TTRISK: Tensor train decomposition algorithm for risk averse optimization.
Harbir AntilSergey DolgovAkwum OnwuntaPublished in: Numer. Linear Algebra Appl. (2023)
Keyphrases
- decomposition algorithm
- risk averse
- working set selection
- working set
- stochastic programming
- risk neutral
- decomposition method
- training support vector machines
- utility function
- optimization algorithm
- risk aversion
- decision makers
- cost function
- optimization method
- multistage
- optimization problems
- probability distribution
- recognition algorithm
- optimization methods
- decomposition methods