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math.OC2026
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…
math.OC2019
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…
math.OC2018
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…