Solving Nonsmooth and Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization
From MaRDI portal
Publication:5870366
DOI10.1287/MOOR.2021.1247OpenAlexW4214599916MaRDI QIDQ5870366FDOQ5870366
Jong-Shi Pang, Ying Cui, Junyi Liu
Publication date: 9 January 2023
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.14342
Cites Work
- Title not available (Why is that?)
- Generalized deviations in risk analysis
- Implicit Functions and Solution Mappings
- Error bounds in mathematical programming
- Lectures on Stochastic Programming
- Title not available (Why is that?)
- Applications of functional analysis and operator theory
- Assessing solution quality in stochastic programs
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- AN OLD‐NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT
- A robust-CVaR optimization approach with application to breast cancer therapy
- Law of Large Numbers for Random Sets and Allocation Processes
- Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
- Stochastic optimization using a trust-region method and random models
- Optimality functions in stochastic programming
- Extensions of stochastic optimization results to problems with system failure probability functions
- Statistical verification of optimality conditions for stochastic programs with recourse
- Expected Utility, Penalty Functions, and Duality in Stochastic Nonlinear Programming
- Variable-sample methods for stochastic optimization
- Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances
- Sample Average Approximation Method for Compound Stochastic Optimization Problems
- Uniform laws of large numbers for set-valued mappings and subdifferentials of random functions
- Statistical estimation of composite risk functionals and risk optimization problems
- Stochastic compositional gradient descent: algorithms for minimizing compositions of expected-value functions
- Error Bounds, Quadratic Growth, and Linear Convergence of Proximal Methods
- Strong law of large numbers for Banach space valued random sets
- Maximization of AUC and buffered AUC in binary classification
- Computing B-Stationary Points of Nonsmooth DC Programs
- Buffered Probability of Exceedance: Mathematical Properties and Optimization
- Estimation and asymptotics for buffered probability of exceedance
- Stability and Error Analysis for Optimization and Generalized Equations
- On the pervasiveness of difference-convexity in optimization and statistics
- Composite Difference-Max Programs for Modern Statistical Estimation Problems
- Asymptotic Results of Stochastic Decomposition for Two-Stage Stochastic Quadratic Programming
- Sample Complexity of Sample Average Approximation for Conditional Stochastic Optimization
- A Single Timescale Stochastic Approximation Method for Nested Stochastic Optimization
- Multilevel Stochastic Gradient Methods for Nested Composition Optimization
- Modern Nonconvex Nondifferentiable Optimization
Cited In (2)
Recommendations
- Sample Average Approximation Method for Compound Stochastic Optimization Problems 👍 👎
- On Solving Multistage Stochastic Programs with Coherent Risk Measures 👍 👎
- Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures 👍 👎
- On a Class of Minimax Stochastic Programs 👍 👎
- Smoothing and SAA method for stochastic programming problems with non-smooth objective and constraints 👍 👎
This page was built for publication: Solving Nonsmooth and Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5870366)
