Solving quantile-based stochastic optimization problems with modified Stochastic Nelder-Mead Simplex Method.
Kuo-Hao ChangHou-Kuen LuPublished in: CSCWD (2014)
Keyphrases
- simplex method
- stochastic optimization problems
- nelder mead
- simplex algorithm
- linear program
- linear programming
- random variables
- linear programming problems
- control policies
- primal dual
- optimization problems
- column generation
- convergence rate
- dynamic programming
- interior point methods
- optimal solution
- objective function
- graphical models
- np hard
- lower bound
- reinforcement learning
- probability distribution