non-convex optimization

Randomized Policy Optimization for Optimal Stopping

  • Xinyi Guan
  • Velibor Mišić
    • Categories Dynamic Programming, Finance and Economics, Unconstrained Optimization Tags , , , ,

    Optimal stopping is the problem of determining when to stop a stochastic system in order to maximize reward, which is of practical importance in domains such as finance, operations management and healthcare. Existing methods for high-dimensional optimal stopping that are popular in practice produce deterministic linear policies — policies that deterministically stop based on the … Read more

    Convergence Analysis of Block Majorize-Minimize Subspace Approaches

  • Jean-Baptiste Fest
  • Émilie Chouzenoux
    • Categories Applications - Science and Engineering, Unconstrained Optimization Tags , , ,

    Majorization-Minimization (MM) consists of a class of efficient and effective optimization algorithms that benefit from solid theoretical foundations. MM methods have shown their great ability to tackle efficiently challenging optimization problems from signal processing, image processing, inverse problems and machine learning. When processing large amount of data/variable, as it may happen in 3D image processing, … Read more