Robust stochastic approximat ion approach to stochastic programming

SIAM Journal on Optimization

Volumn 19, Issue 4, 2008, Pages 1574-1609

  Nemirovski, A ^a   Juditsky, A ^b   Lan, G ^a   Shapiro, A ^a  

^a GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

^b UNIV GRENOBLE ALPES   (France)

Author keywords

Complexity; Minimax problems; Mirror descent algorithm; Monte Carlo sampling; Saddle point; Sample average approximation method; Stochastic approximation; Stochastic programming

Indexed keywords

APPROXIMATION ALGORITHMS; APPROXIMATION THEORY; STOCHASTIC PROGRAMMING; STOCHASTIC SYSTEMS;

COMPLEXITY; MINIMAX PROBLEM; MONTE CARLO SAMPLING; SADDLE POINT; SAMPLE AVERAGE APPROXIMATION; STOCHASTIC APPROXIMATIONS;

MONTE CARLO METHODS;

EID: 70450197241     PISSN: 10526234     EISSN: None     Source Type: Journal    
DOI: 10.1137/070704277     Document Type: Article

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