Continuity Properties of Law-Invariant (Quasi-)Convex Risk Functions on L∞

Gregor Svindland
2010
Journal paper

Abstract

We study continuity properties of law-invariant (quasi-)convex functions f : L1(Ω,F, P) to ( ∞,∞] over a non-atomic probability space (Ω,F, P) .This is a supplementary note to [12]

Official source

https://infoscience.epfl.ch/record/148792?ln=en

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A first-order primal-dual method with adaptivity to local smoothness

Volkan Cevher, Maria-Luiza Vladarean

We consider the problem of finding a saddle point for the convex-concave objective

\min_x \max_y f(x) + \langle Ax, y\rangle - g^*(y)

, where

f

is a convex function with locally Lipschitz gradient and

g

is convex and possibly non-smooth. We propose an ...

2021

Continuity Properties of Law-Invariant (Quasi-)Convex Risk Functions on L∞

Stability of Image-Reconstruction Algorithms

Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method

A first-order primal-dual method with adaptivity to local smoothness

A first-order primal-dual method with adaptivity to local smoothness

Stability of Image-Reconstruction Algorithms

Gradient-based optimisation of the conditional-value-at-risk using the multi-level Monte Carlo method