Optimization of Convex Risk Functions.
Andrzej RuszczynskiAlexander ShapiroPublished in: Math. Oper. Res. (2006)
Keyphrases
- quasiconvex
- empirical risk
- optimization algorithm
- risk minimization
- efficient optimization
- convex optimization
- constrained optimization
- convex programming
- convex relaxation
- convex optimization problems
- loss function
- discrete optimization
- chance constraints
- semi definite programming
- finite number
- optimization process
- optimization methods
- convex hull
- combinatorial optimization
- objective function
- piecewise linear
- continuous functions
- risk management
- portfolio optimization
- linear programming
- decision support system
- decision making
- data sets