Publications · Journal article · Optim. Methods Softw. 2025
Entropic risk-averse generalized momentum methods
Optimization Methods and Software, 40(6), pp. 1535–1583, 2025.
In brief
Builds a unified convergence and risk analysis for the generalized momentum family (covering gradient descent, heavy ball, and Nesterov acceleration) under stochastic gradient errors, bounding the entropic risk and entropic value-at-risk of suboptimality. The bounds support risk-averse parameter selection (RA-GMM): choosing step and momentum on the rate–risk Pareto frontier rather than for expected performance alone.
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@article{can2025entropic,
title = {Entropic risk-averse generalized momentum methods},
author = {Bugra Can and Mert Gürbüzbalaban},
year = {2025},
journal = {Optimization Methods and Software},
volume = {40(6)},
pages = {1535--1583},
doi = {10.1080/10556788.2025.2549356},
}Relatedsame topics