Hybrid SGD algorithms to solve stochastic composite optimization problems with application in sparse portfolio selection problems-Reference-Cited by-同舟云学术

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Hybrid SGD algorithms to solve stochastic composite optimization problems with application in sparse portfolio selection problems

Published:2024-01 Issue: Volume:436 Page:115425
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Yang Zhen-Ping,Zhao Yong

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference54 articles.

1. Coherent approaches to risk in optimization under uncertainty;Rockafellar,2007

2. Advances in risk-averse optimization;Ruszczyński,2013

3. A composite randomized incremental gradient method;Zhang,2019

4. Stochastic approximation approaches to the stochastic variational inequality problem;Jiang;IEEE Trans. Automat. Control,2008

5. Regularized iterative stochastic approximation methods for stochastic variational inequality problems;Koshal;IEEE Trans. Automat. Control,2013

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