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A primal-dual algorithm for risk minimization - MaRDI portal

A primal-dual algorithm for risk minimization (Q2133418)

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A primal-dual algorithm for risk minimization
scientific article

    Statements

    title
    A primal-dual algorithm for risk minimization (English)
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    publication date
    29 April 2022
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    zbMATH Keywords
    risk-averse optimization
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    coherent risk measures
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    stochastic optimization
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    method of multipliers
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    author
    Drew P. Kouri
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    Thomas M. Surowiec
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    describes a project that uses
    SQPlab
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    PLCP
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    ROL
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    LANCELOT
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    TRON
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    cites work
    Q4073917
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    Q3690580
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    Q3151174
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    Q4503250
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    Q4023146
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    Trust Region Methods
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    Q4004158
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    Q5491447
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    Q5590418
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    Q4762529
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    Variational Analysis
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    Q2925334
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    Q5187067
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    Q5198964
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    Identifiers

    Mathematics Subject Classification ID
    90C15
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    65K10
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    93E20
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    zbMATH DE Number
    7516313
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    OpenAlex ID
    W3128112448
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