Near optimal solutions to least-squares problems with stochastic uncertainty

MaRDI QIDQ5201299zbMATHFDO

Authors Fabrizio Dabbene, Giuseppe Calafiore

Publication date 18 April 2006

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Empirical decision procedures; empirical Bayes procedures (62C12) Least squares and related methods for stochastic control systems (93E24)

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• Stochastic gradient methods for \(L^2\)-Wasserstein least squares problem of Gaussian measures
• Stochastic least-squares Petrov-Galerkin method for parameterized linear systems

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