A note on the convergence rate in regularized stochastic programming.
Evgueni GordienkoYury GryazinPublished in: Kybernetika (2021)
Keyphrases
- convergence rate
- stochastic programming
- multistage
- chance constrained
- linear program
- step size
- convergence speed
- learning rate
- asset liability management
- least squares
- gradient method
- primal dual
- robust optimization
- objective function
- numerical stability
- dynamic programming
- cost function
- multi objective
- wavelet neural network
- artificial intelligence
- genetic algorithm