Efficient Algorithms for A Class of Stochastic Hidden Convex Optimization and Its Applications in Network Revenue Management

Xin Chen, Niao He, Yifan Hu +1

We study a class of stochastic nonconvex optimization in the form of ${\min }_{x\in \mathcal{X}}F(x):={\mathbb{E}}_{\hat{I}}¾[f(\ddot{I}•(x,\hat{I}¾))]$, i.e., $F$ is a composition of a convex function $f$…