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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.OC2022★ 2 cited
Decision-Dependent Risk Minimization in Geometrically Decaying Dynamic Environments
Mitas Ray, Dmitriy Drusvyatskiy, Maryam Fazel +1
This paper studies the problem of expected loss minimization given a data distribution that is dependent on the decision-maker's action and evolves dynamically in time according to…