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math.OC2025
An Alternating Approach to Approximate Dynamic Programming
Di Zhang
In this paper, we give a new approximate dynamic programming (ADP) method to solve large-scale Markov decision programming (MDP) problem. In comparison with many classic ADP method…
math.OC2025
A Stochastic Conjugate Subgradient Algorithm for Two-stage Stochastic Programming
Di Zhang, Suvrajeet Sen
Stochastic Optimization is a cornerstone of operations research, providing a framework to solve optimization problems under uncertainty. Despite the development of numerous algorit…
math.OC2025
An Adaptive Sampling-based Progressive Hedging Algorithm for Stochastic Programming
Di Zhang, Yihang Zhang, Suvrajeet Sen
The progressive hedging algorithm (PHA) is a cornerstone among algorithms for large-scale stochastic programming problems. However, its traditional implementation is hindered by so…