditioning of a homogeneous system of linear inequalities. Our approach is based on a com…