Dynamic stochastic approximation for multi-stage stochastic optimization
Guanghui Lan, Zhiqiang Zhou
Topics & Concepts
Stochastic optimizationMathematicsMathematical optimizationStochastic approximationStochastic programmingRate of convergenceContinuous-time stochastic processOptimization problemConvergence (economics)Stochastic processApplied mathematicsComputer scienceChannel (broadcasting)Computer securityEconomic growthEconomicsKey (lock)StatisticsComputer networkStochastic Gradient Optimization TechniquesRisk and Portfolio OptimizationSparse and Compressive Sensing Techniques