We consider stochastic multi-objective optimization over a nonempty closed convex set, where every objective is an expectation and only sample-gradient information is available. We develop a line-search-free and function-value-free adaptive projected-gradient algorithm for the sample-average approximation (SAA) problem. Each iteration computes a feasible regularized multi-gradient step and updates the regularization parameter from the projected step length. A normal-cone-based certificate yields descent estimates and an explicit complexity bound for the Pareto-stationarity residual of the SAA problem. The consistency of SAA gradients then transfers vanishing SAA residuals to Pareto stationarity for the population problem, while an additional concentration argument gives a finite-sample residual bound on compact sets. Experiments on synthetic problems, classification, portfolio selection, multi-task learning, and robot control illustrate the practical performance of our algorithm.
In this paper, we propose and study a class of differential stochastic variational inequalities (DSVIs), in which an ordinary differential equation (ODE) is coupled with history-dependent stochastic variational inequalities (SVI). This framework models closed-loop stochastic systems with time-varying random equilibria and includes optimization-constrained ODEs as special cases. Under appropriate technical conditions, we establish uniqueness, measurability, and Lipschitz continuity with respect to the state of the second-stage response, and consequently the existence and uniqueness of the induced state trajectory. Moreover, we construct a sample average approximation (SAA) based on independent sample paths and prove uniform convergence of the approximate trajectories. For transfer between related stochastic environments, we derive a local $1/2$-H\"older estimate for parametric variational inequalities with moving feasible sets and a quantitative trajectory-stability bound in terms of the initial-state difference and the Wasserstein distance between exogenous path laws. Numerical experiments illustrate the SAA convergence and transfer-stability results. We further apply the framework to an elderly-health monitoring system. Similarity-weighted reuse of precomputed responses achieves an accuracy close to the full-recomputation benchmark of 0.97, while reducing the online batch runtime from 86 seconds to less than one second. Perturbation and delayed-update experiments additionally characterize robustness to sensor noise and the trade-off between response freshness, predictive accuracy, and computational cost. These results provide theoretical and computational support for efficient transfer learning in history-dependent DSVI systems.
Xiaojun Chen, Jian Guo, Xin Guo et al.· 0 citations
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