Systems | Information | Learning | Optimization
 

Statistical Filtering for Optimization over Expectation Operators

The problem of optimizing objective functions that involve expectation or integral operators is common in a number of fields. This problem is commonly addressed using one of three frameworks or hybrids thereof: Sample Average Approximation/Monte Carlo (SAA/MC), Bayesian Optimization (BO), and Stochastic Approximation (SA). While the methods that belong to …