most citedSolving Nonsmooth Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization

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math.OC2020★ 2 cited

Solving Nonsmooth Nonconvex Compound Stochastic Programs with Applications to Risk Measure Minimization

Junyi Liu, Ying Cui, Jong-Shi Pang

This paper studies a structured compound stochastic program (SP) involving multiple expectations coupled by nonconvex and nonsmooth functions. We present a successive convex-progra…