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math.OC2019
Parametric Scenario Optimization under Limited Data: A Distributionally Robust Optimization View
Henry Lam, Fengpei Li
We consider optimization problems with uncertain constraints that need to be satisfied probabilistically. When data are available, a common method to obtain feasible solutions for…
math.OC2017★ 12 cited
Unbiased Simulation for Optimizing Stochastic Function Compositions
Jose Blanchet, Donald Goldfarb, Garud Iyengar +2
In this paper, we introduce an unbiased gradient simulation algorithms for solving convex optimization problem with stochastic function compositions. We show that the unbiased grad…