Stochastic Optimization for Spectral Risk Measures.

Ronak Mehta Vincent Roulet Krishna Pillutla Lang Liu Zaïd Harchaoui

Published in: AISTATS (2023)

Keyphrases

stochastic optimization
risk measures
robust optimization
mathematical programming
stochastic programming
multistage
portfolio selection
portfolio optimization
risk averse
decision theory
learning algorithm
bayesian networks
np hard
linear programming
particle swarm optimization
lot sizing