Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
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Publication:526834
DOI10.1007/s10107-016-1060-0zbMath1380.90200arXiv1407.6661OpenAlexW2234131646MaRDI QIDQ526834
Publication date: 15 May 2017
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.6661
stochastic optimizationrisk measuresmultistep stochastic mirror descentrobust stochastic optimization
Related Items (6)
A primal-dual algorithm for risk minimization ⋮ A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs ⋮ Inexact stochastic mirror descent for two-stage nonlinear stochastic programs ⋮ A new convergent hybrid learning algorithm for two-stage stochastic programs ⋮ On Monte-Carlo methods in convex stochastic optimization ⋮ Asymptotic behaviors of semidefinite programming with a covariance perturbation
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