Sample average approximation with sparsity-inducing penalty for high-dimensional stochastic programming

DOI10.1007/s10107-018-1278-0zbMath1423.90162WikidataQ91080626 ScholiaQ91080626MaRDI QIDQ2330643

Yinyu Ye, Tao Yao, Hongcheng Liu, Xue Wang, 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

zbMATH Keywords

stochastic programming; sample average approximation; folded concave penalty; second order necessary condition

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

65C05: Monte Carlo methods

90C26: Nonconvex programming, global optimization

90C15: Stochastic programming