most citedStochastic Approximation with Decision-Dependent Distributions: Asymptotic Normality and Optimality

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math.OC2022★ 1 cited

Stochastic Approximation with Decision-Dependent Distributions: Asymptotic Normality and Optimality

Joshua Cutler, Mateo Díaz, Dmitriy Drusvyatskiy

We analyze a stochastic approximation algorithm for decision-dependent problems, wherein the data distribution used by the algorithm evolves along the iterate sequence. The primary…

math.OC2021★ 1 cited

Stochastic Optimization under Distributional Drift

Joshua Cutler, Dmitriy Drusvyatskiy, Zaid Harchaoui

We consider the problem of minimizing a convex function that is evolving according to unknown and possibly stochastic dynamics, which may depend jointly on time and on the decision…