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We introduce a new robust, outage minimum, millimeter wave (mmWave) coordinated multipoint (CoMP) beamforming scheme to combat the random path blockages typical of mmWave systems. Unlike state-of-the-art methods, which are of limited applicability in practice due to their combinatorial nature which leads to prohibitive complexity, the proposed method is based on a stochastic-learning-approach, which learns crucial blockage patterns without resorting to the well-known worstcase optimization framework. Simulation results demonstrate the superior performance of the proposed method both in terms of outage probability and effective achievable rate.