Robust Stochastic Approximation Approach to Stochastic Programming
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Cited in
(only showing first 100 items - show all)- Improved results on the robustness of stochastic approximation algorithms
- A stochastic quasi-Newton method for large-scale optimization
- Solving stochastic programming problems via Kalman filter and affine scaling
- Stochastic accelerated alternating direction method of multipliers with importance sampling
- Optimal distributed stochastic mirror descent for strongly convex optimization
- Distributed resource allocation over random networks based on stochastic approximation
- Stochastic optimization using a trust-region method and random models
- On the information-adaptive variants of the ADMM: an iteration complexity perspective
- Stochastic mirror descent method for distributed multi-agent optimization
- Accelerated schemes for a class of variational inequalities
- Individual confidence intervals for solutions to expected value formulations of stochastic variational inequalities
- On smoothing, regularization, and averaging in stochastic approximation methods for stochastic variational inequality problems
- Inexact SA method for constrained stochastic convex SDP and application in Chinese stock market
- On stochastic mirror-prox algorithms for stochastic Cartesian variational inequalities: randomized block coordinate and optimal averaging schemes
- Learning in games with continuous action sets and unknown payoff functions
- Stochastic methods based on \(\mathcal{VU}\)-decomposition methods for stochastic convex minimax problems
- On variance reduction for stochastic smooth convex optimization with multiplicative noise
- Convergence conditions for the observed mean method in stochastic programming
- An optimal randomized incremental gradient method
- Robust sample average approximation
- On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
- The sample average approximation method applied to stochastic routing problems: a computational study
- Tractable approximation to robust nonlinear production frontier problem
- A new hybrid stochastic approximation algorithm
- A quasi-Monte-Carlo-based feasible sequential system of linear equations method for stochastic programs with recourse
- Aggregate subgradient method for nonsmooth DC optimization
- Towards easier and faster sequence labeling for natural language processing: a search-based probabilistic online learning framework (SAPO)
- Surrogate-based robust design for a non-smooth radiation source detection problem
- A primal sub-gradient method for structured classification with the averaged sum loss
- Convergence of stochastic proximal gradient algorithm
- Point process estimation with Mirror Prox algorithms
- Distributed stochastic gradient tracking methods
- Dynamic stochastic approximation for multi-stage stochastic optimization
- Inexact stochastic mirror descent for two-stage nonlinear stochastic programs
- Saddle point approximation approaches for two-stage robust optimization problems
- Stochastic proximal gradient methods for nonconvex problems in Hilbert spaces
- Tutorial on risk neutral, distributionally robust and risk averse multistage stochastic programming
- General convergence analysis of stochastic first-order methods for composite optimization
- Gradient convergence of deep learning-based numerical methods for BSDEs
- Fastest rates for stochastic mirror descent methods
- Minibatch stochastic subgradient-based projection algorithms for feasibility problems with convex inequalities
- Inexact stochastic subgradient projection method for stochastic equilibrium problems with nonmonotone bifunctions: application to expected risk minimization in machine learning
- On the analysis of variance-reduced and randomized projection variants of single projection schemes for monotone stochastic variational inequality problems
- A stochastic primal-dual method for optimization with conditional value at risk constraints
- Stochastic proximal splitting algorithm for composite minimization
- Infinite-dimensional gradient-based descent for alpha-divergence minimisation
- Unified binary generative adversarial network for image retrieval and compression
- Stochastic generalized gradient methods for training nonconvex nonsmooth neural networks
- Efficient stochastic optimisation by unadjusted Langevin Monte Carlo. Application to maximum marginal likelihood and empirical Bayesian estimation
- Analysis of stochastic gradient descent in continuous time
- Consistent online Gaussian process regression without the sample complexity bottleneck
- A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs
- Finite sample properties of parametric MMD estimation: robustness to misspecification and dependence
- Distributionally robust optimization. A review on theory and applications
- Stochastic relaxed inertial forward-backward-forward splitting for monotone inclusions in Hilbert spaces
- A PAC algorithm in relative precision for bandit problem with costly sampling
- Stopping criteria for, and strong convergence of, stochastic gradient descent on Bottou-Curtis-Nocedal functions
- A study of data-driven distributionally robust optimization with incomplete joint data under finite support
- A stochastic Nesterov's smoothing accelerated method for general nonsmooth constrained stochastic composite convex optimization
- A stochastic gradient algorithm with momentum terms for optimal control problems governed by a convection-diffusion equation with random diffusivity
- On stochastic accelerated gradient with convergence rate
- Two-stage linear decision rules for multi-stage stochastic programming
- A hybrid stochastic optimization framework for composite nonconvex optimization
- Stochastic gradient descent for semilinear elliptic equations with uncertainties
- Understanding generalization error of SGD in nonconvex optimization
- Sample average approximation for stochastic nonconvex mixed integer nonlinear programming via outer-approximation
- Parallel random block-coordinate forward-backward algorithm: a unified convergence analysis
- A primal-dual algorithm for risk minimization
- Berry-Esseen bounds for multivariate nonlinear statistics with applications to M-estimators and stochastic gradient descent algorithms
- Stochastic approximation method using diagonal positive-definite matrices for convex optimization with fixed point constraints
- Adaptive primal-dual stochastic gradient method for expectation-constrained convex stochastic programs
- Online statistical inference for parameters estimation with linear-equality constraints
- Riemannian stochastic fixed point optimization algorithm
- Stochastic saddle-point optimization for the Wasserstein barycenter problem
- Frameworks and results in distributionally robust optimization
- On finite termination of an inexact proximal point algorithm
- Approximation of probabilistic constraints in stochastic programming problems with a probability measure kernel
- Statistical inference for model parameters in stochastic gradient descent
- Algorithms for stochastic optimization with function or expectation constraints
- The subdifferential of measurable composite max integrands and smoothing approximation
- Stochastic AUC optimization with general loss
- Bridging the gap between constant step size stochastic gradient descent and Markov chains
- Generalized gradients in dynamic optimization, optimal control, and machine learning problems
- Lower complexity bounds of first-order methods for convex-concave bilinear saddle-point problems
- Bi-fidelity stochastic gradient descent for structural optimization under uncertainty
- Why random reshuffling beats stochastic gradient descent
- Forward-reflected-backward method with variance reduction
- On a multistage discrete stochastic optimization problem with stochastic constraints and nested sampling
- Multi-echelon supply chains with lead times and uncertain demands. A lot-sizing formulation and solutions
- Bundle methods for sum-functions with ``easy components: applications to multicommodity network design
- Incrementally updated gradient methods for constrained and regularized optimization
- Convergence of online mirror descent
- Optimal stochastic extragradient schemes for pseudomonotone stochastic variational inequality problems and their variants
- A new convergent hybrid learning algorithm for two-stage stochastic programs
- Cauchy noise loss for stochastic optimization of random matrix models via free deterministic equivalents
- Algorithms of robust stochastic optimization based on mirror descent method
- Stochastic subgradient method converges on tame functions
- Communication-efficient algorithms for decentralized and stochastic optimization
- Faster subgradient methods for functions with Hölderian growth
- A stochastic trust region method for unconstrained optimization problems
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