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20182022
most citedOptimal Adaptive and Accelerated Stochastic Gradient Descent

7 citations · 10 across the 4 of their papers we have counts for

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math.OC2021★ 1 cited

Risk-Averse Stochastic Optimal Control: an efficiently computable statistical upper bound

Vincent Guigues, Alexander Shapiro, Yi Cheng

In this paper, we discuss an application of the SDDP type algorithm to nested risk-averse formulations of Stochastic Optimal Control (SOC) problems. We propose a construction of a…