MCCO combines multistage stochastic programming and conditional stochastic optimization, solved via new multilevel Monte Carlo techniques with polynomial scenario complexity.
A stochastic subgradient method for nonsmooth nonconvex multilevel compo- sition optimization.SIAM Journal on Control and Optimization, 59(3):2301–2320, 2021
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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.