548 search results - page 2 / 110 » Optimization of Convex Risk Functions |
JMLR
2010
13 years 4 months ago
2010
We extend the well-known BFGS quasi-Newton method and its memory-limited variant LBFGS to the optimization of nonsmooth convex objectives. This is done in a rigorous fashion by ge...
MP
2006
13 years 5 months ago
2006
Abstract. Traditional stochastic programming is risk neutral in the sense that it is concerned with the optimization of an expectation criterion. A common approach to addressing ri...
NIPS
2004
13 years 7 months ago
2004
We study a method of optimal data-driven aggregation of classifiers in a convex combination and establish tight upper bounds on its excess risk with respect to a convex loss funct...
CDC
2008
IEEE
14 years 7 days ago
2008
IEEE
Abstract— This paper proposes a novel two-stage optimization method for robust Model Predictive Control (RMPC) with Gaussian disturbance and state estimation error. Since the dis...
MOR
2006
13 years 5 months ago
2006
We introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappi...