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math.OC2024★ 1 cited
Finite-Time Decoupled Convergence in Nonlinear Two-Time-Scale Stochastic Approximation
Yuze Han, Xiang Li, Zhihua Zhang
In two-time-scale stochastic approximation (SA), two iterates are updated at varying speeds using different step sizes, with each update influencing the other. Previous studies on…
math.OC2023
Convergence and Inference of Stream SGD, with Applications to Queueing Systems and Inventory Control
Xiang Li, Jiadong Liang, Xinyun Chen +1
Stream stochastic gradient descent (SGD) is a simple and efficient method for solving online optimization problems in operations research (OR), where data is generated by parameter…
math.OC2023
Asymptotic Behaviors and Phase Transitions in Projected Stochastic Approximation: A Jump Diffusion Approach
Jiadong Liang, Yuze Han, Xiang Li +1
In this paper we consider linearly constrained optimization problems and propose a loopless projection stochastic approximation (LPSA) algorithm. It performs the projection with pr…