Robust Stochastic Approximation Approach to Stochastic Programming

• Published in: SIAM journal on optimization Vol. 19; no. 4; pp. 1574 - 1609
• Main Authors: Nemirovski, A., Juditsky, A., Lan, G., Shapiro, A.
• Format: Journal Article
• Language: English
• Published: Philadelphia Society for Industrial and Applied Mathematics 01.01.2009
• Subjects: Algorithms; Approximation; Expected values; Experiments; Mathematics; Methods; Optimization; Sampling techniques; Statistics; Statistics Theory; complexity; minimax problems; sample average approximation method; stochastic programming; saddle point; stochastic approximation; Monte Carlo sampling; mirror descent algorithm

In this paper we consider optimization problems where the objective function is given in a form of the expectation. A basic difficulty of solving such stochastic optimization problems is that the involved multidimensional integrals (expectations) cannot be computed with high accuracy. The aim of thi...