Sample average approximation with sparsity-inducing penalty for high-dimensional stochastic programming
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Publication:2330643
DOI10.1007/s10107-018-1278-0zbMath1423.90162OpenAlexW2801615849WikidataQ91080626 ScholiaQ91080626MaRDI QIDQ2330643
Hongcheng Liu, Xue Wang, Tao Yao, Yinyu Ye, Run-Ze Li
Publication date: 22 October 2019
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6824431
stochastic programmingsample average approximationfolded concave penaltysecond order necessary condition
Ridge regression; shrinkage estimators (Lasso) (62J07) Monte Carlo methods (65C05) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)
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