4 papers
A distributionally robust index tracking model with the CVaR penalty: tractable reformulation
Ruyu Wang, Yaozhong Hu, Chao Zhang
We propose a distributionally robust index tracking model with the conditional value-at-risk (CVaR) penalty. The model combines the idea of distributionally robust optimization for…
Stochastic smoothing accelerated gradient method for general constrained nonsmooth convex composite optimization
Ruyu Wang, Chao Zhang
We propose a novel stochastic smoothing accelerated gradient (SSAG) method for general constrained nonsmooth convex composite optimization, and analyze the convergence rates. The S…
Adaptive smoothing mini-batch stochastic accelerated gradient method for nonsmooth convex stochastic composite optimization
Ruyu Wang, Chao Zhang
This paper considers a class of convex constrained nonsmooth convex stochastic composite optimization problems whose objective function is given by the summation of a differentiabl…
Mini-batch stochastic Nesterov's smoothing method for constrained convex stochastic composite optimization
Ruyu Wang, Chao Zhang, Lichun Wang +1
This paper considers a class of constrained convex stochastic composite optimization problems whose objective function is given by the summation of a differentiable convex componen…