{"id":"https://openalex.org/W4410476875","doi":"https://doi.org/10.1007/s10957-025-02693-6","title":"Randomized Quasi-Monte Carlo Methods for Risk-Averse Stochastic Optimization","display_name":"Randomized Quasi-Monte Carlo Methods for Risk-Averse Stochastic Optimization","publication_year":2025,"publication_date":"2025-05-18","ids":{"openalex":"https://openalex.org/W4410476875","doi":"https://doi.org/10.1007/s10957-025-02693-6"},"language":"en","primary_location":{"id":"doi:10.1007/s10957-025-02693-6","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10957-025-02693-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10957-025-02693-6.pdf","source":{"id":"https://openalex.org/S52430896","display_name":"Journal of Optimization Theory and Applications","issn_l":"0022-3239","issn":["0022-3239","1573-2878"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Optimization Theory and Applications","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10957-025-02693-6.pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5112564539","display_name":"\u041e. \u0412. \u041c\u0435\u043b\u044c\u043d\u0438\u043a\u043e\u0432","orcid":null},"institutions":[{"id":"https://openalex.org/I130701444","display_name":"Georgia Institute of Technology","ror":"https://ror.org/01zkghx44","country_code":"US","type":"education","lineage":["https://openalex.org/I130701444"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Olena Melnikov","raw_affiliation_strings":["H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, 30332, Georgia, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, 30332, Georgia, USA","institution_ids":["https://openalex.org/I130701444"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5028244213","display_name":"Johannes Milz","orcid":"https://orcid.org/0000-0003-3601-3340"},"institutions":[{"id":"https://openalex.org/I130701444","display_name":"Georgia Institute of Technology","ror":"https://ror.org/01zkghx44","country_code":"US","type":"education","lineage":["https://openalex.org/I130701444"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Johannes Milz","raw_affiliation_strings":["H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, 30332, Georgia, USA"],"raw_orcid":"https://orcid.org/0000-0003-3601-3340","affiliations":[{"raw_affiliation_string":"H. Milton Stewart School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, 30332, Georgia, USA","institution_ids":["https://openalex.org/I130701444"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5028244213"],"corresponding_institution_ids":["https://openalex.org/I130701444"],"apc_list":{"value":3190,"currency":"USD","value_usd":3190},"apc_paid":{"value":3190,"currency":"USD","value_usd":3190},"fwci":5.2341,"has_fulltext":true,"cited_by_count":4,"citation_normalized_percentile":{"value":0.95892106,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":91,"max":98},"biblio":{"volume":"206","issue":"1","first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T12404","display_name":"Mathematical Approximation and Integration","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T12404","display_name":"Mathematical Approximation and Integration","score":0.9998999834060669,"subfield":{"id":"https://openalex.org/subfields/2612","display_name":"Numerical Analysis"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10928","display_name":"Probabilistic and Robust Engineering Design","score":0.9837999939918518,"subfield":{"id":"https://openalex.org/subfields/1804","display_name":"Statistics, Probability and Uncertainty"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.9736999869346619,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.7220498919487},{"id":"https://openalex.org/keywords/theory-of-computation","display_name":"Theory of computation","score":0.5747975707054138},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5731642246246338},{"id":"https://openalex.org/keywords/stochastic-optimization","display_name":"Stochastic optimization","score":0.5150815844535828},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5115171670913696},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.32901328802108765},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.32073068618774414},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.15328732132911682},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.1328044831752777},{"id":"https://openalex.org/keywords/physics","display_name":"Physics","score":0.0843382179737091}],"concepts":[{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.7220498919487},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.5747975707054138},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5731642246246338},{"id":"https://openalex.org/C194387892","wikidata":"https://www.wikidata.org/wiki/Q1747770","display_name":"Stochastic