Sample average approximation with sparsity-inducing penalty for high-dimensional stochastic programming
DOI10.1007/S10107-018-1278-0zbMATH Open1423.90162OpenAlexW2801615849WikidataQ91080626 ScholiaQ91080626MaRDI QIDQ2330643FDOQ2330643
Hongcheng Liu, Runze Li, Xue Wang, Tao Yao, Yinyu Ye
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
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stochastic programmingsample average approximationfolded concave penaltysecond order necessary condition
Monte Carlo methods (65C05) Ridge regression; shrinkage estimators (Lasso) (62J07) Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)
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Cited In (7)
- General Feasibility Bounds for Sample Average Approximation via Vapnik--Chervonenkis Dimension
- SPAR: Stochastic Programming with Adversarial Recourse
- Sample Complexity of Sample Average Approximation for Conditional Stochastic Optimization
- Regularized sample average approximation for high-dimensional stochastic optimization under low-rankness
- Diametrical risk minimization: theory and computations
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- High-Dimensional Learning Under Approximate Sparsity with Applications to Nonsmooth Estimation and Regularized Neural Networks
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