Blar i SINTEF Digital på forfatter "Urbainczyk, Simon"
-
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 ...