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Robust Stochastic Approximation Approach to Stochastic Programming | Researchclopedia

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Robust Stochastic Approximation Approach to Stochastic Programming

20092,076 citationsJournal Article

Authors

Arkadi Nemirovski · Georgia Institute of Technology

Anatoli Juditsky

Guanghui Lan · Georgia Institute of Technology

Alexander Shapiro · Georgia Institute of Technology

Abstract

International audience

Topics & Keywords

Risk and Portfolio Optimization Stochastic Gradient Optimization Techniques Markov Chains and Monte Carlo Methods

Publication Details

Published in: SIAM Journal on Optimization

Volume 19, Issue 4, pp. 1574-1609

DOI: 10.1137/070704277

Field-Weighted Citation Impact: 63.88