A Universally Optimal Multistage Accelerated Stochastic Gradient Method.
Necdet Serhat AybatAlireza FallahMert GürbüzbalabanAsuman E. OzdaglarPublished in: CoRR (2019)
Keyphrases
- multistage
- gradient method
- stochastic programming
- dynamic programming
- stochastic optimization
- single stage
- lot sizing
- optimal policy
- finite horizon
- convergence rate
- negative matrix factorization
- lot streaming
- step size
- optimal control
- average cost
- optimization methods
- infinite horizon
- capacity expansion
- control policies
- lot size
- state dependent
- objective function
- optimal solution