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math.OC2022★ 2 cited
Online Saddle Point Tracking with Decision-Dependent Data
Killian Wood, Emiliano Dall'Anese
In this work, we consider a time-varying stochastic saddle point problem in which the objective is revealed sequentially, and the data distribution depends on the decision variable…
math.OC2021
Online Projected Gradient Descent for Stochastic Optimization with Decision-Dependent Distributions
Killian Wood, Gianluca Bianchin, Emiliano Dall'Anese
This paper investigates the problem of tracking solutions of stochastic optimization problems with time-varying costs that depend on random variables with decision-dependent distri…