Threshold value of the penalty parameter in the minimization of \(L_1\)-penalized conditional value-at-risk
type: Item
instance of: scholarly article
title: Threshold value of the penalty parameter in the minimization of \(L_1\)-penalized conditional value-at-risk
zbMATH Open document ID: 1264.91116
author: V. Gaitsgory
author: Tanya Tarnopolskaya
published in: Journal of Industrial and Management Optimization
publication date: 2013-05-24T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 90C05
Mathematics Subject Classification ID: 90C31
zbMATH DE Number: 6165528
zbMATH Keywords: conditional value-at-risk (CVaR)
zbMATH Keywords: \(L_1\)-penalization
zbMATH Keywords: threshold value of the penalty parameter
zbMATH Keywords: linear programming
MaRDI profile type: Publication
full work available at URL: jimo.2013.9.191
OpenAlex ID: W2333662229
DOI: 10.3934/JIMO.2013.9.191
description: scientific article; zbMATH DE number 6165528