Adaptive sampling strategies for risk-averse stochastic optimization with constraints

no code implementations • 7 Dec 2020 • Florian Beiser, Brendan Keith, Simon Urbainczyk, Barbara Wohlmuth

This method is applicable to a broad class of expectation-based risk measures and leads to a significant reduction in the individual gradient evaluations used to estimate the objective function gradient.

Stochastic Optimization Optimization and Control