Adaptive sampling strategies for risk-averse stochastic optimization with constraints

DOI10.1093/IMANUM/DRAC083arXiv2012.03844OpenAlexW3112994519MaRDI QIDQ6190845

Barbara I. Wohlmuth, Unnamed Author, Brendan Keith, Unnamed Author

Publication date: 6 February 2024

Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.03844

zbMATH Keywords

stochastic optimizationconstrained optimizationshape optimizationportfolio optimizationsample size selection

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Portfolio theory (91G10)

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