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A Stochastic Primal-Dual Method for Optimization with Conditional Value at Risk Constraints |
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| Authors: | Madavan Avinash N. Bose Subhonmesh |
| Affiliation: | 1.University of Illinois at Urbana-Champaign, Urbana, IL, USA ; |
| Abstract: | Journal of Optimization Theory and Applications - We study a first-order primal-dual subgradient method to optimize risk-constrained risk-penalized optimization problems, where risk is modeled via... |
| Keywords: | |
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