MCCO combines multistage stochastic programming and conditional stochastic optimization, solved via new multilevel Monte Carlo techniques with polynomial scenario complexity.
Multilevel stochastic gradient methods for nested composition optimization.SIAM Journal on Optimization, 29(1):616–659, 2019
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Multistage Conditional Compositional Optimization
MCCO combines multistage stochastic programming and conditional stochastic optimization, solved via new multilevel Monte Carlo techniques with polynomial scenario complexity.