Blar i SINTEF Open på forfatter "Wohlmuth, Barbara"
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Adaptive sampling strategies for risk-averse stochastic optimization with constraints
Beiser, Florian; Keith, Brendan; Urbainczyk, Simon; Wohlmuth, Barbara (Peer reviewed; Journal article, 2023)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 ...