Primal-dual hybrid gradient method for distributionally robust optimization problems
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Publication:1728370
DOI10.1016/j.orl.2017.10.001zbMath1409.90124OpenAlexW2766425587MaRDI QIDQ1728370
Jin Zhang, Shangzhi Zeng, Xiao-Ming Yuan, Yong-Chao Liu
Publication date: 22 February 2019
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2017.10.001
Wasserstein metricdiscretization methodmoment conditionsdistributionally robust optimizationprimal-dual hybrid gradient
Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Portfolio theory (91G10)
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Frameworks and results in distributionally robust optimization ⋮ Decomposition and discrete approximation methods for solving two-stage distributionally robust optimization problems ⋮ Efficient Algorithms for Distributionally Robust Stochastic Optimization with Discrete Scenario Support
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