Validation analysis of mirror descent stochastic approximation method
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Publication:715058
DOI10.1007/s10107-011-0442-6zbMath1273.90154OpenAlexW2020929673WikidataQ57392893 ScholiaQ57392893MaRDI QIDQ715058
Arkadi Nemirovski, Alexander Shapiro, Guanghui Lan
Publication date: 15 October 2012
Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10107-011-0442-6
stochastic programmingstochastic approximationMonte Carlo samplingmirror descent algorithmconditional value-at-risksample average approximation methodasset allocation problemlarge deviation estimatesoptimality boundsprox-mapping
Convex programming (90C25) Monte Carlo methods (65C05) Stochastic programming (90C15) Stochastic approximation (62L20)
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