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math.OC2022★ 4 cited
Sample Size Estimates for Risk-Neutral Semilinear PDE-Constrained Optimization
Johannes Milz, Michael Ulbrich
The sample average approximation (SAA) approach is applied to risk-neutral optimization problems governed by semilinear elliptic partial differential equations with random inputs.…
math.OC2022★ 2 cited
A Semismooth Newton Stochastic Proximal Point Algorithm with Variance Reduction
Andre Milzarek, Fabian Schaipp, Michael Ulbrich
We develop an implementable stochastic proximal point (SPP) method for a class of weakly convex, composite optimization problems. The proposed stochastic proximal point algorithm i…