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math.OC2026
Exponential Adaptive Smoothing and Importance Sampling for Optimization of the Conditional Value-at-Risk
Will Asness, Brendan Keith, Boyan Lazarov +2
We present a novel method for solving conditional value-at-risk (CVaR) optimization problems based on the dual representation of CVaR, which is defined as the worst-case expectatio…
math.OC2023
An Adaptive Sampling Augmented Lagrangian Method for Stochastic Optimization with Deterministic Constraints
Raghu Bollapragada, Cem Karamanli, Brendan Keith +3
The primary goal of this paper is to provide an efficient solution algorithm based on the augmented Lagrangian framework for optimization problems with a stochastic objective funct…