72 citations · 296 across the 47 of their papers we have counts for
6 papers · 1 filter
Distributed Variable Sample-Size Gradient-response and Best-response Schemes for Stochastic Nash Equilibrium Problems over Graphs
Jinlong Lei, Uday V. Shanbhag
This paper considers a stochastic Nash game in which each player minimizes an expectation valued composite objective. We make the following contributions. (I) Under suitable monoto…
Linearly Convergent Variable Sample-Size Schemes for Stochastic Nash Games: Best-Response Schemes and Distributed Gradient-Response Schemes
Jinlong Lei, Uday V. Shanbhag
This paper considers an -player stochastic Nash game in which the th player minimizes a composite objective , where is expectation-valued and h…
Asynchronous Variance-reduced Block Schemes for Composite Nonconvex Stochastic Optimization: Block-specific Steplengths and Adapted Batch-sizes
Jinlong Lei, Uday V. Shanbhag
We consider the minimization of a sum of an expectation-valued coordinate-wise -smooth nonconvex function and a nonsmooth block-separable convex regularizer. We propose an asy…
A Variable Sample-size Stochastic Quasi-Newton Method for Smooth and Nonsmooth Stochastic Convex Optimization
Afrooz Jalilzadeh, Angelia Nedich, Uday V. Shanbhag +1
Classical theory for quasi-Newton schemes has focused on smooth deterministic unconstrained optimization while recent forays into stochastic convex optimization have largely reside…
Smoothed Variable Sample-size Accelerated Proximal Methods for Nonsmooth Stochastic Convex Programs
Afrooz Jalilzadeh, Uday V. Shanbhag, Jose H. Blanchet +1
We consider minimizing when is possibly nonsmooth and either strongly convex or convex in . (I) Strongly convex. When is strong…
Probability Maximization via Minkowski Functionals: Convex Representations and Tractable Resolution
Ibrahim E. Bardakci, Afrooz Jalilzadeh, Constantino Lagoa +1
In this paper, we consider the maximization of a probability over a closed and convex set , a special case of the chan…