22 citations · 109 across the 34 of their papers we have counts for
4 papers · 1 filter
Bayesian Distributionally Robust Optimization
Alexander Shapiro, Enlu Zhou, Yifan Lin
We introduce a new framework, Bayesian Distributionally Robust Optimization (Bayesian-DRO), for data-driven stochastic optimization where the underlying distribution is unknown. Ba…
Asymptotically Optimal Sampling Policy for Selecting Top-m Alternatives
Gongbo Zhang, Yijie Peng, Jianghua Zhang +1
We consider selecting the top- alternatives from a finite number of alternatives via Monte Carlo simulation. Under a Bayesian framework, we formulate the sampling decision as a…
Bayesian Risk Markov Decision Processes
Yifan Lin, Yuxuan Ren, Enlu Zhou
We consider finite-horizon Markov Decision Processes where parameters, such as transition probabilities, are unknown and estimated from data. The popular distributionally robust ap…
Noisy Gradient Descent Converges to Flat Minima for Nonconvex Matrix Factorization
Tianyi Liu, Yan Li, Song Wei +2
Numerous empirical evidences have corroborated the importance of noise in nonconvex optimization problems. The theory behind such empirical observations, however, is still largely…