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Document type:
Zeitschriftenaufsatz
Author(s):
Florian Beiser, Brendan Keith, Simon Urbainczyk, Barbara Wohlmuth
Title:
Adaptive sampling strategies for risk-averse stochastic optimization with constraints
Abstract:
We introduce adaptive sampling methods for stochastic programs with deterministic constraints. First, we propose and analyze a variant of the stochastic projected gradient method, where the sample size used to approximate the reduced gradient is determined on-the-fly and updated adaptively. This method is applicable to a broad class of expectation-based risk measures, and leads to a significant reduction in the individual gradient evaluations used to estimate the objective function gradient. Num...    »
Journal title:
IMA Journal of Numerical Analysis
Year:
2023
Fulltext / DOI:
doi:https://doi.org/10.1093/imanum/drac083
WWW:
https://academic.oup.com/imajna/advance-article/doi/10.1093/imanum/drac083/6991354?utm_source=advanceaccess&utm_campaign=imajna&utm_medium=email
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