Validation analysis of mirror descent stochastic approximation method
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Publication:715058
DOI10.1007/S10107-011-0442-6zbMATH Open1273.90154OpenAlexW2020929673WikidataQ57392893 ScholiaQ57392893MaRDI QIDQ715058FDOQ715058
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
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Monte Carlo samplingstochastic approximationstochastic programmingmirror descent algorithmconditional value-at-risksample average approximation methodasset allocation problemlarge deviation estimatesoptimality boundsprox-mapping
Monte Carlo methods (65C05) Convex programming (90C25) Stochastic approximation (62L20) Stochastic programming (90C15)
Cites Work
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- A Stochastic Approximation Method
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- Robust Stochastic Approximation Approach to Stochastic Programming
- New variants of bundle methods
- The empirical behavior of sampling methods for stochastic programming
- The sample average approximation method for stochastic discrete optimization
- A branch and bound method for stochastic global optimization
- Monte Carlo bounding techniques for determinig solution quality in stochastic programs
- The sample average approximation method applied to stochastic routing problems: a computational study
- On complexity of stochastic programming problems
Cited In (46)
- Momentum-based accelerated mirror descent stochastic approximation for robust topology optimization under stochastic loads
- Multilevel Stochastic Gradient Methods for Nested Composition Optimization
- Algorithms for stochastic optimization with function or expectation constraints
- Asymptotic behaviors of semidefinite programming with a covariance perturbation
- The CoMirror algorithm with random constraint sampling for convex semi-infinite programming
- Faster randomized block sparse Kaczmarz by averaging
- Level bundle methods for constrained convex optimization with various oracles
- Communication-efficient algorithms for decentralized and stochastic optimization
- Simulation-Based Optimality Tests for Stochastic Programs
- Title not available (Why is that?)
- Generalized conditioning based approaches to computing confidence intervals for solutions to stochastic variational inequalities
- On Monte-Carlo methods in convex stochastic optimization
- Mini-batch stochastic approximation methods for nonconvex stochastic composite optimization
- Analysis of Online Composite Mirror Descent Algorithm
- On the Convergence of Mirror Descent beyond Stochastic Convex Programming
- Stochastic accelerated alternating direction method of multipliers with importance sampling
- Variance reduction in Monte Carlo sampling-based optimality gap estimators for two-stage stochastic linear programming
- Variance reduction for sequential sampling in stochastic programming
- Complexity of stochastic dual dynamic programming
- A primal-dual algorithm for risk minimization
- Dynamic stochastic approximation for multi-stage stochastic optimization
- An optimal randomized incremental gradient method
- Stochastic Optimization for Dynamic Pricing
- A stochastic Nesterov's smoothing accelerated method for general nonsmooth constrained stochastic composite convex optimization
- Gradient sliding for composite optimization
- Stochastic intermediate gradient method for convex problems with stochastic inexact oracle
- Stochastic Quasi-Newton Methods for Nonconvex Stochastic Optimization
- Robust Stochastic Approximation Approach to Stochastic Programming
- Sample Size Estimates for Risk-Neutral Semilinear PDE-Constrained Optimization
- Penalty methods with stochastic approximation for stochastic nonlinear programming
- Statistics of Robust Optimization: A Generalized Empirical Likelihood Approach
- Stochastic Block Mirror Descent Methods for Nonsmooth and Stochastic Optimization
- Accelerated schemes for a class of variational inequalities
- Introduction to convex optimization in financial markets
- On the strong concavity of the dual function of an optimization problem
- An inexact primal-dual algorithm for semi-infinite programming
- A probability metrics approach for reducing the bias of optimality gap estimators in two-stage stochastic linear programming
- Consistency of sample-based stationary points for infinite-dimensional stochastic optimization
- Bundle-level type methods uniformly optimal for smooth and nonsmooth convex optimization
- A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs
- Inexact SA method for constrained stochastic convex SDP and application in Chinese stock market
- On the efficiency of a randomized mirror descent algorithm in online optimization problems
- Accelerate stochastic subgradient method by leveraging local growth condition
- Inexact stochastic mirror descent for two-stage nonlinear stochastic programs
- A heuristic adaptive fast gradient method in stochastic optimization problems
- Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
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