Randomized quasi-Monte Carlo methods for risk-averse stochastic optimization

DOI10.1007/S10957-025-02693-6MaRDI QIDQ6971093zbMATH OpenFDO

Authors Olena Melnikov, Johannes Milz

Publication date 17 June 2025

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10957-025-02693-6

zbMATH Keywords

quasi-Monte Carlorandomized quasi-Monte Carlorisk-averse optimizationsample average approximation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)

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