Validation analysis of mirror descent stochastic approximation method

DOI10.1007/S10107-011-0442-6zbMath1273.90154OpenAlexW2020929673WikidataQ57392893 ScholiaQ57392893MaRDI QIDQ715058

Arkadi Nemirovski, Alexander Shapiro, Guanghui Lan

Publication date: 15 October 2012

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

Full work available at URL: https://doi.org/10.1007/s10107-011-0442-6

zbMATH Keywords

stochastic programmingstochastic approximationMonte Carlo samplingmirror descent algorithmconditional value-at-risksample average approximation methodasset allocation problemlarge deviation estimatesoptimality boundsprox-mapping

Mathematics Subject Classification ID

Convex programming (90C25) Monte Carlo methods (65C05) Stochastic programming (90C15) Stochastic approximation (62L20)

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Uses Software

• SUTIL

Cites Work

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