Mini-Batch Risk Forms

DOI10.1137/22M1503774MaRDI QIDQ6157997zbMATH OpenOpenAlexFDO

Authors Darinka Dentcheva, Andrzej Ruszczyński

Publication date 22 June 2023

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/22m1503774

zbMATH Keywords

dual representationempirical estimateserror boundsrisk measuresstochastic subgradientsWasserstein metric

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Limit theorems in probability theory (60F99) Stochastic programming (90C15) Programming in abstract spaces (90C48)

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Cited in

(3)

• Risk forms: representation, disintegration, and application to partially observable two-stage systems
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• An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems

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