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math.OC2023
Value-Gradient Iteration with Quadratic Approximate Value Functions
Alan Yang, Stephen Boyd
We propose a method for designing policies for convex stochastic control problems characterized by random linear dynamics and convex stage cost. We consider policies that employ qu…
math.OC2023
Specifying and Solving Robust Empirical Risk Minimization Problems Using CVXPY
Eric Luxenberg, Dhruv Malik, Yuanzhi Li +2
We consider robust empirical risk minimization (ERM), where model parameters are chosen to minimize the worst-case empirical loss when each data point varies over a given convex un…