Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures

DOI10.1007/S10107-016-1060-0zbMath1380.90200arXiv1407.6661OpenAlexW2234131646MaRDI QIDQ526834

Vincent Guigues

Publication date: 15 May 2017

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.6661

zbMATH Keywords

stochastic optimizationrisk measuresmultistep stochastic mirror descentrobust stochastic optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

Related Items (7)

A primal-dual algorithm for risk minimization ⋮ A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs ⋮ A single cut proximal bundle method for stochastic convex composite optimization ⋮ Inexact stochastic mirror descent for two-stage nonlinear stochastic programs ⋮ A new convergent hybrid learning algorithm for two-stage stochastic programs ⋮ On Monte-Carlo methods in convex stochastic optimization ⋮ Asymptotic behaviors of semidefinite programming with a covariance perturbation

Uses Software

• Mosek

Cites Work

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