Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures

On Stochastic Subgradient Mirror-Descent Algorithm with Weighted Averaging

(2014) Angelia Nedić et al.   SIAM JOURNAL ON OPTIMIZATION

Fixed-Width Sequential Stopping Rules for a Class of Stochastic Programs

(2012) Güzi̇n Bayraksan et al.   SIAM JOURNAL ON OPTIMIZATION

Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures

(2012) Vincent Guigues et al.   SIAM JOURNAL ON OPTIMIZATION

Optimal Stochastic Approximation Algorithms for Strongly Convex Stochastic Composite Optimization I: A Generic Algorithmic Framework

(2012) Saeed Ghadimi et al.   SIAM JOURNAL ON OPTIMIZATION

Validation analysis of mirror descent stochastic approximation method

(2011) Guanghui Lan et al.   MATHEMATICAL PROGRAMMING

A Sequential Sampling Procedure for Stochastic Programming

(2011) Güzin Bayraksan et al.   OPERATIONS RESEARCH

Asymptotic distribution of law-invariant risk functionals

(2010) Georg Pflug et al.   FINANCE AND STOCHASTICS

Robust Stochastic Approximation Approach to Stochastic Programming

(2009) A. Nemirovski et al.   SIAM JOURNAL ON OPTIMIZATION