Sample average approximation with sparsity-inducing penalty for high-dimensional stochastic programming.
Hongcheng LiuXue WangTao YaoRunze LiYinyu YePublished in: Math. Program. (2019)
Keyphrases
- stochastic programming
- sparsity inducing
- high dimensional
- variable selection
- sample average approximation
- multistage
- linear program
- stochastic model
- structured sparsity
- group lasso
- high dimensional data
- dimensionality reduction
- robust optimization
- objective function
- model selection
- low dimensional
- feature space
- cross validation
- training samples
- data points
- ls svm
- linear programming
- optimal solution