While deterministic optimization enjoys an almost universally accepted canonical form, stochastic optimization is a jungle of competing notational systems and algorithmic strategies. This is especially problematic in the context of sequential (multistage) stochastic optimization problems, which is the focus of our presentation. In this article, we place a variety of competing strategies into a ...

Many machine learning algorithms minimize a regularized risk, and stochastic optimization is widely used for this task. When working with massive data, it is desirable to perform stochastic optimization in parallel. Unfortunately, many existing stochastic algorithms cannot be parallelized efficiently. In this paper we show that one can rewrite the regularized risk minimization problem as an equ...

We study the stochastic optimization of canonical correlation analysis (CCA), whose objective is nonconvex and does not decouple over training samples. Although several stochastic optimization algorithms have been recently proposed to solve this problem, no global convergence guarantee was provided by any of them. Based on the alternating least squares formulation of CCA, we propose a globally ...

A stochastic optimization approach is presented for the remediation design of a contaminated aquifer with limited hydrogeologic information. Stochastic simulation using the Monte Carlo technique, produces a series of equally probable realisations of the spatially varying random hydraulic conductivity field. The stochastic flow and transport simulation model is coupled, using the response matrix...

An adjoint based functional optimization technique in conjunction with the spectral stochastic finite element method is proposed for the solution of an inverse heat conduction problem in the presence of uncertainties in material data, process conditions and measurement noise. The ill-posed stochastic inverse problem is restated as a conditionally well-posed L2 optimization problem. The gradient...

In this paper, we are interested in the development of efficient algorithms for convex optimization problems in the simultaneous presence of multiple objectives and stochasticity in the first-order information. We cast the stochastic multiple objective optimization problem into a constrained optimization problem by choosing one function as the objective and try to bound other objectives by appr...

Local optimization and filtering have been widely applied to model-based 3D human motion capture. Global stochastic optimization has recently been proposed as promising alternative solution for tracking and initialization. In order to benefit from optimization and filtering, we introduce a multi-layer framework that combines stochastic optimization, filtering, and local optimization. While the ...

Dynamic stochastic optimization techniques are highly relevant for applications in electricity production and trading since there are uncertainty factors at different time stages (e.g., demand, spot prices) that can be described reasonably by statistical models. In this paper, two aspects of this approach are highlighted: scenario tree approximation and risk aversion. The former is a procedure ...

Combinatorial optimization problems have applications in a variety of sciences and engineering. In the presence of data uncertainty, these problems lead to stochastic combinatorial optimization problems which result in very large scale combinatorial optimization problems. In this paper, we report on the solution of some of the largest stochastic combinatorial optimization problem consisting of ...

1. Abstract This paper presents a discrete optimization of reinforced concrete structures based on an efficient combination of deterministic and stochastic optimization strategies. The deterministic optimization algorithm is used for the detailing of a reinforced concrete crosssection for a given combination of internal forces. The multi-objective stochastic optimization algorithm is then appli...