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Regularized sample average approximation for high-dimensional stochastic optimization under low-rankness.
Hung Yi Lee
Charles Hernandez
Hongcheng Liu
Published in:
J. Glob. Optim. (2023)
Keyphrases
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stochastic optimization
high dimensional
multistage
sample average approximation
dimensionality reduction
low dimensional
robust optimization
feature space
data points
high dimensional data
approximation algorithms
machine learning
objective function
input space
stochastic model
optimality conditions