A Model-Based Stochastic Augmented Lagrangian Method for Online Stochastic Optimization
In this paper, we focus on the online stochastic optimization problems in which the random parameters follow time-varying distributions. At each round t, decision is obtained from solving current optimization problem.Then samples are drawn from distributions which are updated after obtaining decision. The objective and constraint are updated in this process, and the updated problem is used to obtain the next decision. For solving the online stochastic optimization problem, we propose a model-based stochastic augmented Lagrangian method, which […]