Non-stationary Stochastic Optimization

@article{Besbes2015NonstationarySO,
  title={Non-stationary Stochastic Optimization},
  author={Omar Besbes and Yonatan Gur and Assaf J. Zeevi},
  journal={Operations Research},
  year={2015},
  volume={63},
  pages={1227-1244}
}
We consider a non-stationary variant of a sequential stochastic optimization problem, where the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said change, and study how restrictions on this budget impact achievable performance. We identify sharp conditions under which it is possible to achieve longrun-average optimality and more refined performance measures such as rate optimality that fully characterize the… CONTINUE READING
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