6 citations · 10 across the 11 of their papers we have counts for
4 papers · 1 filter
Robust Data-Driven Quasiconcave Optimization
Jian Wu, William B. Haskell, Wenjie Huang +1
We investigate a data-driven quasiconcave maximization problem where information about the objective function is limited to a finite sample of data points. We begin by defining an…
Online Non-convex Optimization with Long-term Non-convex Constraints
Shijie Pan, Jianyu Xu, Wenjie Huang
A novel Follow-the-Perturbed-Leader type algorithm is proposed and analyzed for solving general long-term constrained optimization problems in an online manner, where the target an…
Data-driven satisficing measure and ranking
Wenjie Huang
We propose an computational framework for real-time risk assessment and prioritizing for random outcomes without prior information on probability distributions. The basic model is…
Stochastic Approximation for Risk-aware Markov Decision Processes
Wenjie Huang, William B. Haskell
We develop a stochastic approximation-type algorithm to solve finite state/action, infinite-horizon, risk-aware Markov decision processes. Our algorithm has two loops. The inner lo…