optimization","level":2,"score":0.5150815844535828},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5115171670913696},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.32901328802108765},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.32073068618774414},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.15328732132911682},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.1328044831752777},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0843382179737091}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10957-025-02693-6","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10957-025-02693-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10957-025-02693-6.pdf","source":{"id":"https://openalex.org/S52430896","display_name":"Journal of Optimization Theory and Applications","issn_l":"0022-3239","issn":["0022-3239","1573-2878"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Optimization Theory and Applications","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:spr:joptap:v:206:y:2025:i:1:d:10.1007_s10957-025-02693-6","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10957-025-02693-6","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1007/s10957-025-02693-6","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10957-025-02693-6","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10957-025-02693-6.pdf","source":{"id":"https://openalex.org/S52430896","display_name":"Journal of Optimization Theory and Applications","issn_l":"0022-3239","issn":["0022-3239","1573-2878"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Optimization Theory and Applications","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G7812946683","display_name":"Reliable data-driven optimization with complex physics-based systems","funder_award_id":"2410944","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W4410476875.pdf","grobid_xml":"https://content.openalex.org/works/W4410476875.grobid-xml"},"referenced_works_count":32,"referenced_works":["https://openalex.org/W583356579","https://openalex.org/W1533955387","https://openalex.org/W1950214537","https://openalex.org/W1964254299","https://openalex.org/W1983916623","https://openalex.org/W1984077228","https://openalex.org/W1996936277","https://openalex.org/W2015637491","https://openalex.org/W2020929673","https://openalex.org/W2031946900","https://openalex.org/W2051718289","https://openalex.org/W2080120649","https://openalex.org/W2151194818","https://openalex.org/W2335954934","https://openalex.org/W2807940212","https://openalex.org/W2883093498","https://openalex.org/W2913489715","https://openalex.org/W2924249889","https://openalex.org/W2963956318","https://openalex.org/W3157958139","https://openalex.org/W3179558415","https://openalex.org/W3190420332","https://openalex.org/W4233371490","https://openalex.org/W4236384742","https://openalex.org/W4252698487","https://openalex.org/W4296962099","https://openalex.org/W4310251524","https://openalex.org/W4362666384","https://openalex.org/W4366783133","https://openalex.org/W4379162539","https://openalex.org/W4387140438","https://openalex.org/W6892833895"],"related_works":["https://openalex.org/W2393870460","https://openalex.org/W2254578859","https://openalex.org/W4284894156","https://openalex.org/W2161803855","https://openalex.org/W3110774753","https://openalex.org/W2134539662","https://openalex.org/W2059096050","https://openalex.org/W2093391715","https://openalex.org/W2005266888","https://openalex.org/W4388209346"],"abstract_inverted_index":{"Abstract":[0],"We":[1],"establish":[2],"epigraphical":[3],"and":[4,26,50,74],"uniform":[5],"laws":[6],"of":[7,13,46],"large":[8],"numbers":[9],"for":[10,83],"sample-based":[11,20],"approximations":[12],"law":[14],"invariant":[15],"composite":[16],"risk":[17],"functionals.":[18],"These":[19],"approximation":[21,45],"schemes":[22],"include":[23],"Monte":[24,80],"Carlo":[25,30,63,81],"certain":[27],"randomized":[28,61],"quasi-Monte":[29,62],"integration":[31],"methods,":[32],"such":[33],"as":[34],"scrambled":[35,67],"net":[36],"integration.":[37],"Our":[38,55],"results":[39],"can":[40,70],"be":[41],"applied":[42],"to":[43],"the":[44],"risk-averse":[47,51,84],"stochastic":[48,52],"programs":[49],"variational":[53],"inequalities.":[54],"numerical":[56],"simulations":[57],"empirically":[58],"demonstrate":[59],"that":[60],"approaches":[64],"based":[65],"on":[66],"Sobol\u2019":[68],"sequences":[69],"yield":[71],"smaller":[72],"bias":[73],"root":[75],"mean":[76],"square":[77],"error":[78],"than":[79],"methods":[82],"optimization.":[85]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":1}],"updated_date":"2026-09-02T18:50:13.731487","created_date":"2025-10-10T00:00:00"}