Name
Title | ||
|---|---|---|
Probability Maximization With Random Linear Inequalities: Alternative Formulations And Stochastic Approximation Schemes |
Abstract | ||
|---|---|---|
This paper addresses a particular instance of probability maximization problems with random linear inequalities. We consider a novel approach that relies on recent findings in the context of non-Gaussian integrals of positively homogeneous functions. This allows for showing that such a maximization problem can be recast as a convex stochastic optimization problem. While standard stochastic approximation schemes cannot be directly employed, we notice that a modified variant of such schemes is provably convergent and displays optimal rates of convergence. This allows for stating a variable sample-size stochastic approximation (SA) scheme which uses an increasing sample-size of gradients at each step. This scheme is seen to provide accurate solutions at a fraction of the time compared to standard SA schemes. |
Year | DOI | Venue |
|---|---|---|
2018 | 10.23919/acc.2018.8431483 | 2018 ANNUAL AMERICAN CONTROL CONFERENCE (ACC) |
Field | DocType | ISSN |
Convergence (routing),Stochastic optimization,Mathematical optimization,Probability maximization,Homogeneous function,Regular polygon,Linear inequality,Stochastic approximation,Maximization,Mathematics | Conference | 0743-1619 |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| I. E. Bardakci | 1 | 0 | 0.68 |
| Constantino M. Lagoa | 2 | 164 | 25.38 |
| Uday V. Shanbhag | 3 | 403 | 35.53 |