dfo

On Tractability, Complexity, and Mixed-Integer Convex Programming Representability of Distributionally Favorable Optimization

  • Nan Jiang
  • Weijun Xie
    • Categories Stochastic Programming Tags , ,

    Distributionally Favorable Optimization (DFO) is an important framework for decision-making under uncertainty, with applications across fields such as reinforcement learning, online learning, robust statistics, chance-constrained programming, and two-stage stochastic optimization without relatively complete recourse. In contrast to the traditional Distributionally Robust Optimization (DRO) paradigm, DFO presents a unique challenge– the application of the inner infimum … Read more

    Unified approach for solving Box-Constrained models with continuous or discrete variables by Non monotonous Derivative Free Optimization techniques.

  • Ubaldo M Garcia Palomares
  • Pedro S Rodríguez Hernández
    • Categories Bound-constrained Optimization, Integer Programming, Problem Solving Environments Tags , ,

    This paper describes a unified approach for solving Box-Constrained Optimization Problems (BCOP) in Euclidian spaces. The variables may be either continuous or discrete; in which case, they range on a grid of isolated points regularly spaced. For the continuous case, convergence is shown under standard assumptions; for the discrete case, slight modifications ensure that the … Read more