Mirror descent in non-convex stochastic programming.

Zhengyuan Zhou Panayotis Mertikopoulos Nicholas Bambos Stephen P. Boyd Peter W. Glynn

Published in: CoRR (2017)

Keyphrases

stochastic programming
multistage
chance constrained
linear program
capacity planning
decision making under uncertainty
asset liability management
robust optimization
convex optimization
convex hull
risk averse
multistage stochastic
artificial intelligence
cooperative
dynamic programming
linear programming