Nonconvex robust programming via value-function optimization

DOI10.1007/s10589-020-00245-4zbMath1469.90099OpenAlexW3108721040MaRDI QIDQ2028490

Jong-Shi Pang, Ziyu He, Ying Cui

Publication date: 1 June 2021

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-020-00245-4

zbMATH Keywords

robust optimizationnonconvexvalue functionnonsmooth

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Robustness in mathematical programming (90C17)

Related Items

Nonconvex and nonsmooth approaches for affine chance-constrained stochastic programs

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On linear programs with linear complementarity constraints
• Non-cooperative games with minmax objectives
• Robust solution of monotone stochastic linear complementarity problems
• Error bounds in mathematical programming
• On the dual representation of coherent risk measures
• Robust asset allocation
• Enhanced proximal DC algorithms with extrapolation for a class of structured nonsmooth DC minimization
• Error Bounds for Lower Semicontinuous Functions in Normed Spaces
• Global Error Bounds for Convex Multifunctions and Applications
• MM Optimization Algorithms
• On Robust Solutions to Uncertain Linear Complementarity Problems and their Variants
• Introduction to Piecewise Differentiable Equations
• Nonconvex Robust Optimization for Problems with Constraints
• Computing B-Stationary Points of Nonsmooth DC Programs
• Robust Optimization for Unconstrained Simulation-Based Problems
• Theory and Applications of Robust Optimization
• Nonconvex Games with Side Constraints
• Optimization and nonsmooth analysis
• Generalized Gradients and Applications
• Perturbation Analysis of a Condition Number for Linear Systems
• Exact penalization via dini and hadamard conditional derivatives
• Composite Difference-Max Programs for Modern Statistical Estimation Problems
• Exact Penalty Functions in Constrained Optimization
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Exact Penalization of Generalized Nash Equilibrium Problems
• MultiComposite Nonconvex Optimization for Training Deep Neural Networks
• Robust Regression and Lasso
• Expected Residual Minimization Method for Stochastic Linear Complementarity Problems
• The Theory of Max-Min, with Applications
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
• Robust Portfolio Selection Problems
• Mathematical Programs with Equilibrium Constraints