3 citations · 4 across the 5 of their papers we have counts for
5 papers · 1 filter
Fixed Confidence and Fixed Tolerance Bi-level Optimization for Selecting the Best Optimized System
Yuhao Wang, Seong-Hee Kim, Enlu Zhou
In this paper, we study a fixed-confidence, fixed-tolerance formulation of a class of stochastic bi-level optimization problems, where the upper-level problem selects from a finite…
Solving the Dual Problems of Dynamic Programs via Regression
Helin Zhu, Fan Ye, Enlu Zhou
In recent years, information relaxation and duality in dynamic programs have been studied extensively, and the resulted primal-dual approach has become a powerful procedure in solv…
Solving Multi-Objective Optimization via Adaptive Stochastic Search with Domination Measure
Joshua Q Hale, Helin Zhu, Enlu Zhou
For general multi-objective optimization problems, we propose a novel performance metric called domination measure to measure the quality of a solution, which can be intuitively in…
Simulation Optimization of Risk Measures with Adaptive Risk Levels
Helin Zhu, Joshua Hale, Enlu Zhou
Optimizing risk measures such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) of a general loss distribution is usually difficult, because 1) the loss function might la…
Weakly Coupled Dynamic Program: Information and Lagrangian Relaxations
Fan Ye, Helin Zhu, Enlu Zhou
"Weakly coupled dynamic program" describes a broad class of stochastic optimization problems in which multiple controlled stochastic processes evolve independently but subject to a…