High-Probability Bounds for Stochastic Optimization and Variational Inequalities: the Case of Unbounded Variance.
Abdurakhmon SadievMarina DanilovaEduard GorbunovSamuel HorváthGauthier GidelPavel E. DvurechenskyAlexander V. GasnikovPeter RichtárikPublished in: ICML (2023)
Keyphrases
- stochastic optimization
- variational inequalities
- convex sets
- lipschitz continuity
- multistage
- sensitivity analysis
- hilbert spaces
- complementarity problems
- lower bound
- set valued
- upper bound
- primal dual
- variational inequality problems
- fixed point
- finite number
- robust optimization
- boundary conditions
- game theory
- model selection
- simulated annealing
- worst case
- probability distribution