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math.OC2021
A Dimension-Insensitive Algorithm for Stochastic Zeroth-Order Optimization
Hongcheng Liu, Yu Yang
This paper concerns a convex, stochastic zeroth-order optimization (S-ZOO) problem. The objective is to minimize the expectation of a cost function whose gradient is not directly a…
math.OC2019★ 1 cited
Regularized Sample Average Approximation for High-Dimensional Stochastic Optimization Under Low-Rankness
Hongcheng Liu, Charles Hernandez, Hung Yi Lee
This paper concerns a high-dimensional stochastic programming problem of minimizing a function of expected cost with a matrix argument. To this problem, one of the most widely appl…