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math.OC2026
Multilevel Stochastic Gradient Descent for Risk-Averse PDE-Constrained Optimization
Niklas Baumgarten, Philipp A. Guth, David Schneiderhan +1
We present recent advances in applying and analyzing multilevel stochastic gradient descent algorithms to risk-averse, three-dimensional PDE-constrained optimization problems. The…
math.OC2025
An adaptive importance sampling algorithm for risk-averse optimization
Sandra Pieraccini, Tommaso Vanzan
Adaptive sampling algorithms are modern and efficient methods that dynamically adjust the sample size throughout the optimization process. However, they may encounter difficulties…