Showing math.OCShow all
2 papers · 1 filter
math.OC2023
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…
math.OC2023
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…