29 citations · 67 across the 6 of their papers we have counts for
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3 papers · 1 filter
math.OC2017★ 1 cited
Online Learning in Weakly Coupled Markov Decision Processes: A Convergence Time Study
Xiaohan Wei, Hao Yu, Michael J. Neely
We consider multiple parallel Markov decision processes (MDPs) coupled by global constraints, where the time varying objective and constraint functions can only be observed after t…
math.OC2017★ 29 cited
Online Convex Optimization with Stochastic Constraints
Hao Yu, Michael J. Neely, Xiaohan Wei
This paper considers online convex optimization (OCO) with stochastic constraints, which generalizes Zinkevich's OCO over a known simple fixed set by introducing multiple stochasti…
math.ST2017★ 23 cited
Estimation of the covariance structure of heavy-tailed distributions
Stanislav Minsker, Xiaohan Wei
We propose and analyze a new estimator of the covariance matrix that admits strong theoretical guarantees under weak assumptions on the underlying distribution, such as existence o…