Sample Average Approximation with Sparsity-Inducing Penalty for High-Dimensional Stochastic Programming.

Liu, Hongcheng; Wang, Xue; Yao, Tao; Li, Runze; Ye, Yinyu

Liu, Hongcheng; Wang, Xue; Yao, Tao; Li, Runze; Ye, Yinyu.

Afiliação

Liu H; Department of Radiation Oncology, Stanford University, Stanford, CA 94305, USA.
Wang X; Harold and Inge Marcus Department of Industrial and Manufacturing Engineering, The Pennsylvania State University, University Park PA 16802, USA.
Yao T; Harold and Inge Marcus Department of Industrial and Manufacturing Engineering, The Pennsylvania State University, University Park PA 16802, USA.
Li R; Department of Statistics, The Pennsylvania State University, University Park PA 16802, USA.
Ye Y; Department of Management Science and Engineering, Stanford University, Stanford, CA 94305, USA.

Math Program ; 78(1-2): 69-108, 2019 Nov.

Article em En | MEDLINE | ID: mdl-31680704

Palavras-chave

62J07; 65C05; 90C15; 90C26; Folded concave penalty; Sample average approximation; Second order necessary condition; Stochastic programming

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Texto completo: 1 Coleções: 01-internacional Base de dados: MEDLINE Idioma: En Revista: Math Program Ano de publicação: 2019 Tipo de documento: Article País de afiliação: Estados Unidos

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