Time-Average Stochastic Optimization with Non-convex Decision Set and its Convergence

Abstract

This paper considers time-average stochastic optimization, where a time average decision vector, an average of decision vectors chosen in every time step from a time-varying (possibly non-convex) set, minimizes a convex objective function and satisfies convex constraints. This formulation has applications in networking and operations research. In general, time-average stochastic optimization can be solved by a Lyapunov optimization technique. This paper shows that the technique exhibits a transient phase and a steady state phase. When the problem has a unique vector of Lagrange multipliers, the convergence time can be improved. By starting the time average in the steady state the convergence times become $O(1/\epsilon)$ under a locally-polyhedral assumption and $O(1/\epsilon^{1.5})$ under a locally-non-polyhedral assumption, where $\epsilon$ denotes the proximity to the optimal objective cost. Simulations suggest that the results may hold more generally without the unique Lagrange multiplier assumption.