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math.OC2025
Efficient Online Mirror Descent Stochastic Approximation for Multi-Stage Stochastic Programming
Junhui Zhang, Patrick Jaillet
We study the unconstrained and the minimax saddle point variants of the convex multi-stage stochastic programming problem, where consecutive decisions are coupled through the objec…
math.OC2025
Multi-Timescale Primal Dual Hybrid Gradient with Application to Distributed Optimization
Junhui Zhang, Patrick Jaillet
We propose two variants of the Primal Dual Hybrid Gradient (PDHG) algorithm for saddle point problems with block decomposable duals, hereafter called Multi-Timescale PDHG (MT-PDHG)…