Robust stochastic optimization with convex risk measures: a discretized subgradient scheme
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Publication:2031316
DOI10.3934/jimo.2019100zbMath1474.90308OpenAlexW2978562669MaRDI QIDQ2031316
Publication date: 9 June 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2019100
stochastic optimizationsubgradient methodconvex risk measuredistributionally robusttwo-stage optimization problem
Minimax problems in mathematical programming (90C47) Stochastic programming (90C15) Robustness in mathematical programming (90C17)
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Cites Work
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