On Monte-Carlo methods in convex stochastic optimization
On Monte-Carlo methods in convex stochastic optimization
We develop a novel procedure for estimating the optimizer of general convex stochastic optimization problems of the form minx∈XE[F(x,ξ)], when the given data is a finite independent sample selected according to ξ. The procedure is based on a median-of-means tournament, and is the first procedure that exhibits the optimal statistical …