A Unified Efficient Gradient-Based Heuristic For Box-Constrained Expectation-Related and Risk-Averse Stochastic Optimization Problems
The algorithm is parameterized so as to address various stochastic formulations spanning from Expectation-focused to Value-at-Risk (VaR) as well as Conditional-Value-at-Risk (CVaR) as well as Conditional-Value-at-Risk (CVaR)-focused formulations.