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Robust Stochastic Approximation Approach to Stochastic Programming.
Arkadi Nemirovski
Anatoli B. Juditsky
Guanghui Lan
Alexander Shapiro
Published in:
SIAM J. Optim. (2009)
Keyphrases
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stochastic programming
stochastic approximation
robust optimization
multistage
chance constrained
linear program
monte carlo
lot sizing
asset liability management
learning algorithm
lower bound