Threshold value of the penalty parameter in the minimization of \(L_1\)-penalized conditional value-at-risk (Q1950060)
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scientific article; zbMATH DE number 6165528
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Threshold value of the penalty parameter in the minimization of \(L_1\)-penalized conditional value-at-risk |
scientific article; zbMATH DE number 6165528 |
Statements
Threshold value of the penalty parameter in the minimization of \(L_1\)-penalized conditional value-at-risk (English)
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24 May 2013
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conditional value-at-risk (CVaR)
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\(L_1\)-penalization
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threshold value of the penalty parameter
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linear programming
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