Robust Stochastic Approximation Approach to Stochastic Programming

  title={Robust Stochastic Approximation Approach to Stochastic Programming},
  author={Arkadi Nemirovski and Anatoli B. Juditsky and Guanghui Lan and Alexander Shapiro},
  journal={SIAM J. Optim.},
In this paper we consider optimization problems where the objective function is given in a form of the expectation. A basic difficulty of solving such stochastic optimization problems is that the involved multidimensional integrals (expectations) cannot be computed with high accuracy. The aim of this paper is to compare two computational approaches based on Monte Carlo sampling techniques, namely, the stochastic approximation (SA) and the sample average approximation (SAA) methods. Both… 

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