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Robust Stochastic Approximation Approach to Stochastic Programming.

Arkadi NemirovskiAnatoli B. JuditskyGuanghui LanAlexander Shapiro
Published in: SIAM J. Optim. (2009)
Keyphrases
  • stochastic programming
  • stochastic approximation
  • robust optimization
  • multistage
  • chance constrained
  • linear program
  • monte carlo
  • lot sizing
  • asset liability management
  • learning algorithm
  • lower bound