non-parametric statistical estimation

Online Non-parametric Estimation for Nonconvex Stochastic Programming

  • Shuotao Diao
  • Suvrajeet Sen
    • Categories Stochastic Programming Tags ,

    This paper presents a fusion of Stochastic Decomposition and the Majorization-Minimization algorithm (SD-MM) to solve a class of non-convex stochastic programs. The objective function is an expectation of a smooth concave function and a second-stage linear recourse function, which is common in stochastic programming (SP). This extension not only allows new stochastic difference-of-convex (dc) functions … Read more

    Distribution-free Algorithms for Learning Enabled Optimization with Non-parametric Estimation

  • Shuotao Diao
  • Suvrajeet Sen
    • Categories Stochastic Programming Tags , , , ,

    This paper studies a fusion of concepts from stochastic optimization and non-parametric statistical learning, in which data is available in the form of covariates interpreted as predictors and responses. Such models are designed to impart greater agility, allowing decisions under uncertainty to adapt to the knowledge of the predictors (leading indicators). Specialized algorithms can be … Read more